Itô-Skorohod stochastic equations and applications to finance.
Tudor, Ciprian A. (2004)
Journal of Applied Mathematics and Stochastic Analysis
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Tudor, Ciprian A. (2004)
Journal of Applied Mathematics and Stochastic Analysis
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Svetlana Janković (1998)
Zbornik Radova
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Chang, Mou-Hsiung (2007)
Journal of Applied Mathematics and Stochastic Analysis
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Wong, Bernard, Heyde, C.C. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Łukasz Delong (2012)
Applicationes Mathematicae
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We investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in insurance and finance in an attempt to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending on the strategy applied or the past values of the portfolio. In this setting, a managed investment portfolio serves simultaneously as the underlying security on which...
Rodkina, Alexandra, Lynch, O'Neil (2002)
Applied Mathematics E-Notes [electronic only]
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Swishchuk, Anatoliy, Xu, Li (2011)
International Journal of Stochastic Analysis
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El-Nadi, Khairia El-Said (2005)
Journal of Applied Mathematics and Stochastic Analysis
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Chang, Mou-Hsiung (2007)
Journal of Applied Mathematics and Stochastic Analysis
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An, Ta Thi Kieu, Øksendal, Bernt, Proske, Frank (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Ewald, Christian-Oliver (2005)
Journal of Applied Mathematics and Stochastic Analysis
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