Results 31 to 40 of about 2,620 (124)
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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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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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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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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The arctangent law for a certain random time related to a one-dimensional diffusion
, 2017 For a time-homogeneous, one-dimensional diffusion process $X(t),$ we investigate the distribution of the first instant, after a given time $r,$ at which $X(t)$ exceeds its maximum on the interval $[0,r],$ generalizing a result of Papanicolaou, which is ...
Abundo, Mario
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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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Open MathematicsThis article can be considered as a continuation of Petrović and Milošević [The truncated Euler-Maruyama method for highly nonlinear neutral stochastic differential equations with time-dependent delay, Filomat 35 (2021), no.
Petrović Aleksandra M.
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Approximations of center manifolds for delay stochastic differential equations with additive noise
Advances in Nonlinear Analysis, 2023 This article deals with approximations of center manifolds for delay stochastic differential equations with additive noise. We first prove the existence and smoothness of random center manifolds for these approximation equations. Then we show that the Ck{
Wu Longyu +3 more
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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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