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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Displaying similar documents to “Fredholm determinant of an integral operator driven by a diffusion process.”
A general analytical result for non-linear SPDE's and applications.
Classical and variational differentiability of BSDEs with quadratic growth.
Ankirchner, Stefan, Imkeller, Peter, Dos Reis, Gonçalo J.N. (2007)
Electronic Journal of Probability [electronic only]
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Some estimates on exponentials of solutions to stochastic differential equations.
Yong, Jiongmin (2004)
Journal of Applied Mathematics and Stochastic Analysis
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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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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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Generalized BSDE driven by a Lévy process.
El Otmani, Mohamed (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.
Stability of nonlinear neutral stochastic functional differential equations.
Xue, Minggao, Zhou, Shaobo, Hu, Shigeng (2010)
Journal of Applied Mathematics
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A converse comparison theorem for BSDEs and related properties of -expectation.
Briand, Philippe, Coquet, François, Hu, Ying, Mémin, Jean, Peng, Shige (2000)
Electronic Communications in Probability [electronic only]
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Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients
Romain Abraham, Olivier Riviere (2006)
ESAIM: Probability and Statistics
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We consider a system of fully coupled forward-backward stochastic differential equations. First we generalize the results of Pardoux-Tang [7] concerning the regularity of the solutions with respect to initial conditions. Then, we prove that in some particular cases this system leads to a probabilistic representation of solutions of a second-order PDE whose second order coefficients depend on the gradient of the solution. We then give some examples in dimension 1 and dimension 2 for...