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Parameter identification for deterministic and stochastic differential equations using the "collage method" for fixed point equations

Capasso, Vicenzo; Kunze, Herb E.; La Torre, Davide; … - 2008

Persistent link: https://www.econbiz.de/10003783850

Pricing temperature derivatives using a partial differential equation approach in incomplete markets

Ehlers, Manuel - 2008

Persistent link: https://www.econbiz.de/10003781004

Conditional Gauss-Hermite filtering with application to volatility estimation

Singer, Hermann - 2008

Persistent link: https://www.econbiz.de/10003795449

Linear hyperfinite Lévy integrals

Herzberg, Frederik - 2008

processes is consistent with the classical theory of pathwise stochastic integration with respect to (C^2 functions of) jump … Lévy processes. -- Lévy processes ; Stochastic integration ; Nonstandard analysis ; Itô formula …

Persistent link: https://www.econbiz.de/10003818244

Production technologies in stochastic continuous time models

Wälde, Klaus - 2009

qualitative analysis. Very precise and intuition-building results are obtained by working with models which provide closed …

Persistent link: https://www.econbiz.de/10003897386

Polar sets of anisotropic Gaussian random fields

Söhl, Jakob - 2009

This paper studies polar sets of anisotropic Gaussian random elds, i.e. sets which a Gaussian random eld does not hit almost surely. The main assumptions are that the eigenvalues of the covariance matrix are bounded from below and that the canonical metric associated with the Gaussian random eld...