В статье рассмотрены определения термина «устойчивость банковской системы», приводимые различными авторами. Эти определения сопоставляются с определениями...

The main discretization schemes for diffusion processes, both unrestricted and reflecting in a hyper-rectangle, are considered. For every discretized path, an `antithetic' path is obtained by changing the sign of the driving random variables, which are chosen symmetric. It is shown that, under...

In this paper we consider the simulation of probabilistic chemical reactions in isothermal and adiabatic conditions. Models for reactions under isothermal conditions result in advection equations, adiabatic conditions yield the reactive Euler equations. In order to treat with scattering data,...

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical solution of the pertinent Fokker–Planck (FP) or...

We describe a method of approximation of strong solutions to Stratonovich differential equations, that depends only on the Brownian motion defining the equation. h being the step size, it is known that the order of convergence of such approximations is h in the general case, and of h in some...

We propose a method for the simultaneous estimation of the drift and diffusion coefficients of stochastic differential equations (SDE) from panel data. The method involves matching the distribution of the experimental/field data with a panel of simulated data generated by a Monte Carlo...

In the construction of numerical methods for solving stochastic differential equations it becomes necessary to calculate the expectation of products of multiple stochastic integrals. Well-known recursive relationships between these multiple integrals make it possible to express any product of...

A central element in organization of financal means by a person, a company or societal group consists in the constitution, analysis and optimization of portfolios. This requests the time-depending modeling of processes. Likewise many processes in nature, technology and economy, financial...

Life table models based on nonlinear dynamics of risk factors are developed using stochastic differential Equations for individual changes and on the resulting Fokker-Planck equation to describe population changes. Central to the model is a microsimulation strategy developed as a numerical...