Excercises in stochastic analysis
Petr Mandl, Věra Lánská, Ivo Vrkoč (1978)
Kybernetika
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Displaying similar documents to “Elements of stochastic analysis”
Excercises in stochastic analysis
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.
On the limiting behavior of a harmonic oscillator with random external disturbance.
Kulinich, G.L. (1995)
Journal of Applied Mathematics and Stochastic Analysis
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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
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