Works matching DE "STOCHASTIC integrals"

Results: 534

Data informed solution estimation for forward-backward stochastic differential equations.

Published in:

Analysis & Applications, 2021, v. 19, n. 3, p. 439, doi. 10.1142/S0219530520400102

By:

Bao, Feng;
Cao, Yanzhao;
Yong, Jiongmin

Publication type:

Article

An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise.

Published in:

Numerical Methods for Partial Differential Equations, 2021, v. 37, n. 3, p. 2730, doi. 10.1002/num.22769

By:

Günay Akdemir, Hande

Publication type:

Article

RFID Transponder Collision Control Algorithm.

Published in:

Wireless Personal Communications, 2011, v. 59, n. 4, p. 689, doi. 10.1007/s11277-010-9932-8

By:

Reza, Ahmed Wasif;
Tan Kim Geok;
Kiew Joh Chia;
Dimyati, Kaharudin

Publication type:

Article

The functional law of iterated logarithm for Itô stochastic integrals.

Published in:

Journal of Mathematical Sciences, 2015, v. 207, n. 1, p. 47, doi. 10.1007/s10958-015-2354-0

By:

Logachov, Artem

Publication type:

Article

حل عددی معادله انتگرال ایتو ولترای تصادفیبا چند جمله تصادفیبا استفاده از توابع پایۀ کالهی اصالح شده و بهبودیافته.

Published in:

Mathematical Researches, 2023, v. 9, n. 1, p. 222

By:

ندا مؤمنزاده;
علیرضا وحیدی

Publication type:

Article

Closed-Form Expansion, Conditional Expectation, and Option Valuation.

Published in:

Mathematics of Operations Research, 2014, v. 39, n. 2, p. 487, doi. 10.1287/moor.2013.0613

By:

Chenxu Li

Publication type:

Article

STOCHASTIC DOMINANCE AND MOMENTS OF DISTRIBUTIONS.

Published in:

Mathematics of Operations Research, 1980, v. 5, n. 1, p. 94, doi. 10.1287/moor.5.1.94

By:

Fishburn, Peter C.

Publication type:

Article

Invariance times transfer properties.

Published in:

Probability, Uncertainty & Quantitative Risk, 2024, v. 9, n. 4, p. 1, doi. 10.3934/puqr.2024019

By:

Crépey, Stéphane

Publication type:

Article

Capital allocation for cash-subadditive risk measures: From BSDEs to BSVIEs.

Published in:

Probability, Uncertainty & Quantitative Risk, 2024, v. 9, n. 3, p. 1, doi. 10.3934/puqr.2024015

By:

Gianin, Emanuela Rosazza;
Zullino, Marco

Publication type:

Article

Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators.

Published in:

Probability, Uncertainty & Quantitative Risk, 2022, v. 7, n. 4, p. 301, doi. 10.3934/puqr.2022018

By:

Hanxiao Wang;
Jiongmin Yong;
Chao Zhou

Publication type:

Article

Path independence of the additive functionals for stochastic differential equations driven by G-lévy processes.

Published in:

Probability, Uncertainty & Quantitative Risk, 2022, v. 7, n. 2, p. 101, doi. 10.3934/puqr.2022007

By:

Huijie Qiao;
Jiang-Lun Wu

Publication type:

Article

Lower and upper pricing of financial assets.

Published in:

Probability, Uncertainty & Quantitative Risk, 2022, v. 7, n. 1, p. 45, doi. 10.3934/puqr.2022004

By:

Elliott, Robert;
Madan, Dilip B.;
Tak Kuen Siu

Publication type:

Article

General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition.

Published in:

Probability, Uncertainty & Quantitative Risk, 2021, v. 6, n. 4, p. 301, doi. 10.3934/puqr.2021015

By:

Tingting Li;
Ziheng Xu;
Shengjun Fan

Publication type:

Article

An FBSDE approach to market impact games with stochastic parameters.

Published in:

Probability, Uncertainty & Quantitative Risk, 2021, v. 6, n. 3, p. 237, doi. 10.3934/puqr.2021012

By:

Drapeau, Samuel;
Peng Luo;
Schied, Alexander;
Dewen Xiong

Publication type:

Article

Cameron–Storvick theorem associated with Gaussian paths on function space.

Published in:

Turkish Journal of Mathematics, 2021, v. 45, n. 6, p. 2746, doi. 10.3906/mat-2104-90

By:

CHOI, Jae Gil

Publication type:

Article

Quantum integral equations of Volterra type in terms of discrete-time normal martingale.

Published in:

Turkish Journal of Mathematics, 2019, v. 43, n. 3, p. 1047, doi. 10.3906/mat-1805-149

By:

Jinshu CHEN;
Yuling TANG

Publication type:

Article

Chapter Four: Mean Field Game System with a Common Noise.

Published in:

Princeton Annals of Mathematics Studies, 2019, n. 201, p. 85

By:

Cardaliaguet, Pierre;
Delarue, François;
Lasry, Jean-Michel;
Lions, Pierre-Louis

Publication type:

Article

Chapter Two: Presentation of the Main Results.

Published in:

Princeton Annals of Mathematics Studies, 2019, n. 201, p. 28

By:

Cardaliaguet, Pierre;
Delarue, François;
Lasry, Jean-Michel;
Lions, Pierre-Louis

Publication type:

Article

An interval-parameter two-stage stochastic integer programming model for environmental systems planning under uncertainty.

Published in:

Engineering Optimization, 2006, v. 38, n. 4, p. 461, doi. 10.1080/03052150600557742

By:

Li, Y.;
Huang, G.;
Nie, S.;
Nie, X.;
Maqsood, I.

Publication type:

Article

DOUBLE LUSIN CONDITION AND CONVERGENCE THEOREMS FOR THE BACKWARDS ITÔ-HENSTOCK INTEGRAL.

Published in:

Real Analysis Exchange, 2020, v. 45, n. 1, p. 101, doi. 10.14321/realanalexch.45.1.0101

By:

Rulete, Ricky F.;
Labendia, Mhelmar A.

Publication type:

Article

A DESCRIPTIVE DEFINITION OF THE BACKWARDS ITÔ-HENSTOCK INTEGRAL.

Published in:

Real Analysis Exchange, 2019, v. 44, n. 2, p. 427, doi. 10.14321/realanalexch.44.2.0427

By:

Rulete, Ricky F.;
Labendia, Mhelmar A.

Publication type:

Article

THE NON-UNIFORM RIEMANN APPROACH TO THE MUTLIPLE ITÔ-WIENER INTEGRAL.

Published in:

Real Analysis Exchange, 2003, v. 29, n. 1, p. 275

By:

Toh Tin-Lam;
Chew Tuan-Seng

Publication type:

Article

Stratonovich Calculus with Respect to Fractional Brownian Sheet.

Published in:

Stochastic Analysis & Applications, 2009, v. 27, n. 5, p. 962, doi. 10.1080/07362990903136462

By:

Yoon Tae Kim;
Hyun Suk Park

Publication type:

Article

On a Class of Generalized Integrands.

Published in:

Stochastic Analysis & Applications, 2007, v. 25, n. 6, p. 1167, doi. 10.1080/07362990701567272

By:

De Donno, Marzia

Publication type:

Article

Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition.

Published in:

Stochastic Analysis & Applications, 2006, v. 24, n. 5, p. 1013, doi. 10.1080/07362990600870454

By:

Yong Ren;
Ningmao Xia

Publication type:

Article

Stochastic Integrals and the Lévy-Ito Decomposition Theorem on Separable Banach Spaces.

Published in:

Stochastic Analysis & Applications, 2005, v. 23, n. 2, p. 217, doi. 10.1081/SAP-200026429

By:

Albeverio, S.;
Rüdiger, B.

Publication type:

Article

Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications.

Published in:

Stochastic Analysis & Applications, 2005, v. 23, n. 1, p. 97, doi. 10.1081/SAP-200044444

By:

Yufeng Shi;
Yanling Gu;
Kai Liu

Publication type:

Article

Characterization of Multidimensional Stable Random Measures by Means of Vector Measures.

Published in:

Stochastic Analysis & Applications, 2004, v. 22, n. 2, p. 449, doi. 10.1081/SAP-120028602

By:

Soltani, A. R.;
Mahmoodi, S.

Publication type:

Article

The Non-uniform Riemann Approach to Anticipating Stochastic Integrals.

Published in:

Stochastic Analysis & Applications, 2004, v. 22, n. 2, p. 429, doi. 10.1081/SAP-120028598

By:

Chew Tuan Seng;
Huang Zhiyuan;
Wang Cai Shi

Publication type:

Article

On Set-Valued Stochastic Integrals.

Published in:

Stochastic Analysis & Applications, 2003, v. 21, n. 2, p. 401, doi. 10.1081/SAP-120019292

By:

Jung, Eun;
Kim, Jai

Publication type:

Article

ANTICIPATIVE STOCHASTIC INTEGRALS EQUATIONS DRIVEN BY SEMIMARTINGALES.

Published in:

Stochastic Analysis & Applications, 2002, v. 20, n. 4, p. 755, doi. 10.1081/SAP-120006106

By:

Chao, Tsung-Ming;
Chou, Ching-Sung

Publication type:

Article

On forward stochastic integrals over the loop space.

Published in:

Stochastic Analysis & Applications, 2002, v. 20, n. 1, p. 221, doi. 10.1081/SAP-120002429

By:

Tindel, Samy

Publication type:

Article

STOCHASTIC INTEGRATION FOR ABSTRACT, TWO-PARAMETER STOCHASTIC PROCESSES. II. SQUARE INTEGRABLE MARTINGALES IN HILBERT SPACES.

Published in:

Stochastic Analysis & Applications, 2001, v. 19, n. 1, p. 1, doi. 10.1081/SAP-100001180

By:

Dinculeanu, Nicolae

Publication type:

Article

The stochastic Leibniz formula for Volterra integrals under enlarged filtrations.

Published in:

Stochastic Models, 2023, v. 39, n. 4, p. 823, doi. 10.1080/15326349.2023.2173233

By:

Hess, Markus

Publication type:

Article

IV Workshop on Branching Processes and their Applications (WBPA 2018) – Part I.

Published in:

2019

By:

González, M.;
Molina, M.;
del Puerto, I.

Publication type:

Editorial

Sample paths of continuous-state branching processes with dependent immigration.

Published in:

Stochastic Models, 2019, v. 35, n. 2, p. 167, doi. 10.1080/15326349.2019.1575753

By:

Li, Zenghu

Publication type:

Article

Price dynamics with circuit breakers.

Published in:

Quantitative Finance, 2024, v. 24, n. 12, p. 1711, doi. 10.1080/14697688.2024.2429421

By:

Lera, Sandro Claudio;
Sornette, Didier;
Ulmann, Florian

Publication type:

Article

Efficient option pricing in the rough Heston model using weak simulation schemes.

Published in:

Quantitative Finance, 2024, v. 24, n. 9, p. 1247, doi. 10.1080/14697688.2024.2391523

By:

Bayer, Christian;
Breneis, Simon

Publication type:

Article

When to efficiently rebalance a portfolio.

Published in:

Quantitative Finance, 2024, v. 24, n. 9, p. 1235, doi. 10.1080/14697688.2024.2371479

By:

Ando, Masayuki;
Fukasawa, Masaaki

Publication type:

Article

A fast algorithm for simulation of rough volatility models.

Published in:

Quantitative Finance, 2022, v. 22, n. 3, p. 447, doi. 10.1080/14697688.2021.1970213

By:

Ma, Jingtang;
Wu, Haofei

Publication type:

Article

SEMI-LINEAR BACKWARD STOCHASTIC INTEGRAL PARTIAL DIFFERENTIAL EQUATIONS DRIVEN BY A BROWNIAN MOTION AND A POISSON POINT PROCESS.

Published in:

Mathematical Control & Related Fields, 2015, v. 5, n. 3, p. 401, doi. 10.3934/mcrf.2015.5.401

By:

SHAOKUAN CHEN;
SHANJIAN TANG

Publication type:

Article

The Bessel kernel determinant on large intervals and Birkhoff's ergodic theorem.

Published in:

Communications on Pure & Applied Mathematics, 2023, v. 76, n. 11, p. 3300, doi. 10.1002/cpa.22119

By:

Blackstone, Elliot;
Charlier, Christophe;
Lenells, Jonatan

Publication type:

Article

The Brownian Fan.

Published in:

Communications on Pure & Applied Mathematics, 2015, v. 68, n. 1, p. 1, doi. 10.1002/cpa.21544

By:

Hairer, Martin;
Weare, Jonathan

Publication type:

Article

On the well‐posedness of a class of nonautonomous SPDEs: An operator‐theoretical perspective.

Published in:

GAMM Mitteilungen, 2018, v. 41, n. 4, p. N.PAG, doi. 10.1002/gamm.201800014

By:

Picard, Rainer;
Trostorff, Sascha;
Waurick, Marcus

Publication type:

Article

Dividend Maximization Under a Set Ruin Probability Target in the Presence of Proportional and Excess-of-loss Reinsurance.

Published in:

Applications & Applied Mathematics, 2020, v. 15, n. 1, p. 13

By:

Kasumo, Christian;
Kasozi, Juma;
Kuznetsov, Dmitry

Publication type:

Article

Conditional full support for Fractional Brownian Motion.

Published in:

Applications & Applied Mathematics, 2017, v. 12, n. 1, p. 23

By:

Dani, Soumia;
Kandouci, Abdeldjebbar;
Bouchentouf, Amina Angelika

Publication type:

Article

Stochastic Integrals in Formulating Discounting Models for Implementations of Strategic Operations.

Published in:

Journal of Informatics & Mathematical Sciences, 2023, v. 15, n. 1, p. 17, doi. 10.26713/jims.v15i1.1837

By:

Artikis, Panagiotis T.;
Artikis, Constantinos T.

Publication type:

Article

Stochastic Integrals and Random Sums of Power Contractions in Systemics.

Published in:

Journal of Informatics & Mathematical Sciences, 2021, v. 13, n. 2, p. 97, doi. 10.26713/jims.v13i2.1607

By:

Artikis, Constantinos T.;
Artikis, Panagiotis T.

Publication type:

Article

Stochastic Integrals in Discounting Proactive Operations.

Published in:

Journal of Informatics & Mathematical Sciences, 2021, v. 13, n. 1, p. 25

By:

Artikis, Constantinos T.;
Artikis, Panagiotis T.

Publication type:

Article

Stochastic Integrals and Power Contractions in Bernoulli Selections.

Published in:

Journal of Informatics & Mathematical Sciences, 2018, v. 10, n. 3, p. 411, doi. 10.26713/jims.v10i3.909

By:

Artikis, Constantinos T.

Publication type:

Article