A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients.
Fard, Omid S., Kamyad, Ali V. (2004)
Journal of Applied Mathematics
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Fard, Omid S., Kamyad, Ali V. (2004)
Journal of Applied Mathematics
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Svetlana Janković (1998)
Zbornik Radova
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El-Borai, Mahmoud M. (1980)
International Journal of Mathematics and Mathematical Sciences
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Saleh, M.M., El-Kalla, I.L., Ehab, M.M. (2007)
Differential Equations & Nonlinear Mechanics
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Borisenko, O.V., Borisenko, A.D., Malyshev, I.G. (1994)
Journal of Applied Mathematics and Stochastic Analysis
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Dorogovtsev, Andrej A. (1995)
Journal of Applied Mathematics and Stochastic Analysis
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Gautier, Eric (2007)
Electronic Journal of Probability [electronic only]
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Kurtz, Thomas G. (2007)
Electronic Journal of Probability [electronic only]
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Michał Kisielewicz (1999)
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
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The definition and some existence theorems for stochastic differential inclusion dZₜ ∈ F(Zₜ)dXₜ, where F and X are set valued stochastic processes, are given.
Jerzy Zabczyk (2000)
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni
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The paper is devoted to a connection between stochastic invariance in infinite dimensions and a consistency question of mathematical finance. We derive necessary and sufficient conditions for stochastic invariance of Nagumo’s type for stochastic equations with additive noise. They are applied to Ornstein-Uhlenbeck processes and to specific financial models. The case of evolution equations with general noise is discussed also and a comparison with recent results obtained by geometric...
Zenghu Li, Leonid Mytnik (2011)
Annales de l'I.H.P. Probabilités et statistiques
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General stochastic equations with jumps are studied. We provide criteria for the uniqueness and existence of strong solutions under non-Lipschitz conditions of Yamada–Watanabe type. The results are applied to stochastic equations driven by spectrally positive Lévy processes.