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A general stochastic maximum principle for singular control problems.

Bahlali, Seid, Mezerdi, Brahim (2005)

Electronic Journal of Probability [electronic only]

A note on approximation for stochastic differential equations

Hiroshi Kaneko, Shintaro Nakao (1988)

Séminaire de probabilités de Strasbourg

A simulation of integral and derivative of the solution of a stochastici integral equation

Nguyen Quy Hy, Nguyen Thi Minh (1992)

Annales Polonici Mathematici

A stochastic integral equation corresponding to a probability space $(Ω, Σ_{ω}, P_{ω})$ is considered. This equation plays the role of a dynamical system in many problems of stochastic control with the control variable $u (\cdot) : ℝ^{1} \to ℝ^{m}$ . One constructs stochastic processes $η^{(1)} (t)$ , $η^{(2)} (t)$ connected with a Markov chain and with the space $(Ω, Σ_{ω}, P_{ω})$ . The expected values of $η^{(i)} (t)$ (i = 1,2) are respectively the expected value of an integral representation of a solution x(t) of the equation and that of its derivative $x_{u}^{'} (t)$ .

A stochastic model for the financial market with discontinuous prices.

Minkova, Leda D. (1996)

Journal of Applied Mathematics and Stochastic Analysis

Abstract stochastic integro-differential delay equations.

Keck, David N., McKibben, Mark A. (2005)

Journal of Applied Mathematics and Stochastic Analysis

Almost sure stability of linear Itô-Volterra equations with damped stochastic perturbations.

Appleby, John A.D. (2002)

Electronic Communications in Probability [electronic only]

An exponential martingale equation.

Mania, Mikhael, Tevzadze, Revaz (2006)

Electronic Communications in Probability [electronic only]

An extension of the Clark-Ocone formula.

Ngobi, Said, Stan, Aurel (2004)

International Journal of Mathematics and Mathematical Sciences

Application du calcul de Malliavin aux équations différentielles stochastiques sur le plan

David Nualart (1986)

Séminaire de probabilités de Strasbourg

A.s. approximation results for multiplicative stochastic integrals

Rajeeva L. Karandikar (1982)

Séminaire de probabilités de Strasbourg

Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion

Rachid Belfadli (2010)

Annales mathématiques Blaise Pascal

We prove, by means of Malliavin calculus, the convergence in $L^{2}$ of some properly renormalized weighted quadratic variations of bi-fractional Brownian motion (biFBM) with parameters $H$ and $K$ , when $H < 1 / 4$ and $K \in (0, 1]$ .

Asymptotic growth of spatial derivatives of isotropic flows.

Van Bargen, Holger M. (2009)

Electronic Journal of Probability [electronic only]

Backward stochastic differential equations with oblique reflection and local Lipschitz drift.

Aman, Auguste, N'Zi, Modeste (2003)

Journal of Applied Mathematics and Stochastic Analysis

Backward stochastic differential equations with stochastic monotone coefficients.

Bahlali, K., Elouaflin, A., N'zi, M. (2004)

Journal of Applied Mathematics and Stochastic Analysis

Bounded and periodic solutions of the Riccati equation in Banach space.

Dorogovtsev, A.Ya., Petrova, T.A. (1995)

Journal of Applied Mathematics and Stochastic Analysis

Bounded solutions of affine stochastic differential equations and stability

Aristide Halanay, T. Morozan, C. Tudor (1986)

Časopis pro pěstování matematiky

Brownian penalisations related to excursion lengths, VII

B. Roynette, P. Vallois, M. Yor (2009)

Annales de l'I.H.P. Probabilités et statistiques

Limiting laws, as t→∞, for brownian motion penalised by the longest length of excursions up to t, or up to the last zero before t, or again, up to the first zero after t, are shown to exist, and are characterized.

Currently displaying 1 – 20 of 120

Page 1 Next

Displaying 1 – 20 of 120

A general stochastic maximum principle for singular control problems.

A note on approximation for stochastic differential equations

A simulation of integral and derivative of the solution of a stochastici integral equation

A stochastic model for the financial market with discontinuous prices.

Abstract stochastic integro-differential delay equations.

Almost sure stability of linear Itô-Volterra equations with damped stochastic perturbations.

An exponential martingale equation.

An extension of the Clark-Ocone formula.

Application du calcul de Malliavin aux équations différentielles stochastiques sur le plan

A.s. approximation results for multiplicative stochastic integrals

Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion

Asymptotic growth of spatial derivatives of isotropic flows.

Backward stochastic differential equations with oblique reflection and local Lipschitz drift.

Backward stochastic differential equations with stochastic monotone coefficients.

Bounded and periodic solutions of the Riccati equation in Banach space.

Bounded solutions of affine stochastic differential equations and stability

Brownian penalisations related to excursion lengths, VII

Calcul de Malliavin pour les diffusions avec sauts : existence d'une densité dans le cas unidimensionnel

Calculs stochastiques directs sur les trajectoires et propriétés des boréliens porteurs

Characterisation of exponential convergence to nonequilibrium limits for stochastic Volterra equations.

Currently displaying 1 – 20 of 120