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Multiple solutions in systems of functional differential equations
Albis, Hippolyte d’; Augeraud-Véron, Emmanuelle; … - In: Journal of mathematical economics 52 (2014), pp. 50-56
Persistent link: https://www.econbiz.de/10010495179
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Maximum likelihood estimation for integrated diffusion processes
Baltazar-Larios, Fernando; Sørensen, Michael - In: Contemporary quantitative finance : essays in honour of …, (pp. 407-423). 2010
Persistent link: https://www.econbiz.de/10008749174
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Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
Chiarella, Carl; Ziogas, Andrew; Ziveyi, Jonathan - In: Contemporary quantitative finance : essays in honour of …, (pp. 281-315). 2010
Persistent link: https://www.econbiz.de/10008749199
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Stochastic partial differential equations and portfolio choice
Musiela, Marek; Zariphopoulou-Souganidis, Thaleia - In: Contemporary quantitative finance : essays in honour of …, (pp. 195-216). 2010
Persistent link: https://www.econbiz.de/10008749273
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Results on numerics for FBSDE with drivers of quadratic growth
Imkeller, Peter; Reis, Gonçalo dos; Zhang, Jianing - In: Contemporary quantitative finance : essays in honour of …, (pp. 159-182). 2010
Persistent link: https://www.econbiz.de/10008749283
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Comparison theorems for finite state backward stochastic differential equations
Cohen, Samuel N.; Elliott, Robert J. - In: Contemporary quantitative finance : essays in honour of …, (pp. 135-158). 2010
Persistent link: https://www.econbiz.de/10008749289
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Existence and non-uniqueness of solutions for BSDE
Bao, Xiaobo; Delbaen, Freddy; Hu, Ying - In: Contemporary quantitative finance : essays in honour of …, (pp. 123-134). 2010
Persistent link: https://www.econbiz.de/10008749294
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A partial differential equation system for modelling stochastic storage in physical systems with applications to wind power generation
Howell, Sydney D.; Duck, Peter W.; Hazel, Andrew; … - In: IMA journal of management mathematics 22 (2011) 3, pp. 231-252
Persistent link: https://www.econbiz.de/10009297144
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An analysis of American options under heston stochastic volatility and jump-diffusion dynamics
Cheang, Gerald; Chiarella, Carl; Ziogas, Andrew - 2009
Persistent link: https://www.econbiz.de/10009233319
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Existence of arrow-debreu equilibrium with generalized stochastic differential utility
Beißner, Patrick - 2011
This paper establishes, in the setting of Brownian information, a general equilibrium existence result under a stochastic differential formulation of intertemporal recursive utility. The present class of utility functionals is generated by a backward stochastic differential equation and...
Persistent link: https://www.econbiz.de/10008937554