Results 11 to 20 of about 2,531 (81)
Backward stochastic differential equations with stochastic monotone coefficients
International Journal of Stochastic Analysis, Volume 2004, Issue 4, Page 317-335, 2004., 2004 We prove an existence and uniqueness result for backward stochastic differential equations whose coefficients satisfy a stochastic monotonicity condition. In this setting, we deal with both constant and random terminal times. In the random case, the terminal time is allowed to take infinite values.
K. Bahlali, A. Elouaflin, M. N′zi
wiley +1 more source
Some estimates on exponentials of solutions to stochastic differential equations
International Journal of Stochastic Analysis, Volume 2004, Issue 4, Page 287-316, 2004., 2004 Exponential of functionals of solutions to certain stochastic differential equations (SDEs) plays an interesting role in some mathematical finance problems. The purpose of this paper is to establish some estimates for these exponentials.
Jiongmin Yong
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A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients
Journal of Applied Mathematics, Volume 2004, Issue 6, Page 461-477, 2004., 2004 We attempt to present a new numerical approach to solve nonlinear backward stochastic differential equations. First, we present some definitions and theorems to obtain the condition, from which we can approximate the nonlinear term of the backward stochastic differential equation (BSDE) and we get a continuous piecewise linear BSDE corresponding to the
Omid. S. Fard, Ali V. Kamyad
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Stochastic flows with interaction and measure‐valued processes
International Journal of Mathematics and Mathematical Sciences, Volume 2003, Issue 63, Page 3963-3977, 2003., 2003 We consider the new class of the Markov measure‐valued stochastic processes with constant mass. We give the construction of such processes with the family of the probabilities which describe the motion of single particles. We also consider examples related to stochastic flows with the interactions and the local times for such processes.
Andrey A. Dorogovtsev
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The evolution to equilibrium of solutions to nonlinear Fokker-Planck equation
, 2020 One proves the $H$-theorem for mild solutions to a nondegenerate, nonlinear Fokker-Planck equation $$ u_t-\Delta\beta(u)+{\rm div}(D(x)b(u)u)=0, \ t\geq0, \ x\in\mathbb{R}^d,\qquad (1)$$ and under appropriate hypotheses on $\beta,$ $D$ and $b$ the ...
Barbu, Viorel, Röckner, Michael
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Functional integro‐differential stochastic evolution equations in Hilbert space
International Journal of Stochastic Analysis, Volume 16, Issue 2, Page 141-161, 2003., 2003 We investigate a class of abstract functional integro‐differential stochastic evolution equations in a real separable Hilbert space. Global existence results concerning mild and periodic solutions are formulated under various growth and compactness conditions.
David N. Keck, Mark A. McKibben
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Periodicity in distribution. I. Discrete systems
International Journal of Mathematics and Mathematical Sciences, Volume 30, Issue 2, Page 65-127, 2002., 2002 We consider the existence of periodic in distribution solutions to the difference equations in a Banach space. A random process is called periodic in distribution if all its finite‐dimensional distributions are periodic with respect to shift of time with one period. Only averaged characteristics of a periodic process are periodic functions.
A. Ya. Dorogovtsev
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Discretizing a backward stochastic differential equation
International Journal of Mathematics and Mathematical Sciences, Volume 32, Issue 2, Page 103-116, 2002., 2002 We show a simple method to discretize Pardoux‐Peng′s nonlinear backward stochastic differential equation. This discretization scheme also gives a numerical method to solve a class of semi‐linear PDEs.
Yinnan Zhang, Weian Zheng
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A Haussmann‐Clark‐Ocone formula for functionals of diffusion processes with Lipschitz coefficients
International Journal of Stochastic Analysis, Volume 15, Issue 4, Page 357-370, 2002., 2002 We establish a martingale representation formula for functionals of diffusion processes with Lipschitz coefficients, as stochastic integrals with respect to the Brownian motion.
Khaled Bahlali +2 more
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Robust option replication for a Black-Scholes model extended with nondeterministic trends [PDF]
, 2012 Statistical analysis on various stocks reveals long range dependence behavior of the stock prices that is not consistent with the classical Black and Scholes model.
Kloeden, Peter E. +1 more
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