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 integral equation corresponding to a probability space is considered. This equation plays the role of a dynamical system in many problems of stochastic control with the control variable . One constructs stochastic processes , connected with a Markov chain and with the space . The expected values of (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 .
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
We prove, by means of Malliavin calculus, the convergence in of some properly renormalized weighted quadratic variations of bi-fractional Brownian motion (biFBM) with parameters and , when and .
Asymptotic growth of spatial derivatives of isotropic flows.