Itô-Skorohod stochastic equations and applications to finance.
Tudor, Ciprian A. (2004)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Tudor, Ciprian A. (2004)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Svetlana Janković (1998)
Zbornik Radova
Similarity:
Chang, Mou-Hsiung (2007)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Wong, Bernard, Heyde, C.C. (2006)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep (2008)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Łukasz Delong (2012)
Applicationes Mathematicae
Similarity:
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]
Similarity:
Swishchuk, Anatoliy, Xu, Li (2011)
International Journal of Stochastic Analysis
Similarity:
El-Nadi, Khairia El-Said (2005)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Chang, Mou-Hsiung (2007)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
An, Ta Thi Kieu, Øksendal, Bernt, Proske, Frank (2008)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Ewald, Christian-Oliver (2005)
Journal of Applied Mathematics and Stochastic Analysis
Similarity: