Results 41 to 50 of about 208,713 (299)

Some approximation results for mild solutions of stochastic fractional order evolution equations driven by Gaussian noise [PDF]

, 2023
We investigate the quality of space approximation of a class of stochastic integral equations of convolution type with Gaussian noise. Such equations arise, for example, when considering mild solutions of stochastic fractional order partial differential ...
Fahim, K.,, Kovacs, Mihaly, Hausenblas, Erika, Kovacs, Mihaly,, Hausenblas, Erika,, E. Hausenblas, Fahim, K., K. Fahim, M. Kovács   +8 more
core   +1 more source

Pricing Arithmetic Asian Options under Hybrid Stochastic and Local Volatility

Journal of Applied Mathematics, 2014
Recently, hybrid stochastic and local volatility models have become an industry standard for the pricing of derivatives and other problems in finance. In this study, we use a multiscale stochastic volatility model incorporated by the constant elasticity ...
Min-Ku Lee, Jeong-Hoon Kim, Kyu-Hwan Jang   +2 more
doaj   +1 more source

On existence and stabilization of the strong solution of the autonomous stochastic partial differential Ito-Skorokhod equation with random parameters

Sistemnì Doslìdženâ ta Informacìjnì Tehnologìï, 2018
This paper considers the asymptotic behavior of the strong solution of the linear partial stochastic differential Ito–Skorokhod equation in the corresponding space with random parameters.
Volodymyr K. Yasynskyy, Igor V. Yurchenko   +1 more
doaj   +1 more source

Some contributions to stochastic differential equations

, 2022
This thesis elaborates topics on a type of McKean–Vlasov stochastic differential equations and forward–backward stochastic differential equations arising from physics models. Mainly, this thesis is divided into three parts.
Yao, Yuhan
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Well-posedness of stochastic heat equation with distributional drift and skew stochastic heat equation [PDF]

, 2020
We study stochastic reaction--diffusion equation ∂tut(x)=12∂2xxut(x)+b(ut(x))+W˙t(x),t>0,x∈D where b is a generalized function in the Besov space Bβq,∞(R), D⊂R and W˙ is a space-time white noise on R+×D.
Butkovsky, O., Khoa, L., Lê, K., Mytnik, L., Lê, Khoa, Athreya, S., Athreya, Siva, Butkovsky, Oleg, Mytnik, Leonid   +8 more
core   +1 more source

A white noise approach to stochastic partial differential equations driven by the fractional Lévy noise

Advances in Difference Equations, 2018
In this paper, based on the white noise theory for d-parameter Lévy random fields given by (Holden et al. in Stochastic Partial Differential Equations: A modeling, white noise functional approach, 2010), we develop a white noise frame for anisotropic ...
Xuebin Lü, Wanyang Dai
doaj   +1 more source

Backward stochastic partial differential equations driven by infinite-dimensional martingales and applications [PDF]

This paper studies first a result of existence and uniqueness of the solution to a backward stochastic differential equation driven by an infinite-dimensional martingale.
Al-Hussein, AbdulRahman
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Backward doubly stochastic differential equations with jumps and stochastic partial differential-integral equations [PDF]

Chinese Annals of Mathematics, Series B, 2012
19 ...
Zhu, Qingfeng, Shi, Yufeng
openaire   +2 more sources

The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications

, 2008
This paper deals with a class of backward stochastic differential equations with Poisson jumps and with random terminal times. We prove the existence and uniqueness result of adapted solution for such a BSDE under the assumption of non-Lipschitzian ...
Mao, X., , NSF of Guangdong Province (Funder), Mao, Xuerong, Yin, J., NSF of Guangdong Province (Funder), Yin, Juliang   +5 more
core   +1 more source

Stochastic PDEs with multiscale structure [PDF]

, 2012
We study the spatial homogenisation of parabolic linear stochastic PDEs exhibiting a two-scale structure both at the level of the linear operator and at the level of the Gaussian driving noise.
Martin Hairer, Hairer, Martin, Kelly, David (David T. B.), David Kelly   +3 more
core   +1 more source