Wavelet analysis for the solution to the wave equation with fractional noise in time and white noise in space.
- Published in:
- ESAIM: Probability & Statistics, 2021, v. 24, p. 220, doi. 10.1051/ps/2021009
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- Article
Works matching DE "MALLIAVIN calculus"
Results: 373
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WAVELET ANALYSIS FOR THE SOLUTION TO THE WAVE EQUATION WITH FRACTIONAL NOISE IN TIME AND WHITE NOISE IN SPACE.
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- ESAIM: Probability & Statistics, 2021, v. 25, p. 220, doi. 10.1051/ps/2021009
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3
Stochastic formulations of the parametrix method.
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- ESAIM: Probability & Statistics, 2018, v. 22, p. 178, doi. 10.1051/ps/2018013
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4
Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process.
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- ESAIM: Probability & Statistics, 2018, v. 22, p. 58, doi. 10.1051/ps/2018009
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- Article
5
Bismut–Elworthy–Li formula for subordinated Brownian motion applied to hedging financial derivatives.
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- Cogent Economics & Finance, 2017, v. 5, n. 1, p. N.PAG, doi. 10.1080/23322039.2017.1384125
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- Article
6
Nadaraya-Watson estimators for stochastic differential equations driven by fractional Brownian motion.
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- Stochastic Models, 2024, v. 40, n. 3, p. 502, doi. 10.1080/15326349.2023.2275298
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- Article
7
Utility Maximization Under Bounded Expected Loss.
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- Stochastic Models, 2009, v. 25, n. 3, p. 375, doi. 10.1080/15326340903088495
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- Article
8
A pricing option approach based on backward stochastic differential equation theory.
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- Discrete & Continuous Dynamical Systems - Series S, 2019, v. 12, n. 4/5, p. 969, doi. 10.3934/dcdss.2019065
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9
Asymptotic Bismut formula for Lions derivative of McKean-Vlasov neutral stochastic differential equations with infinite memory.
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- Communications on Pure & Applied Analysis, 2025, v. 24, n. 6, p. 1, doi. 10.3934/cpaa.2025026
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10
Density functions of distribution dependent SDEs driven by Lévy noises.
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- Communications on Pure & Applied Analysis, 2021, v. 20, n. 6, p. 2399, doi. 10.3934/cpaa.2021087
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11
Exponential mixing for the fractional Magneto-Hydrodynamic equations with degenerate stochastic forcing.
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- Communications on Pure & Applied Analysis, 2020, v. 19, n. 9, p. 4479, doi. 10.3934/cpaa.2020204
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- Article
12
A Note on the Hedging of Options by Malliavin Calculus in a Jump-Diffusion Market.
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- Bulletin of the Iranian Mathematical Society, 2019, v. 45, n. 1, p. 75, doi. 10.1007/s41980-018-0120-z
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- Article
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WEAK DIFFERENTIABILITY OF SOLUTIONS TO SDES WITH SEMI-MONOTONE DRIFTS.
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- Bulletin of the Iranian Mathematical Society, 2015, v. 44, n. 4, p. 873
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- Article
14
On “Sourcing Decisions with Stochastic Supplier Reliability and Stochastic Demand”.
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- Production & Operations Management, 2018, v. 27, n. 2, p. 265, doi. 10.1111/poms.12807
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- Article
15
A Lie Algebroid on the Wiener Space.
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- Advances in Mathematical Physics, 2010, p. 1, doi. 10.1155/2010/146719
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- Article
16
Regularity of laws via Dirichlet forms: application to quadratic forms in independent and identically distributed random variables: Regularity of laws via Dirichlet forms: application...: R. Herry et al.
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- Probability Theory & Related Fields, 2025, v. 191, n. 1, p. 523, doi. 10.1007/s00440-024-01332-x
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- Article
17
Effective diffusivities in periodic KPZ.
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- Probability Theory & Related Fields, 2024, v. 190, n. 3/4, p. 1007, doi. 10.1007/s00440-024-01297-x
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18
The Brownian transport map.
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- Probability Theory & Related Fields, 2024, v. 190, n. 1/2, p. 379, doi. 10.1007/s00440-024-01286-0
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- Article
19
Instantaneous everywhere-blowup of parabolic SPDEs.
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- Probability Theory & Related Fields, 2024, v. 190, n. 1/2, p. 601, doi. 10.1007/s00440-024-01263-7
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- Article
20
Malliavin calculus and densities for singular stochastic partial differential equations.
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- Probability Theory & Related Fields, 2023, v. 186, n. 3/4, p. 643, doi. 10.1007/s00440-023-01207-7
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- Article
21
Density of imaginary multiplicative chaos via Malliavin calculus.
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- Probability Theory & Related Fields, 2022, v. 184, n. 3/4, p. 749, doi. 10.1007/s00440-022-01135-y
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- Article
22
Computations of Price Sensitivities after a Financial Market Crash.
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- IAENG International Journal of Applied Mathematics, 2011, v. 41, n. 4, p. 339
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23
OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS.
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- Mathematical Finance, 2008, v. 18, n. 2, p. 239, doi. 10.1111/j.1467-9965.2007.00331.x
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- Article
24
UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET.
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- Mathematical Finance, 2006, v. 16, n. 1, p. 153, doi. 10.1111/j.1467-9965.2006.00266.x
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25
AN ANTICIPATING CALCULUS APPROACH TOT HE UTILITY MAXIMIZATION OF AN INSIDER.
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- Mathematical Finance, 2003, v. 13, n. 1, p. 171, doi. 10.1111/1467-9965.00012
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- Article
26
MALLIAVIN'S CALCULUS IN INSIDER MODELS: ADDITIONAL UTILITY AND FREE LUNCHES.
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- Mathematical Finance, 2003, v. 13, n. 1, p. 153, doi. 10.1111/1467-9965.00011
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27
ERROR CALCULUS AND PATH SENSITIVITY IN FINANCIAL MODELS.
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- Mathematical Finance, 2003, v. 13, n. 1, p. 115, doi. 10.1111/1467-9965.00009
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- Article
28
MONTE CARLO EVALUATION OF GREEKS FOR MULTIDIMENSIONAL BARRIER AND LOOKBACK OPTIONS.
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- Mathematical Finance, 2003, v. 13, n. 1, p. 99, doi. 10.1111/1467-9965.00008
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- Article
29
LOCAL VEGA INDEX AND VARIANCE EDUCTION METHODS.
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- Mathematical Finance, 2003, v. 13, n. 1, p. 85, doi. 10.1111/1467-9965.00007
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- Article
30
OPTIMAL MALLIAVIN WEIGHTING FUNCTION FOR THE COMPUTATION OF THE GREEKS.
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- Mathematical Finance, 2003, v. 13, n. 1, p. 37, doi. 10.1111/1467-9965.t01-1-00004
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- Article
31
HEDGING OPTIONS:THE MALLIAVIN CALCULUS APPROACH VERSUS THE Δ-HEDGING APPROACH.
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- Mathematical Finance, 2003, v. 13, n. 1, p. 73, doi. 10.1111/1467-9965.t01-1-00006
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- Article
32
EXPLICIT REPRESENTATION OF THE MONIMAL VARIANCE PORTFOLIO IN MARKETS DRIVEN BY LÉVY PROCESSES.
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- Mathematical Finance, 2003, v. 13, n. 1, p. 55, doi. 10.1111/1467-9965.t01-1-00005
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- Article
33
A GENERAL APPROACH TO HEDGING OPTIONS: APPLICATIONS TO BARRIER AND PARTIAL BARRIER OPTIONS.
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- Mathematical Finance, 2002, v. 12, n. 3, p. 199, doi. 10.1111/1467-9965.02007
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- Article
34
Two approaches to the use of unbounded operators in Feynman's operational calculus.
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- New York Journal of Mathematics, 2020, p. 378
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- Article
35
Malliavin calculus of Bismut type without probability.
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- Proceedings of the Indian Academy of Sciences: Mathematical Sciences, 2006, v. 116, n. 4, p. 507
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- Article
36
Optical soliton solutions of stochastic the third-order nonlinear Schrödinger equation with multiplicative white noise via Itô calculus.
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- Optical & Quantum Electronics, 2024, v. 56, n. 5, p. 1, doi. 10.1007/s11082-024-06413-8
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- Article
37
High-stochastic solitons for the eighth-order NLSE through Itô calculus and STD with higher polynomial nonlinearity and multiplicative white noise.
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- Optical & Quantum Electronics, 2023, v. 55, n. 14, p. 1, doi. 10.1007/s11082-023-05478-1
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- Article
38
Monomer Control for Error Tolerance in DNA Self-Assembly.
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- Journal of Electronic Testing, 2008, v. 24, n. 1-3, p. 271, doi. 10.1007/s10836-007-5016-4
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- Article
39
On the Hölder Property of Trajectories in a Set of Full Wiener Measure on the Heisenberg Group.
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- Mathematical Notes, 2019, v. 106, n. 1/2, p. 308, doi. 10.1134/S0001434619070356
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- Article
40
An Approximation to the Invariant Measure of the Limiting Diffusion of G / Ph / n + GI Queues in the Halfin–Whitt Regime and Related Asymptotics.
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- Mathematics of Operations Research, 2025, v. 50, n. 2, p. 783, doi. 10.1287/moor.2021.0241
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- Article
41
On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model.
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- Mathematics of Operations Research, 2015, v. 40, n. 3, p. 513, doi. 10.1287/moor.2014.0683
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- Publication type:
- Article
42
Optimal Control for Non-Homogeneous Linear Systems Driven by Fractional Noises.
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- Stochastic Analysis & Applications, 2010, v. 28, n. 2, p. 274, doi. 10.1080/07362990903546470
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- Article
43
A Stochastic Calculus for Systems with Memory.
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- Stochastic Analysis & Applications, 2005, v. 23, n. 3, p. 613, doi. 10.1081/SAP-200056696
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- Article
44
On the Estimations of Smooth Densities for Integro-differential Operators.
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- Stochastic Analysis & Applications, 2004, v. 22, n. 1, p. 211, doi. 10.1081/SAP-120028032
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- Article
45
Conditional Calculus on Poisson Space and Enlargement of Filtration.
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- Stochastic Analysis & Applications, 2003, v. 21, n. 1, p. 183, doi. 10.1081/SAP-120017538
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- Article
46
Stochastic volterra equations in the plane: smoothness of the law.
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- Stochastic Analysis & Applications, 2001, v. 19, n. 6, p. 983, doi. 10.1081/SAP-120000757
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- Article
47
Fractional Ito calculus.
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- Transactions of the American Mathematical Society, Series B, 2024, v. 11, p. 727, doi. 10.1090/btran/185
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- Article
48
Optimal pointwise approximation of anticipating SDEs.
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- Discrete & Continuous Dynamical Systems - Series B, 2024, v. 29, n. 4, p. 1, doi. 10.3934/dcdsb.2023152
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- Publication type:
- Article
49
STOCHASTIC DIFFERENTIAL EQUATION WITH PIECEWISE CONTINUOUS ARGUMENTS: MARKOV PROPERTY, INVARIANT MEASURE AND NUMERICAL APPROXIMATION.
- Published in:
- Discrete & Continuous Dynamical Systems - Series B, 2023, v. 28, n. 1, p. 765, doi. 10.3934/dcdsb.2022098
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- Article
50
Weak convergence of delay SDEs with applications to Carathéodory approximation.
- Published in:
- Discrete & Continuous Dynamical Systems - Series B, 2022, v. 27, n. 9, p. 4725, doi. 10.3934/dcdsb.2021249
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- Article