Results 31 to 40 of about 836,551 (359)
An Averaging Principle for Mckean–Vlasov-Type Caputo Fractional Stochastic Differential Equations
Journal of Mathematics, 2021 In this paper, we want to establish an averaging principle for Mckean–Vlasov-type Caputo fractional stochastic differential equations with Brownian motion.
Weifeng Wang +3 more
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Mimicking an Itô process by a solution of a stochastic differential equation [PDF]
, 2010 Given a multi-dimensional It\^{o} process whose drift and diffusion terms are adapted processes, we construct a weak solution to a stochastic differential equation that matches the distribution of the It\^{o} process at each fixed time. Moreover, we show
Gerard P. Brunick, S. Shreve
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Derivation and computation of discrete-delayand continuous-delay SDEs in mathematical biology
Mathematical Biosciences and Engineering, 2013 Stochastic versions of several discrete-delay and continuous-delay differential equations, useful in mathematical biology, are derived from basic principles carefully taking into account the demographic, environmental, or physiological randomness in the ...
Edward J. Allen
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Fractional Order Stochastic Differential Equation with Application in European Option Pricing
, 2014 Memory effect is an important phenomenon in financial systems, and a number of research works have been carried out to study the long memory in the financial markets.
Qing Li +3 more
semanticscholar +1 more source
AIMS Mathematics, 2019 The one dimension Legendre Wavelet is a numerical method to solve one dimension equation. In this paper Black-Scholes equation (B-S), that has applied via single asset American option and Heston Cox- Ingersoll- Ross equation (HCIR), as partial ...
Jafar Biazar, Fereshteh Goldoust
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Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints [PDF]
, 2014 This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and terminal wealth, and ...
Liang, Gechun, Yan, Huiwen, Yang, Zhou
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Reflected rough differential equations [PDF]
, 2015 In this paper, we study reflected differential equations driven by continuous paths with finite $p$-variation ($1\le ...
Aida, Shigeki
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On quantum stochastic differential equations
Journal of Mathematical Analysis and Applications, 2007 Existence and uniqueness theorems for quantum stochastic differential equations with nontrivial initial conditions are proved for coefficients with completely bounded columns. Applications are given for the case of finite-dimensional initial space or, more generally, for coefficients satisfying a finite localisability condition.
Adam Skalski, J. Martin Lindsay
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Penalization method for a nonlinear Neumann PDE via weak solutions of reflected SDEs
, 2013 In this paper we prove an approximation result for the viscosity solution of a system of semi-linear partial differential equations with continuous coefficients and nonlinear Neumann boundary condition. The approximation we use is based on a penalization
Bahlali, Khaled +2 more
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Stochastic Differential Equations in a Differentiable Manifold [PDF]
Nagoya Mathematical Journal, 1950 The theory of stochastic differential equations in a differentiate manifold has been established by many authors from different view-points, especially by R Lévy [2], F. Perrin [1], A. Kolmogoroff [1] [2] and K. Yosida [1] [2]. It is the purpose of the present paper to discuss it by making use of stochastic integrals.
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