Time reversal for drifted fractional Brownian motion with Hurst index .
Approximation of the Snell envelope and american options prices in dimension one
We establish some error estimates for the approximation of an optimal stopping problem along the paths of the Black–Scholes model. This approximation is based on a tree method. Moreover, we give a global approximation result for the related obstacle problem.
On the long-time behaviour of a class of parabolic SPDE’s : monotonicity methods and exchange of stability
In this article we prove new results concerning the structure and the stability properties of the global attractor associated with a class of nonlinear parabolic stochastic partial differential equations driven by a standard multidimensional brownian motion. We first use monotonicity methods to prove that the random fields either stabilize exponentially rapidly with probability one around one of the two equilibrium states, or that they set out to oscillate between them. In the first case we can...
Approximation of the Snell Envelope and American Options Prices in dimension one
We establish some error estimates for the approximation of an optimal stopping problem along the paths of the Black–Scholes model. This approximation is based on a tree method. Moreover, we give a global approximation result for the related obstacle problem.
On the long-time behaviour of a class of parabolic SPDE's: monotonicity methods and exchange of stability
In this article we prove new results concerning the structure and the stability properties of the global attractor associated with a class of nonlinear parabolic stochastic partial differential equations driven by a standard multidimensional Brownian motion. We first use monotonicity methods to prove that the random fields either stabilize exponentially rapidly with probability one around one of the two equilibrium states, or that they set out to oscillate between them. In the first case we can...
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