Error Distribution Of The Euler Approximation Scheme For Stochastic Volterra Integral Equations [PDF]
, 2022 David Nualart, Bhargobjyoti Saikia
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Anticipative backward stochastic differential equations driven by fractional Brownian motion
, 2016 We study the anticipative backward stochastic differential equations (BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H greater than 1/2.
Shi, Yufeng, Wen, Jiaqiang
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On the probabilistic solution of the Cauchy problem for parabolic equations
Вестник КазНУ. Серия математика, механика, информатика, 2017 The questions about finding (conditional) mathematical expectations, the joint and marginal distribution of different functionals from the trajectories of random processes, expressed through the process itself, the ordinary stochastic integral and the ...
N. Akanbay, Z. Suleimenova
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A Differentiation Theory for It\^o's Calculus
, 2010 A peculiar feature of It\^o's calculus is that it is an integral calculus that gives no explicit derivative with a systematic differentiation theory counterpart, as in elementary calculus.
Bhattacharya R. +3 more
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Path-dependent Poisson random measures and stochastic integrals constructed from general point processes [PDF]
, 2021 Konatsu Miyamoto
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On maximal inequalities for purely discontinuous martingales in infinite dimensions
, 2013 The purpose of this paper is to give a survey of a class of maximal inequalities for purely discontinuous martingales, as well as for stochastic integral and convolutions with respect to Poisson measures, in infinite dimensional spaces.
Marinelli, Carlo, Röckner, Michael
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, 2014 In this paper, we study the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion (GSDEs) with integral-Lipschitz conditions on their ...
F Gao +18 more
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Fractional L\'{e}vy-driven Ornstein--Uhlenbeck processes and stochastic differential equations
, 2011 Using Riemann-Stieltjes methods for integrators of bounded $p$-variation we define a pathwise integral driven by a fractional L\'{e}vy process (FLP). To explicitly solve general fractional stochastic differential equations (SDEs) we introduce an Ornstein-
Fink, Holger, Klüppelberg, Claudia
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The Stochastic Quantization Method in Phase Space and a New Gauge Fixing Procedure
, 1993 We study the stochastic quantization of the system with first class constraints in phase space. Though the Langevin equations of the canonical variables are defined without ordinary gauge fixing procedure, gauge fixing conditions are automatically ...
Mochizuki, R.
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On the Construction of Some Fractional Stochastic Gompertz Models
Mathematics, 2020 The aim of this paper is the construction of stochastic versions for some fractional Gompertz curves. To do this, we first study a class of linear fractional-integral stochastic equations, proving existence and uniqueness of a Gaussian solution.
Giacomo Ascione, Enrica Pirozzi
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