BSDE associated with Lévy processes and application to PDIE.
Bahlali, K., Eddahbi, M., Essaky, E. (2003)
Journal of Applied Mathematics and Stochastic Analysis
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Displaying similar documents to “Generalized BSDE driven by a Lévy process.”
BSDE associated with Lévy processes and application to PDIE.
Backward stochastic differential equations with stochastic monotone coefficients.
Bahlali, K., Elouaflin, A., N'zi, M. (2004)
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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solutions of BSDEs with stochastic Lipschitz condition.
Wang, Jiajie, Ran, Qikang, Chen, Qihong (2007)
Journal of Applied Mathematics and Stochastic Analysis
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Absorption in stochastic epidemics
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Kybernetika
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A two dimensional stochastic differential equation is suggested as a stochastic model for the Kermack–McKendrick epidemics. Its strong (weak) existence and uniqueness and absorption properties are investigated. The examples presented in Section 5 are meant to illustrate possible different asymptotics of a solution to the equation.
Classical and variational differentiability of BSDEs with quadratic growth.
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Electronic Journal of Probability [electronic only]
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Reflected backward stochastic differential equation with jumps and random obstacle.
Hamadéne, S., Ouknine, Y. (2003)
Electronic Journal of Probability [electronic only]
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