Itô-Skorohod stochastic equations and applications to finance.
Tudor, Ciprian A. (2004)
Journal of Applied Mathematics and Stochastic Analysis
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Displaying similar documents to “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.”
Itô-Skorohod stochastic equations and applications to finance.
Transience and non-explosion of certain stochastic Newtonian systems.
Kolokol'tsov, V.N., Schilling, R.L., Tyukov, A.E. (2002)
Electronic Journal of Probability [electronic only]
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Generalized BSDE driven by a Lévy process.
El Otmani, Mohamed (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Local extinction for superprocesses in random environments.
Mytnik, Leonid, Xiong, Jie (2007)
Electronic Journal of Probability [electronic only]
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On variant reflected backward SDEs, with applications.
Ma, Jin, Wang, Yusun (2009)
Journal of Applied Mathematics and Stochastic Analysis
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Long-term behavior for superprocesses over a stochastic flow.
Xiong, Jie (2004)
Electronic Communications in Probability [electronic only]
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On the parabolic generator of a general one-dimensional Lev́y process.
Eisenbaum, Nathalie, Kyprianou, Andreas (2008)
Electronic Communications in Probability [electronic only]
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Time reversal for drifted fractional Brownian motion with Hurst index .
Darses, Sebastien, Saussereau, Bruno (2007)
Electronic Journal of Probability [electronic only]
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Dynamical properties and characterization of gradient drift diffusions.
Darses, Sébastian, Nourdin, Ivan (2007)
Electronic Communications in Probability [electronic only]
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A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient.
Halidias, Nikolaos, Kloeden, P.E. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Absorption in stochastic epidemics
Josef Štěpán, Jakub Staněk (2009)
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.