Results 21 to 30 of about 7,777 (145)
Mathematics, 2019 This paper considers a method of the calculation of probability of the exit from a band of the solution of a stochastic differential equation. The method is based on the approximation of the solution of the considered equation by a process which is ...
Grigory Beliavsky +2 more
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A Wiener--Hopf Monte Carlo simulation technique for L\'{e}vy processes [PDF]
, 2011 We develop a completely new and straightforward method for simulating the joint law of the position and running maximum at a fixed time of a general L\'{e}vy process with a view to application in insurance and financial mathematics.
Kuznetsov, A. +3 more
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Solvability of an Integral Equation of Volterra-Wiener-Hopf Type
Abstract and Applied Analysis, 2014 The paper presents results concerning the solvability of a nonlinear integral equation of Volterra-Stieltjes type. We show that under some assumptions that equation has a continuous and bounded solution defined on the interval 0,∞ and having a finite ...
Nurgali K. Ashirbayev +2 more
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Existence and uniqueness theorem for a Hammerstein nonlinear integral equation [PDF]
Opuscula Mathematica, 2011 The existence of a solution, as well as some properties of the obtained solution for a Hammerstein type nonlinear integral equation have been investigated. For a certain class of functions the uniqueness theorem has also been proved.
A. Kh. Khachatryan, Kh. A. Khachatryan
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The Wiener–Hopf perspective on embedding formula: reusing solutions of boundary value problems
Royal Society Open ScienceEmbedding formula allows solutions to be reused within a family of boundary value problems by expressing a family of solutions in terms of a small number of solutions. Such formulas have been previously derived in the context of diffraction by applying a
Andrey I. Korolkov, Anastasia V. Kisil
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Electronic Journal of Qualitative Theory of Differential Equations, 2017 The paper is devoted to the study of the solvability of a nonlinear Volterra–Stieltjes integral equation in the class of real functions defined, bounded and continuous on the real half-axis $\mathbb{R}_+$ and having finite limits at infinity.
Jozef Banas, Agnieszka Dubiel
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The Scientific World Journal, 2013 In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propose a general approach to the numerical methods based on a finite difference approximation for the generalized Black-Scholes equation.
Oleg Kudryavtsev
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Electronic Journal of Qualitative Theory of Differential Equations, 2018 The paper deals with the study of the existence of solutions of a quadratic integral equation of Volterra–Stieltjes type. We are looking for solutions in the class of real functions continuous and bounded on the real half-axis $\mathbb{R}_+$ and ...
Jozef Banas, Agnieszka Dubiel
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The method of finite-product extraction and an application to Wiener-Hopf theory [PDF]
, 2011 Copyright @ The Author, 2011. The publisher version of the article can be accessed at the link below.In this work we describe a simple method for finding approximate representations for special functions which are entire transcendental functions that can
Rawlins, AD
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, 2011 This paper describes a novel numerical approach to find the statistics of the non-stationary response of scalar non-linear systems excited by L\'evy white noises.
Cottone G Di Paola M Marino F +14 more
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