Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's.
Dalang, Robert C. (1999)
Electronic Journal of Probability [electronic only]
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Displaying similar documents to “Asymptotic behaviour of stochastic quasi dissipative systems”
Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's.
A stochastic two-point boundary value problem.
Luo, S.J., Walsh, B. (2002)
Electronic Journal of Probability [electronic only]
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Stochastic invariance and consistency of financial models
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...
Support of a Marcus equation in dimension 1.
Simon, Thomas (2000)
Electronic Communications in Probability [electronic only]
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Convergence in (2m)-th mean for perturbed stochastic integrodifferential equations
Svetlana Janković, Miljana Jovanović (2000)
Publications de l'Institut Mathématique
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Differentiability of the transition semigroup of the stochastic Burgers equation, and application to the corresponding Hamilton-Jacobi equation
Giuseppe Da Prato, Arnaud Debussche (1998)
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni
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We consider a stochastic Burgers equation. We show that the gradient of the corresponding transition semigroup does exist for any bounded ; and can be estimated by a suitable exponential weight. An application to some Hamilton-Jacobi equation arising in Stochastic Control is given.
A general analytical result for non-linear SPDE's and applications.
Denis, Laurent, Stoica, L. (2004)
Electronic Journal of Probability [electronic only]
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On stochastic differential equations with locally unbounded drift
István Gyöngy, Teresa Martínez (2001)
Czechoslovak Mathematical Journal
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We study the regularizing effect of the noise on differential equations with irregular coefficients. We present existence and uniqueness theorems for stochastic differential equations with locally unbounded drift.