Results 31 to 40 of about 331 (134)
Intermittent quasistatic dynamical systems: weak convergence of fluctuations
Nonautonomous Dynamical Systems, 2018 This paper is about statistical properties of quasistatic dynamical systems. These are a class of non-stationary systems that model situations where the dynamics change very slowly over time due to external influences. We focus on the case where the time-
Leppänen Juho
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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
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Calibration and simulation of Heston model
Open Mathematics, 2017 We calibrate Heston stochastic volatility model to real market data using several optimization techniques. We compare both global and local optimizers for different weights showing remarkable differences even for data (DAX options) from two consecutive ...
Mrázek Milan, Pospíšil Jan
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Journal of Biological Dynamics, 2023 In this paper, a new stochastic four-species predator-prey model with disease in the first prey is proposed and studied. First, we present the stochastic model with some biological assumptions and establish the existence of globally positive solutions ...
C. Gokila +3 more
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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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Advances in Differential Equations, 2013 Choosing space Cg as the phase space, the existence, uniqueness and stability of the solution to neutral stochastic functional differential equations with infinite delay (short for INSFDEs) are studied in this paper.
Fengying Wei, Yuhua Cai
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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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$N$-SYMMETRY OF IT\^{o} STOCHASTIC DIFFERENTIAL EQUATION DRIVEN BY POISSON PROCESS
, 2016 Lie point symmetry transformation of the class of Itô stochastic differential equation driven by Poisson Processes was successfully carried out. We consider symmetries involving not only spatial and time variables (t, x), but also the Poisson process ...
A. M. Nass, E. Fredericks
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Dependence Modeling, 2019 We study the dynamics of the family of copulas {Ct}t≥0 of a pair of stochastic processes given by stochastic differential equations (SDE). We associate to it a parabolic partial differential equation (PDE). Having embedded the set of bivariate copulas in
Jaworski Piotr
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