Results 71 to 80 of about 211 (177)
Mean-square numerical methods for stochastic differential equations with small noises [PDF]
, 1997 . A new approach to the construction of mean-square numerical methods for the solution of stochastic dierential equations with small noises is proposed.
G. N. Milstein +5 more
core +1 more source
On irregular functionals of SDEs and the Euler scheme
Stochastic differential equations, Approximation, Rate of convergence, Euler scheme, 60H10, 41A25, 26A45, 65C20, 65C30, C63, C65, G12,
Rainer Avikainen
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Fractional Fokker-Planck-Kolmogorov type Equations and their Associated Stochastic Differential Equations [PDF]
, 2011 MSC 2010: 26A33, 35R11, 35R60, 35Q84, 60H10 Dedicated to 80-th anniversary of Professor Rudolf GorenfloThere is a well-known relationship between the Itô stochastic differential equations (SDEs) and the associated partial differential equations called ...
Hahn, Marjorie, Umarov, Sabir
core
Estimation in models driven by fractional brownian motion
, 2008 Classification: 60F05; 60G15; 60G18; 60H10; 62F03; 62F12; 33C45International audienceLet $\{b_{H}(t), t\in \mathbb R\}$ be the fractionalBrownian motion with parameter $0 In different particular models where $\sigma(x)=\sigma$ or $\sigma(x)=\sigma \, x ...
Berzin, Corinne +2 more
core +1 more source
On q-optimal martingale measures in exponential Lévy models
Stochastic duality, q-optimal martingale measure, Minimal entropy martingale measure, Lévy processes, 91B28, 60H10, 60G51, 60J75, G11, C61,
Christina Niethammer, Christian Bender
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Local volatility dynamic models
Implied volatility surface, Local volatility surface, Market models, Arbitrage-free term structure dynamics, Heath–Jarrow–Morton theory, C61, 60H10, 91B24,
Sergey Nadtochiy, René Carmona
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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 +3 more
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Computational and Mathematical BiophysicsIn this article, we study a fractional-order prey-predator model incorporating prey refuge and predator harvesting, employing a Holling type III functional response.
Aguegboh Nnaemeka Stanley +5 more
doaj +1 more source
Representation of the penalty term of dynamic concave utilities
Dynamic concave utilities, Dynamic convex risk measures, Penalty functions, g-expectations, Backward stochastic differential equations, 60G44, 60H10, 91B30, G11, G13, G22,
Shige Peng +2 more
core +1 more source
Dynamical properties of two-diffusion SIR epidemic model with Markovian switching
Open MathematicsInfectious diseases still remain one of the major causes of death worldwide, despite the fact that various treatments, such as antibiotics, antiviral drugs, and vaccines for some diseases, are more available to people.
Marković Milica
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