STOCHASTIC-DYNAMIC LIMITING PRICING: AN EMPIRICAL TEST.
- Published in:
- Review of Economics & Statistics, 1982, v. 64, n. 3, p. 413, doi. 10.2307/1925939
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- Publication type:
- Article
Works matching DE "STOCHASTIC integral equations"
Results: 85
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2
Two Types of RG-Factorizations of Quasi-birth-and-death Processes and Their Applications to Stochastic Integral Functionals.
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- Stochastic Models, 2004, v. 20, n. 3, p. 299, doi. 10.1081/STM-200025740
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3
Preconditioners for Solving Stochastic Boundary Integral Equations with Weakly Singular Kernels.
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- Computing, 1999, v. 63, n. 1, p. 47, doi. 10.1007/s006070050050
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4
$$G/{ GI}/N(+{ GI})$$ queues with service interruptions in the Halfin-Whitt regime.
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- Mathematical Methods of Operations Research, 2016, v. 83, n. 1, p. 127, doi. 10.1007/s00186-015-0523-z
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- Article
5
Stochastic integral representations of quantum martingales on multiple Fock space.
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- Proceedings of the Indian Academy of Sciences: Mathematical Sciences, 2006, v. 116, n. 4, p. 489
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6
On the exact rates of decay of solutions of positive linear Volterra equations with delays.
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- Positivity, 2010, v. 14, n. 1, p. 181, doi. 10.1007/s11117-009-0014-7
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7
ON A FUNCTIONAL VERSION OF THE CONVERGENCE OF A QUADRATIC FORM IN INDEPENDENT MARTINGALES TO A ... DISTRIBUTION.
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- Theory of Probability & Its Applications, 1999, v. 43, n. 1, p. 13, doi. 10.1137/S0040585X97976635
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8
REGULAR GAUSSIAN RANDOM OPERATORS AND STROOK-VARADHAN THEOREM FOR SYMMETRIC STOCHASTIC FREDHOLM-TYPE EQUATIONS.
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- Theory of Probability & Its Applications, 1998, v. 42, n. 2, p. 244, doi. 10.1137/S0040585X97976106
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9
AN APPROXIMATION OF THE IT ^ O AND STRATONOVICH STOCHASTIC INTEGRALS BY ELEMENTS OF A DIRECT PRODUCT OF ALGEBRAS OF GENERALIZED RANDOM PROCESSES.
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- Theory of Probability & Its Applications, 1997, v. 41, n. 4, p. 695, doi. 10.1137/S0040585X97975708
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- Article
10
A Branch and Bound Method for Stochastic Integer Problems Under Probabilistic Constraints.
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- Optimization Methods & Software, 2002, v. 17, n. 3, p. 359, doi. 10.1080/1055678021000033937
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11
Convergence of Stochastic Optimization and Decision Analysis in the Engineering Design of Aquifer...
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- Ground Water, 1999, v. 37, n. 6, p. 934, doi. 10.1111/j.1745-6584.1999.tb01193.x
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- Article
12
Assessing the Efficiency of Public Schools Using Data Envelopment Analysis and Frontier Regression.
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- Contemporary Economic Policy, 1999, v. 17, n. 3, p. 321, doi. 10.1111/j.1465-7287.1999.tb00685.x
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- Article
13
Heavy-traffic limits for many-server queues with service interruptions.
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- Queueing Systems, 2009, v. 61, n. 2/3, p. 167, doi. 10.1007/s11134-009-9104-2
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- Article
14
Stochastic Integration for the Heterogeneous Correlation Modeling Using a Diffusion Equation.
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- Monthly Weather Review, 2010, v. 138, n. 8, p. 3356, doi. 10.1175/2010MWR3239.1
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- Article
15
Existence of Solutions of Nonlinear Stochastic Volterra Fredholm Integral Equations of Mixed Type.
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- International Journal of Mathematics & Mathematical Sciences, 2010, p. 1, doi. 10.1155/2010/603819
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16
The Stochastic Burger's Equation in Ito's Sense.
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- Studies in Applied Mathematics, 2004, v. 112, n. 1, p. 87, doi. 10.1111/j.1467-9590.2004.01505.x
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- Article
17
The method of characteristics for Hamilton—Jacobi equations and applications to dynamical optimization.
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- Journal of Mathematical Sciences, 2006, v. 135, n. 3, p. 2955, doi. 10.1007/s10958-006-0146-2
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- Article
18
Computing a Stationary Base-Stock Policy for a Finite Horizon Stochastic Inventory Problem with Non-linear Shortage Costs.
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- Stochastic Analysis & Applications, 2004, v. 22, n. 3, p. 589, doi. 10.1081/SAP-120030447
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- Article
19
The Non-uniform Riemann Approach to Anticipating Stochastic Integrals.
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- Stochastic Analysis & Applications, 2004, v. 22, n. 2, p. 429, doi. 10.1081/SAP-120028598
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20
Existence of Random Solutions of a General Class of Stochastic Functional Integral Equations.
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- Stochastic Analysis & Applications, 2003, v. 21, n. 5, p. 1189, doi. 10.1081/SAP-120024709
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- Article
21
On Markov Chain Approximations to Semilinear Partial Differential Equations Driven by Poisson Measure Noise.
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- Stochastic Analysis & Applications, 2003, v. 21, n. 2, p. 419, doi. 10.1081/SAP-120019293
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22
On the stochastic integral equations with non-lipschitz coefficients.
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- Stochastic Analysis & Applications, 2002, v. 20, n. 2, p. 283, doi. 10.1081/SAP-120003435
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- Article
23
Adapted solution of a backward stochastic nonlinear Volterra integral equation.
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- Stochastic Analysis & Applications, 2002, v. 20, n. 1, p. 165, doi. 10.1081/SAP-120002426
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- Article
24
Approximation of stochastic evolution equations and application to equations with fractional power of infinitesimal operators.
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- Random Operators & Stochastic Equations, 2000, v. 8, n. 1, p. 27, doi. 10.1515/rose.2000.8.1.27
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25
Equivalence of gradients on configuration spaces.
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- Random Operators & Stochastic Equations, 1999, v. 7, n. 3, p. 241, doi. 10.1515/rose.1999.7.3.241
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- Article
26
Necessary Conditions of Optimality for Some Stochastic Integrodifferential Equations of Neutral Type on Hilbert Spaces.
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- Applied Mathematics & Optimization, 2018, v. 77, n. 2, p. 343, doi. 10.1007/s00245-016-9377-x
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- Article
27
Duality Theory in Interval-Valued Linear Programming Problems.
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- Journal of Optimization Theory & Applications, 2011, v. 150, n. 2, p. 298, doi. 10.1007/s10957-011-9842-2
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- Article
28
Extended Stochastic Integral and Wick Calculus on Spaces of Regular Generalized Functions Connected with Gamma Measure.
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- Ukrainian Mathematical Journal, 2005, v. 57, n. 8, p. 1214, doi. 10.1007/s11253-005-0258-8
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29
Asymptotic equivalence of linear stochastic Itô systems and oscillation of solutions of linear second-order equations.
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- Differential Equations, 2011, v. 47, n. 6, p. 799, doi. 10.1134/S001226611106005X
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30
APPROXIMATE CONTROLLABILITY OF DAMPED SECOND-ORDER IMPULSIVE NEUTRAL STOCHASTIC INTEGRO-DIFFERENTIAL SYSTEM WITH STATE-DEPENDENT DELAY.
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- Electronic Journal of Mathematical Analysis & Applications, 2017, v. 5, n. 2, p. 221
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31
ON SOLUTIONS OF GENERAL NONLINEAR STOCHASTIC INTEGRAL EQUATIONS.
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- Journal of Applied Mathematics & Stochastic Analysis, 2006, p. 1, doi. 10.1155/JAMSA/2006/45979
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- Article
32
Numerical method for solving linear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using hat functions.
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- Turkish Journal of Mathematics, 2017, v. 41, n. 3, p. 611, doi. 10.3906/mat-1508-50
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- Article
33
Stochastic Kadomtsev–Petviashvili Equation.
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- Journal of Experimental & Theoretical Physics, 2000, v. 90, n. 6, p. 1105, doi. 10.1134/1.559201
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- Article
34
Entropy maximum in random processes with a 1/ f spectrum.
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- Doklady Physics, 2010, v. 55, n. 10, p. 485, doi. 10.1134/S1028335810100034
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- Article
35
Studies on the signal amplification in weighted and unweighted small-world networks.
- Published in:
- International Journal of Modern Physics B: Condensed Matter Physics; Statistical Physics; Applied Physics, 2017, v. 31, n. 4, p. -1, doi. 10.1142/S0217979217500217
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36
Nonlinear branching processes with immigration.
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- Acta Mathematica Sinica, 2017, v. 33, n. 8, p. 1021, doi. 10.1007/s10114-017-6472-0
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37
Mean-variance hedging for continuous processes: New proofs and examples.
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- Finance & Stochastics, 1998, v. 2, n. 2, p. 173, doi. 10.1007/s007800050037
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- Article
38
LIMITED INFORMATION USING THE NEWTON SOLUTION.
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- Australian Economic Papers, 1972, v. 11, n. 18, p. 112, doi. 10.1111/j.1467-8454.1972.tb00192.x
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- Article
39
Stochastic Integral and Stochastic Derivative Connected with a Lévy Progress.
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- Naukovi visti NTUU - KPI, 2012, v. 84, n. 4, p. 77
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- Article
40
The use of Adomian decomposition method for solving the one-dimensional parabolic equation with non-local boundary specifications.
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- International Journal of Computer Mathematics, 2004, v. 81, n. 1, p. 25, doi. 10.1080/0020716031000112321
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- Article
41
SEMI-LINEAR BACKWARD STOCHASTIC INTEGRAL PARTIAL DIFFERENTIAL EQUATIONS DRIVEN BY A BROWNIAN MOTION AND A POISSON POINT PROCESS.
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- Mathematical Control & Related Fields, 2015, v. 5, n. 3, p. 401, doi. 10.3934/mcrf.2015.5.401
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- Article
42
A finite element approach to the pricing of discrete lookbacks with stochastic volatility.
- Published in:
- Applied Mathematical Finance, 1999, v. 6, n. 2, p. 87, doi. 10.1080/135048699334564
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43
On the behaviour of stochastic heat equations on bounded domains.
- Published in:
- ALEA. Latin American Journal of Probability & Mathematical Statistics, 2015, v. 12, p. 551
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44
ON COMPONENTWISE AND VECTOR STOCHASTIC INTEGRATION.
- Published in:
- Mathematical Finance, 1994, v. 4, n. 1, p. 57, doi. 10.1111/j.1467-9965.1994.tb00049.x
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45
Construction of age-structured branching processes by stochastic equations.
- Published in:
- Journal of Applied Probability, 2022, v. 59, n. 3, p. 670, doi. 10.1017/jpr.2021.80
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- Article
46
CONTINUITY THEOREMS IN STOCHASTIC CONTROL PROBLEMS.
- Published in:
- Mathematics of Operations Research, 1982, v. 7, n. 4, p. 568, doi. 10.1287/moor.7.4.568
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- Article
47
Strong solutions to stochastic equations with Lévy noise and a discontinuous drift coefficient.
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- Doklady Mathematics, 2015, v. 92, n. 1, p. 471, doi. 10.1134/S1064562415040213
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- Article
48
Boundary control of the displacement at one end with the other end free for a process described by the telegraph equation with a variable coefficient.
- Published in:
- Doklady Mathematics, 2013, v. 87, n. 3, p. 351, doi. 10.1134/S1064562413030319
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49
Essential spectrum of pseudodifferential operators with operator-valued symbols.
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- Doklady Mathematics, 2011, v. 84, n. 2, p. 685, doi. 10.1134/S1064562411060317
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- Article
50
Estimates for norms of discrete stochastic integrals.
- Published in:
- Doklady Mathematics, 2010, v. 81, n. 3, p. 414, doi. 10.1134/S106456241003021X
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- Article