Results 31 to 40 of about 227 (172)
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
wiley +1 more source
Cross hedging with stochastic correlation
, 2010 Cross hedging, Incomplete markets, Correlation, Local risk minimisation, BSDE, 91G20, 60H10, 60H07, C30, G13,
Stefan Ankirchner, Gregor Heyne
core +1 more source
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
doaj +1 more source
Pricing options under stochastic volatility: a power series approach
, 2009 Options, Stochastic volatility, SDEs, PDEs, Duhamel’s principle, 60H10, 91B24, C02, G13,
SCARLATTI S. +7 more
core +1 more source
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
wiley +1 more source
, 2008 Backward stochastic differential equations (BSDEs), Continuous filtration, Quadratic growth, Utility maximization, Portfolio constraints, 91B28, 91B16, 60H10, C60, G11,
Marie-Amélie Morlais +1 more
core +1 more source
Arbitrage-free market models for option prices: the multi-strike case
, 2008 Option prices, Market model, Implied volatility, Static arbitrage, Dynamic arbitrage, Drift restrictions, Existence result, 60H10, 91B28, C60, G13,
Schweizer, Martin +3 more
core +1 more source
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
doaj +1 more source
Journal of Applied Mathematics, Volume 2025, Issue 1, 2025.In this manuscript, we establish existence, uniqueness, and trajectory controllability for higher order noninstantaneous impulsive fractional neutral stochastic differential equations. First, solvability and uniqueness results are obtained using a fixed‐point approach with appropriate assumptions on nonlinear functions. Next, we deal with the strongest
Dhanalakshmi Kasinathan +5 more
wiley +1 more source
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
wiley +1 more source