Results 101 to 110 of about 208,713 (299)

A nonlinear partial integro-differential equation from mathematical finance [PDF]

We study a nonlinear partial integrodifferential equation arising in the calibration of stochastic volatility models to a market of vanilla options.
Frédéric Abergel, Rémi Tachet
core  

The stochastic wave equation

These notes give an overview of recent results concerning the non-linear stochastic wave equation in spatial dimensions d >= 1, in the case where the driving noise is Gaussian, spatially homogeneous and white in time.
Dalang, Robert C.
core   +1 more source

Large deviation principle for a stochastic Allen--Cahn equation [PDF]

, 2018
. In this paper we consider the Allen–Cahn equation perturbed by a stochastic flux term and prove a large deviation principle. Using an associated stochastic flow of diffeomorphisms the equation can be transformed to a parabolic partial differential ...
Heida, Martin, Röger, Matthias
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The Asymptotic Behavior for Second‐Order Neutral Stochastic Partial Differential Equations with Infinite Delay [PDF]

, 2011
Huabin Chen
openalex   +1 more source

Supremum estimates for degenerate, quasilinear stochastic partial differential equations [PDF]

, 2019
Dareiotis K, Gess B. Supremum estimates for degenerate, quasilinear stochastic partial differential equations. ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES.
Gess, B., Gess, Benjamin, Dareiotis, K., Dareiotis, K, Gess, B, Dareiotis, Konstantinos   +5 more
core   +1 more source

Galerkin Spectral Method of Stochastic Partial Differential Equations Driven by Multivariate Poisson Measure

Journal of Mathematics
A considerable body of prior research has been dedicated to devising efficient and high-order numerical methods for solving stochastic partial differential equations (SPDEs) driven by discrete or continuous random variables. The majority of these efforts
Hongling Xie
doaj   +1 more source

An analysis on fractional non-local stochastic neutral delay differential equations with non-instantaneous impulses

Franklin Open
A family of fractional non-local stochastic neutral differential equations (FNSNDE) including non-instantaneous impulses of order (1,2] in any separable Hilbert space is proposed in this article.
M. Tamilarasi, S. Varshini, B. Radhakrishnan   +2 more
doaj   +1 more source

Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type

Journal of Probability and Statistics, 2010
We study the valuation of American-type derivatives in the stochastic volatility model of Barndorff-Nielsen and Shephard (2001). We characterize the value of such derivatives as the unique viscosity solution of an integral-partial differential equation ...
Alexandre F. Roch
doaj   +1 more source

Stationary in Distributions of Numerical Solutions for Stochastic Partial Differential Equations with Markovian Switching [PDF]

, 2013
Leimin Wang, Yan Li
openalex   +1 more source

Viscosity Solution of Mean-Variance Portfolio Selection of a Jump Markov Process with No-Shorting Constraints

Journal of Applied Mathematics, 2016
We consider the so-called mean-variance portfolio selection problem in continuous time under the constraint that the short-selling of stocks is prohibited where all the market coefficients are random processes.
Moussa Kounta
doaj   +1 more source