A Stroock formula for a certain class of Lévy processes and applications to finance.
Eddahbi, M., Solé, J.L., Vives, J. (2005)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
Displaying similar documents to “Stochastic differential equations with boundary conditions driven by a Poisson noise.”
A Stroock formula for a certain class of Lévy processes and applications to finance.
A proof from `first principles' of Kesten's result for the probabilities with which a subordinator hits points.
Andrew, Peter (2006)
Electronic Communications in Probability [electronic only]
Similarity:
On variant reflected backward SDEs, with applications.
Ma, Jin, Wang, Yusun (2009)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Urn-related random walk with drift .
Menshikov, Mikhail, Volkov, Stanislav (2008)
Electronic Journal of Probability [electronic only]
Similarity:
Some properties of exponential integrals of Levy processes and examples.
Kondo, Hitoshi, Maejima, Makoto, Sato, Ken-Iti (2006)
Electronic Communications in 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:
The distribution of the interval between events of a Cox process with shot noise intensity.
Dassios, Angelos, Jang, Jiwook (2008)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient.
Halidias, Nikolaos, Kloeden, P.E. (2006)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Computation of Greeks for barrier and look-back options using Malliavin calculus.
Gobet, Emmanuel, Kohatsu-Higa, Arturo (2003)
Electronic Communications in Probability [electronic only]
Similarity:
Dynamical properties and characterization of gradient drift diffusions.
Darses, Sébastian, Nourdin, Ivan (2007)
Electronic Communications in Probability [electronic only]
Similarity: