Results 41 to 50 of about 2,624 (127)

On the notion of L 1‐completeness of a stochastic flow on a manifold

Abstract and Applied Analysis, Volume 7, Issue 12, Page 627-635, 2002., 2002
We introduce the notion of L 1‐completeness for a stochastic flow on manifold and prove a necessary and sufficient condition for a flow to be L 1‐complete. L 1‐completeness means that the flow is complete (i.e., exists on the given time interval) and that it belongs to some sort of L 1‐functional space, natural for manifolds where no Riemannian metric ...
Yu. E. Gliklikh, L. A. Morozova
wiley   +1 more source

Periodic solutions to Mckean–Vlasov SDEs under Lyapunov conditions

Advances in Nonlinear Analysis
In this article, we investigate the existence of periodic solutions to McKean–Vlasov stochastic differential equations subject to periodic Lyapunov conditions with distributional dependence.
Ma Jun, Ji Shuguan
doaj   +1 more source

Reflected BSDE with stochastic Lipschitz coefficient [PDF]

, 2009
In this paper, we deal with a class of one-dimensional reflected backward stochastic differential equations with stochastic Lipschitz coefficient. We derive the existence and uniqueness of the solutions for those equations via Snell envelope and the ...
Lu, Wen
core  

Averaging principle for equation driven by a stochastic measure

, 2018
Equation with the symmetric integral with respect to stochastic measure is considered. For the integrator, we assume only $\sigma$-additivity in probability and continuity of the paths.
Radchenko, Vadym
core   +1 more source

Averaging and stability of quasilinear functional differential equations with Markov parameters

International Journal of Stochastic Analysis, Volume 12, Issue 1, Page 1-15, 1999., 1998
An asymptotic method for stability analysis of quasilinear functional differential equations, with small perturbations dependent on phase coordinates and an ergodic Markov process, is presented. The proposed method is based on an averaging procedure with respect to: 1) time along critical solutions of the linear equation; and 2) the invariant measure ...
Lambros Katafygiotis, Yevgeny Tsarkov
wiley   +1 more source

An approximate Taylor method for Stochastic Functional Differential Equations via polynomial condition

Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2021
The subject of this paper is an analytic approximate method for a class of stochastic functional differential equations with coefficients that do not necessarily satisfy the Lipschitz condition nor linear growth condition but they satisfy some polynomial
Djordjević Dušan D., Milošević Marija   +1 more
doaj   +1 more source

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., Schoenmakers, John G. M.   +1 more
core  

Moment bounds for IID sequences under sublinear expectations

, 2011
In this paper, with the notion of independent identically distributed (IID) random variables under sublinear expectations introduced by Peng [7-9], we investigate moment bounds for IID sequences under sublinear expectations.
Hu, Feng
core   +1 more source

BSDE associated with Lévy processes and application to PDIE

, 2003
International Journal of Stochastic Analysis, Volume 16, Issue 1, Page 1-17, 2003.
K. Bahlali, M. Eddahbi, E. Essaky
wiley   +1 more source

Quasistable gradient and hamiltonian systems with a pairwise interaction randomly perturbed by wiener processes

, 2003
International Journal of Stochastic Analysis, Volume 16, Issue 1, Page 45-67, 2003.
Anatoli V. Skorokhod
wiley   +1 more source