Quadratic variation for the solution of the nonlinear stochastic wave equation.
- Published in:
- Stochastics & Dynamics, 2025, v. 25, n. 3/4, p. 1, doi. 10.1142/S0219493725500157
- By:
- Publication type:
- Article
Works about MALLIAVIN calculus
Results: 377
1
2
Portfolio Selection and Risk Control for an Insurer With Uncertain Time Horizon and Partial Information in an Anticipating Environment.
- Published in:
- Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 635, doi. 10.1007/s11009-022-09941-6
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- Publication type:
- Article
3
Stochastic Integral Representations of the Extrema of Time-homogeneous Diffusion Processes.
- Published in:
- Methodology & Computing in Applied Probability, 2016, v. 18, n. 3, p. 691, doi. 10.1007/s11009-015-9467-2
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- Publication type:
- Article
4
Malliavin Calculus Approach to Statistical Inference for Lévy Driven SDE's.
- Published in:
- Methodology & Computing in Applied Probability, 2015, v. 17, n. 1, p. 107, doi. 10.1007/s11009-013-9387-y
- By:
- Publication type:
- Article
5
Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations.
- Published in:
- Methodology & Computing in Applied Probability, 2013, v. 15, n. 1, p. 147, doi. 10.1007/s11009-011-9228-9
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- Publication type:
- Article
6
New Central Limit Theorems for Functionals of Gaussian Processes and their Applications.
- Published in:
- Methodology & Computing in Applied Probability, 2012, v. 14, n. 3, p. 477, doi. 10.1007/s11009-011-9236-9
- By:
- Publication type:
- Article
7
An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach.
- Published in:
- Asia-Pacific Financial Markets, 2016, v. 23, n. 4, p. 337, doi. 10.1007/s10690-016-9220-z
- By:
- Publication type:
- Article
8
Pricing Discrete Barrier Options Under Stochastic Volatility.
- Published in:
- Asia-Pacific Financial Markets, 2012, v. 19, n. 3, p. 205, doi. 10.1007/s10690-011-9147-3
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- Publication type:
- Article
9
Asymptotic Properties of Monte Carlo Estimators of Derivatives.
- Published in:
- Management Science, 2005, v. 51, n. 11, p. 1657, doi. 10.1287/mnsc.1050.0398
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- Publication type:
- Article
10
The quadratic variation for mixed-fractional Brownian motion.
- Published in:
- Journal of Inequalities & Applications, 2016, v. 2016, n. 1, p. 1, doi. 10.1186/s13660-016-1254-2
- By:
- Publication type:
- Article
11
Fourth Cumulant Bound of Multivariate Normal Approximation on General Functionals of Gaussian Fields.
- Published in:
- Mathematics (2227-7390), 2022, v. 10, n. 8, p. N.PAG, doi. 10.3390/math10081352
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- Publication type:
- Article
12
An Edgeworth Expansion for the Ratio of Two Functionals of Gaussian Fields and Optimal Berry–Esseen Bounds.
- Published in:
- Mathematics (2227-7390), 2021, v. 9, n. 18, p. 2223, doi. 10.3390/math9182223
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- Publication type:
- Article
13
An Intuitive Introduction to Fractional and Rough Volatilities.
- Published in:
- Mathematics (2227-7390), 2021, v. 9, n. 9, p. 994, doi. 10.3390/math9090994
- By:
- Publication type:
- Article
14
A High Order Accurate and Effective Scheme for Solving Markovian Switching Stochastic Models.
- Published in:
- Mathematics (2227-7390), 2021, v. 9, n. 6, p. 588, doi. 10.3390/math9060588
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- Publication type:
- Article
15
Fractional Ito calculus.
- Published in:
- Transactions of the American Mathematical Society, Series B, 2024, v. 11, p. 727, doi. 10.1090/btran/185
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- Publication type:
- Article
16
A theoretical and empirical comparison of the temporal exponential random graph model and the stochastic actor-orientedmodel - Corrigendum.
- Published in:
- Network Science, 2022, v. 10, n. 1, p. 111, doi. 10.1017/nws.2022.11
- By:
- Publication type:
- Article
17
THE PERIPATETIC PROGRAM IN CATEGORICAL LOGIC: LEIBNIZ ON PROPOSITIONAL TERMS.
- Published in:
- Review of Symbolic Logic, 2020, v. 13, n. 1, p. 141, doi. 10.1017/S1755020318000266
- By:
- Publication type:
- Article
18
Computations of Price Sensitivities after a Financial Market Crash.
- Published in:
- IAENG International Journal of Applied Mathematics, 2011, v. 41, n. 4, p. 339
- By:
- Publication type:
- Article
19
The Malliavin-Stein method for Hawkes functionals.
- Published in:
- ALEA. Latin American Journal of Probability & Mathematical Statistics, 2022, v. 19, n. 2, p. 1293, doi. 10.30757/ALEA.v19-52
- By:
- Publication type:
- Article
20
Limit behavior for Wishart matrices with Skorohod integrals.
- Published in:
- ALEA. Latin American Journal of Probability & Mathematical Statistics, 2021, v. 18, p. 1625, doi. 10.30757/ALEA.v18-59
- By:
- Publication type:
- Article
21
Weak convergence on Wiener space: targeting the first two chaoses.
- Published in:
- ALEA. Latin American Journal of Probability & Mathematical Statistics, 2019, v. 16, p. 85, doi. 10.30757/ALEA.v16-05
- By:
- Publication type:
- Article
22
An extension of the complex–real (C–R) calculus to the bicomplex setting, with applications.
- Published in:
- Mathematische Nachrichten, 2024, v. 297, n. 2, p. 454, doi. 10.1002/mana.202200475
- By:
- Publication type:
- Article
23
Gaussian density estimates for solutions of fully coupled forward‐backward SDEs.
- Published in:
- Mathematische Nachrichten, 2020, v. 293, n. 8, p. 1554, doi. 10.1002/mana.201800381
- By:
- Publication type:
- Article
24
Existence of density function for the running maximum of SDEs driven by nontruncated pure-jump Lévy processes.
- Published in:
- Modern Stochastics: Theory & Applications, 2024, v. 11, n. 3, p. 303, doi. 10.15559/24-VMSTA245
- By:
- Publication type:
- Article
25
Power law in Sandwiched Volterra Volatility model.
- Published in:
- Modern Stochastics: Theory & Applications, 2024, v. 11, n. 2, p. 169, doi. 10.15559/24-VMSTA246
- By:
- Publication type:
- Article
26
Malliavin-Stein method: a survey of some recent developments.
- Published in:
- Modern Stochastics: Theory & Applications, 2021, v. 8, n. 2, p. 141, doi. 10.15559/21-VMSTA184
- By:
- Publication type:
- Article
27
Linear backward stochastic differential equations with Gaussian Volterra processes.
- Published in:
- Modern Stochastics: Theory & Applications, 2020, v. 7, n. 4, p. 415, doi. 10.15559/20-VMSTA166
- By:
- Publication type:
- Article
28
The asymptotic error of chaos expansion approximations for stochastic differential equations.
- Published in:
- Modern Stochastics: Theory & Applications, 2019, v. 6, n. 2, p. 145, doi. 10.15559/19-VMSTA133
- By:
- Publication type:
- Article
29
Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus.
- Published in:
- Modern Stochastics: Theory & Applications, 2018, v. 5, n. 2, p. 145, doi. 10.15559/18-VMSTA100
- By:
- Publication type:
- Article
30
Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing.
- Published in:
- Turkish Journal of Mathematics, 2022, v. 46, n. 1, p. 71, doi. 10.3906/mat-2105-6
- By:
- Publication type:
- Article
31
Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options.
- Published in:
- Turkish Journal of Mathematics, 2017, v. 41, n. 2, p. 381, doi. 10.3906/mat-1507-86
- By:
- Publication type:
- Article
32
Bismut–Elworthy–Li formula for subordinated Brownian motion applied to hedging financial derivatives.
- Published in:
- Cogent Economics & Finance, 2017, v. 5, n. 1, p. N.PAG, doi. 10.1080/23322039.2017.1384125
- By:
- Publication type:
- Article
33
ПОВЕРХНЕВІ МІРИ, АСОЦІЙОВАНІ З НЕІНВАРІАНТНОЮ МІРОЮ У СКІНЧЕННОВИМІРНОМУ ПРОСТОРІ
- Published in:
- System Research & Information Technologies / Sistemnì Doslìdžennâ ta Ìnformacìjnì Tehnologìï, 2019, v. 9, n. 4, p. 119, doi. 10.20535/SRIT.2308-8893.2019.4.12
- By:
- Publication type:
- Article
34
AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION.
- Published in:
- Probability in the Engineering & Informational Sciences, 2022, v. 36, n. 2, p. 357, doi. 10.1017/S0269964820000650
- By:
- Publication type:
- Article
35
DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION.
- Published in:
- Probability in the Engineering & Informational Sciences, 2022, v. 36, n. 1, p. 201, doi. 10.1017/S026996482000025X
- By:
- Publication type:
- Article
36
A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL.
- Published in:
- Probability in the Engineering & Informational Sciences, 2020, v. 34, n. 1, p. 27, doi. 10.1017/S0269964818000311
- By:
- Publication type:
- Article
37
A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting.
- Published in:
- Monte Carlo Methods & Applications, 2022, v. 28, n. 2, p. 97, doi. 10.1515/mcma-2022-2109
- By:
- Publication type:
- Article
38
High order weak approximation for irregular functionals of time-inhomogeneous SDEs.
- Published in:
- Monte Carlo Methods & Applications, 2021, v. 27, n. 2, p. 117, doi. 10.1515/mcma-2021-2085
- By:
- Publication type:
- Article
39
A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus.
- Published in:
- Monte Carlo Methods & Applications, 2019, v. 25, n. 4, p. 341, doi. 10.1515/mcma-2019-2053
- By:
- Publication type:
- Article
40
Toward a coherent Monte Carlo simulation of CVA.
- Published in:
- Monte Carlo Methods & Applications, 2014, v. 20, n. 3, p. 195, doi. 10.1515/mcma-2013-0026
- By:
- Publication type:
- Article
41
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach.
- Published in:
- Monte Carlo Methods & Applications, 2005, v. 11, n. 2, p. 97, doi. 10.1515/156939605777585944
- By:
- Publication type:
- Article
42
Monte Carlo simulation of killed diffusion.
- Published in:
- Monte Carlo Methods & Applications, 2000, v. 6, n. 4, p. 263, doi. 10.1515/mcma.2000.6.4.263
- By:
- Publication type:
- Article
43
A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems.
- Published in:
- Asian Journal of Control, 2015, v. 17, n. 5, p. 1798, doi. 10.1002/asjc.1097
- By:
- Publication type:
- Article
44
Assessment of Stochastic Numerical Schemes for Stochastic Differential Equations with "White Noise" Using Itô's Integral.
- Published in:
- Symmetry (20738994), 2023, v. 15, n. 11, p. 2038, doi. 10.3390/sym15112038
- By:
- Publication type:
- Article
45
Dynamic Hilbert-Type Inequalities with Fenchel-Legendre Transform.
- Published in:
- Symmetry (20738994), 2020, v. 12, n. 4, p. 582, doi. 10.3390/sym12040582
- By:
- Publication type:
- Article
46
A Meyer-Itô formula for stable processes via fractional calculus.
- Published in:
- Fractional Calculus & Applied Analysis, 2023, v. 26, n. 2, p. 619, doi. 10.1007/s13540-023-00139-2
- By:
- Publication type:
- Article
47
A Feynman–Kac approach for the spatial derivative of the solution to the Wick stochastic heat equation driven by time homogeneous white noise.
- Published in:
- Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2023, v. 26, n. 3, p. 1, doi. 10.1142/S0219025723500017
- By:
- Publication type:
- Article
48
Stochastic integrals and Gelfand integration in Fréchet spaces.
- Published in:
- Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2022, v. 25, n. 2, p. 1, doi. 10.1142/S0219025722500072
- By:
- Publication type:
- Article
49
Sensitivity analysis in the infinite dimensional Heston model.
- Published in:
- Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2021, v. 24, n. 2, p. N.PAG, doi. 10.1142/S0219025721500144
- By:
- Publication type:
- Article
50
Lp-Theory for the fractional time stochastic heat equation with an infinite-dimensional fractional Brownian motion.
- Published in:
- Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2021, v. 24, n. 2, p. N.PAG, doi. 10.1142/S0219025721500107
- By:
- Publication type:
- Article