Collision local times, historical stochastic calculus, and competing superprocesses.
Evans, Steven N., Perkins, Edwin A. (1998)
Electronic Journal of Probability [electronic only]
Similarity:
Displaying similar documents to “A transformation from prediction to past of an -stochastic process”
Collision local times, historical stochastic calculus, and competing superprocesses.
Generalized BSDE driven by a Lévy process.
El Otmani, Mohamed (2006)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Regularity results for infinite dimensional diffusions. A Malliavin calculus approach
Stefano Bonaccorsi, Marco Fuhrman (1999)
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni
Similarity:
We prove some smoothing properties for the transition semigroup associated to a nonlinear stochastic equation in a Hilbert space. The proof introduces some tools from the Malliavin calculus and is based on a integration by parts formula.
Classical and variational differentiability of BSDEs with quadratic growth.
Ankirchner, Stefan, Imkeller, Peter, Dos Reis, Gonçalo J.N. (2007)
Electronic Journal of Probability [electronic only]
Similarity:
BSDE associated with Lévy processes and application to PDIE.
Bahlali, K., Eddahbi, M., Essaky, E. (2003)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Reflected backward stochastic differential equation with jumps and random obstacle.
Hamadéne, S., Ouknine, Y. (2003)
Electronic Journal of Probability [electronic only]
Similarity:
On mean numbers of passage times in small balls of discretized Itô processes.
Bernardin, Frédéric, Bossy, Mireille, Martinez, Miguel, Talay, Denis (2009)
Electronic Communications in Probability [electronic only]
Similarity:
Local extinction for superprocesses in random environments.
Mytnik, Leonid, Xiong, Jie (2007)
Electronic Journal of Probability [electronic only]
Similarity:
Transience and non-explosion of certain stochastic Newtonian systems.
Kolokol'tsov, V.N., Schilling, R.L., Tyukov, A.E. (2002)
Electronic Journal of Probability [electronic only]
Similarity:
A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep (2008)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
On the parabolic generator of a general one-dimensional Lev́y process.
Eisenbaum, Nathalie, Kyprianou, Andreas (2008)
Electronic Communications in Probability [electronic only]
Similarity: