Results 51 to 60 of about 2,809 (150)
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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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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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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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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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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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. +1 more
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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. +1 more
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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
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Advances in Differential Equations, 2013 A stochastic non-autonomous predator-prey system with Beddington-DeAngelis functional response is proposed, the existence of a global positive solution and stochastically ultimate boundedness are derived.
Shuang Li, Xinan Zhang
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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
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