Exponential asymptotic stability of linear Itô-Volterra equations with damped stochastic perturbations.
Exponential convergence for a periodically driven semilinear heat equation
Exponential decay of averaged Green functions for random Schrödinger operators. A direct approach
Exponential ergodicity of semilinear equations driven by Lévy processes in Hilbert spaces
We study convergence to the invariant measure for a class of semilinear stochastic evolution equations driven by Lévy noise, including the case of cylindrical noise. For a certain class of equations we prove the exponential rate of convergence in the norm of total variation. Our general result is applied to a number of specific equations driven by cylindrical symmetric α-stable noise and/or cylindrical Wiener noise. We also consider the case of a "singular" Wiener process with unbounded covariance...
Exponential functionals of Brownian motion. II: Some related diffusion processes.
Exponential martingales and CIR model
With the use of exponential martingales and the Girsanov theorem we show how to calculate bond prices in a large variety of square root processes. We clarify and correct several errors that abound in financial literature concerning these processes. The most important topics are linear risk premia, the Longstaff double square model, and calculations concerning correlated CIR processes.
Exponential stability of modified stochastic approximation procedure.
Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's.
Extending probability spaces and adapted distribution
Extension of the method of quasilinearization for stochastic initial value problems.
Extinction for two parabolic stochastic PDE's on the lattice
Factorisation d'opérateurs aléatoires, d'après Benyamini et Gordon
Fast deterministic pricing of options on Lévy driven assets
Arbitrage-free prices of European contracts on risky assets whose log-returns are modelled by Lévy processes satisfy a parabolic partial integro-differential equation (PIDE) . This PIDE is localized to bounded domains and the error due to this localization is estimated. The localized PIDE is discretized by the -scheme in time and a wavelet Galerkin method with degrees of freedom in log-price space. The dense matrix for can be replaced by a sparse matrix in the wavelet basis, and the linear...
Fast deterministic pricing of options on Lévy driven assets
Arbitrage-free prices u of European contracts on risky assets whose log-returns are modelled by Lévy processes satisfy a parabolic partial integro-differential equation (PIDE) . This PIDE is localized to bounded domains and the error due to this localization is estimated. The localized PIDE is discretized by the θ-scheme in time and a wavelet Galerkin method with N degrees of freedom in log-price space. The dense matrix for can be replaced by a sparse matrix in the wavelet basis, and the...
Fast oscillating random perturbations of dynamical systems with conservation laws
Fermeture de et de
Filippov approach in stochastic maximum principle without differentiability assumptions.
Filtration des ponts browniens et équations différentielles stochastiques linéaires
Filtrations browniennes et balayage
Finely harmonic morphisms, Brownian path preserving functions and conformal martingales.