Spectral approximation of infinite-dimensional Black-Scholes equations with memory.
Chang, Mou-Hsiung, Youree, Roger K. (2009)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Displaying similar documents to “Exponential stability of modified stochastic approximation procedure.”
Spectral approximation of infinite-dimensional Black-Scholes equations with memory.
Weak approximation of SDEs by discrete-time processes.
Zähle, Henryk (2008)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
The large deviation principle for certain series
Miguel A. Arcones (2004)
ESAIM: Probability and Statistics
Similarity:
We study the large deviation principle for stochastic processes of the form , where is a sequence of i.i.d.r.v.’s with mean zero and . We present necessary and sufficient conditions for the large deviation principle for these stochastic processes in several situations. Our approach is based in showing the large deviation principle of the finite dimensional distributions and an exponential asymptotic equicontinuity condition. In order to get the exponential asymptotic equicontinuity...
Countable systems of degenerate stochastic differential equations with applications to super-Markov chains.
Bass, Richard F., Perkins, Edwin A. (2004)
Electronic Journal of Probability [electronic only]
Similarity:
On solutions of general nonlinear stochastic integral equations.
Balachandran, K., Kim, J.-H. (2006)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
General decay stability for stochastic functional differential equations with infinite delay.
Liu, Yue, Meng, Xuejing, Wu, Fuke (2010)
International Journal of Stochastic Analysis
Similarity:
Extension of stochastic dominance theory to random variables
Chi-Kwong Li, Wing-Keung Wong (1999)
RAIRO - Operations Research - Recherche Opérationnelle
Similarity:
On the constant in the nonuniform version of the Berry-Esseen theorem.
Neammanee, K. (2005)
International Journal of Mathematics and Mathematical Sciences
Similarity:
Introduction to the Theory of the It-type Stochastic Integrals and Stochastic Differential Equations
Svetlana Janković (1998)
Zbornik Radova
Similarity:
On some new generalizations of Ostrowski integral inequality.
Zhongxue, Lü, Hongzheng, Xie (2002)
International Journal of Mathematics and Mathematical Sciences
Similarity:
On the convergence of stochastic integrals driven by processes converging on account of a homogenization property.
Lejay, Antoine (2002)
Electronic Journal of Probability [electronic only]
Similarity:
Introduction to Stopping Time in Stochastic Finance Theory
Peter Jaeger (2017)
Formalized Mathematics
Similarity:
We start with the definition of stopping time according to [4], p.283. We prove, that different definitions for stopping time can coincide. We give examples of stopping time using constant-functions or functions defined with the operator max or min (defined in [6], pp.37–38). Finally we give an example with some given filtration. Stopping time is very important for stochastic finance. A stopping time is the moment, where a certain event occurs ([7], p.372) and can be used together with...