Results 71 to 80 of about 227 (172)

Moment explosions in stochastic volatility models

Heston model, Stochastic volatility, CEV model, Displaced diffusion model, Moment explosion, Integrability, Martingale property, Volatility smile asymptotics, 65C30, 60H10, E43, G12, G13,
Vladimir Piterbarg, Leif Andersen
core   +1 more source

Probabilistic Representation and Approximation for Coupled Systems of Variational Inequalities∗

, 2010
Our study is dedicated to the probabilistic representation and numerical approximation of solutions of coupled systems of variational inequalities. We interpret the unique viscosity solution of a coupled system of variational inequalities as the solution
Romuald Elie, Idris Kharroubi, Kharroubi, Idris, Elie, Romuald   +3 more
core   +1 more source

The Law of the Euler Scheme for Stochastic Differential Equations : II. Convergence Rate of the Density [PDF]

, 1995
In the first part of this work~\cite{Bally-Talay-94-1} we have studied the approximation problem of $\ee f(X_T)$ by $\ee f(X_T^n)$, where $(X_t)$ is the solution of a stochastic differential equation, $(X^n_t)$ is defined by the Euler discretization ...
Talay, Denis, Bally, Vlad
core   +2 more sources

On a stochastic epidemic SIR model with non-homogeneous population: a toy model for HIV

Open Mathematics
In this paper, we generalise a simple discrete-time stochastic SIR-type model introduced by Tuckwell and Williams. The SIR model by Tuckwell and Williams assumes a homogeneous population, a fixed infectious period, and a strict transition from ...
Rovira Carles
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.
Schoenmakers, John G. M., Kloeden, Peter E.   +1 more
core   +1 more source

An extension of the stochastic sewing lemma and applications to fractional stochastic calculus

Forum of Mathematics, Sigma
We give an extension of Lê’s stochastic sewing lemma. The stochastic sewing lemma proves convergence in $L_m$ of Riemann type sums $\sum _{[s,t] \in \pi } A_{s,t}$ for an adapted two-parameter stochastic process A, under certain conditions ...
Toyomu Matsuda, Nicolas Perkowski
doaj   +1 more source

Reflected backward stochastic differential equation driven by $\textit{G}$-Brownian motion with an upper obstacle

, 2020
Li H, Peng S. Reflected backward stochastic differential equation driven by $\textit{G}$-Brownian motion with an upper obstacle. Center for Mathematical Economics Working Papers. Vol 715.
Peng, Shige, Li, Hanwu
core  

Stationary distribution of a stochastic SEIR model with infectivity in the incubation period and homestead-isolation on the susceptible under regime switching

Journal of Biological Dynamics
This paper is concerned with a stochastic SEIR model with infectivity in the incubation period and homestead-isolation on the susceptible, which is perturbed by white and colour noises.
Ying He, Bo Bi
doaj   +1 more source

Moment decay rates of stochastic differential equations with time-varying delay

, 2010
One of the most important questions, especially in applications, is how to choose a decay function in the study of stability for a concrete equation. Motivated by the fact that the coefficients of the considered equation mainly suggest the choice of the ...
Gorica Pavlovic, Svetlana Jankovic
core   +1 more source

Mathematical modelling and analysis of stochastic malaria and COVID-19 co-infection model

Applied Mathematics in Science and Engineering
In this article, we construct and analyse a stochastic mathematical model to study the co-infection dynamics of malaria and COVID-19 in a population. We derive the basic reproduction number associated with the disease-free equilibrium of the stochastic ...
Michael A. Pobbi, Samuel M. Naandam, Stephen E. Moore   +2 more
doaj   +1 more source