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A stochastic representation for backward incompressible Navier-Stokes equations
Zhang, Xicheng - In: Probability theory and related fields 148 (2010) 1/2, pp. 305-332
Persistent link: https://www.econbiz.de/10003982789
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A generalized Neyman-Pearson lemma for g-probabilities
Ji, Shaolin; Zhou, Xun Yu - In: Probability theory and related fields 148 (2010) 3/4, pp. 645-669
Persistent link: https://www.econbiz.de/10008649933
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Picard approximation of stochastic differential equations and application to LIBOR models
Papapantoleon, Antonis; Skovmand, David - 2010
Persistent link: https://www.econbiz.de/10008651711
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Maximum likelihood estimation for integrated diffusion processes
Baltazar-Larios, Fernando; Sørensen, Michael - 2010
Persistent link: https://www.econbiz.de/10008651742
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ML-estimation of sampled stochastic differential equations
Singer, Hermann - 2009
Persistent link: https://www.econbiz.de/10003876985
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Valuing options in Heston's stochastic volatility model : another analytical approach
Frontczak, Robert - 2009 - Version [2]
We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based on Mellin transforms we present new closed-form solutions for the price of European options and hedging parameters. In contrast to Fourier-based approaches where the...
Persistent link: https://www.econbiz.de/10003921631
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American options with multiple priors in continuous time
Vorbrink, Jörg - 2011
uncertainty. Using the theory of (reflected) backward stochastic differential equations we are able to solve the optimal stopping … the analysis of exotic American options we highlight the main difference to classical single prior models. This is …
Persistent link: https://www.econbiz.de/10008990920
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Functionals associated with gradient stochastic flows and nonlinear SPDEs
Iftimie, Bogdan; Mazurencu Marinescu, Miruna; Vârsan, … - In: Advanced mathematical methods for finance, (pp. 397-415). 2011
Persistent link: https://www.econbiz.de/10008991280
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Some new BSDE results for an infinite-horizon stochastic control problem
Hu, Ying; Schweizer, Martin - In: Advanced mathematical methods for finance, (pp. 367-395). 2011
Persistent link: https://www.econbiz.de/10008991281
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A general maximum principle for anticipative stochastic control and applications to insider trading
Di Nunno, Giulia; Pamen, Olivier Menoukeu; Øksendal, … - In: Advanced mathematical methods for finance, (pp. 181-221). 2011
Persistent link: https://www.econbiz.de/10008991293