Results 41 to 50 of about 2,809 (150)
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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A Delayed Black and Scholes Formula I [PDF]
, 2006 In this article we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic differential delay equation (sdde). We believe that the proposed model is sufficiently flexible to fit real market
Bachelier L. +21 more
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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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Exploring Stochastic Fractional Delay Integrodifferential System
Asia Pacific Journal of Mathematics. This study examines the system of stochastic fractional delay integrodifferential equations with Gaussian noise. We employ the Picard-Lindelof successive approximation scheme for existence and uniqueness.
M. L. Maheswari, Karthik Muthusamy
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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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Journal of Computational Mathematics, 2019 This paper deals with numerical stability properties of super-linear stochastic differential equations with unbounded delay. Sufficient conditions for mean square and almost sure decay stability of the above system and its stochastic θ-method ...
Lin Chen
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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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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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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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