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Developing Fractional Stochastic Differential Equations with Stochastic Interest Rate Following the CIR Model

El Hajaji, Abdelmajid; Bayad, Siham; Hilal, Khalid; El … - 2022

In the light of present-day research, as we all know, the financial market owns the characteristics of self-similarity and long-range dependence and Fractional Brownian motion has these properties. From that point, The model with fractional stochastic volatility could be more businesslike than...

Persistent link: https://www.econbiz.de/10014238569

Algorithmic Analysis of Euler Scheme for Stochastic Differential Equations with Jumps

Wu, Shujin - 2018

A kind of stochastic differential equations with jumps are offered first, then the Euler scheme for these equations are present, at last their continuous dependence on initial value and convergence are be studied

Persistent link: https://www.econbiz.de/10012922359

Oscillation and Stability in Nonlinear Delay Differential Equations of Population Dynamics

Kubiaczyk, I. - 2018

In this paper we shall study the oscillation of all positive solutions of the nonlinear delay differential equationandabout their equilibrium points. Also we study the stability of these equilibrium points and prove that every non-oscillatory positive solution tends to the equilibrium point when...

Persistent link: https://www.econbiz.de/10012923880

Set-Indexed Itô Calculus Along Paths

Aletti, Giacomo - 2018

Set-indexed stochastic analysis and set-indexed stochastic calculus are faced here with a new approach of dimension …

Persistent link: https://www.econbiz.de/10012924656

The Comparison Theorem of Forward-Backward Stochastic Differential Equations with Jumps and with Random Terminal Time

Juliang, Yin - 2018

This paper studies the comparison theorem of forward-backward differential equations with Poisson jumps(FBSDEJ for short). We use a purely probabilistic approch including stopping time techneque and iteration method to prove comparison theorem. Here we only investigate some classes of FBSDEJs...

Persistent link: https://www.econbiz.de/10012924657

Measure-Valued Diffusions and Stochastic Equations with Poisson Process

Fu, Zongfei - 2018

A class of measure-valued branching diffusions with interactive immigration is constructed by solving a stochastic integral equation with Poisson process based on a system of excursion laws of a Dawson-Watanabe superprocess, extending the results of Pitman and Yor (1982) and Shiga (1990)

Persistent link: https://www.econbiz.de/10012925447

A Regression-Based Numerical Method for Forward-Backward Stochastic Differential Equations

Ding, Deng - 2014

expectations. we give the proofs and the error analysis of the approximations. In terms of such approximations, we employ a theta …

Persistent link: https://www.econbiz.de/10013045167

Stochastic Calculus of Standard Deviations : An Introduction

Amin, Ahsan - 2013

Every density produced by an SDE which employs normal random variables for its simulation is either linear or non … only a few hundred and are independent of each other, this technique is much faster than the monte carlo simulation. Since …

Persistent link: https://www.econbiz.de/10013074737

Continuous-time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations

Wang, Ziheng; Sirignano, Justin - In: Mathematical finance : an international journal of … 34 (2024) 2, pp. 348-424

Persistent link: https://www.econbiz.de/10014514766

Stochastic calculus and differential equations for physics and finance

McCauley, Joseph L. - 2013 - Online-Ausg.

. Introduction to new financial economics; 13. Statistical ensembles and time series analysis; 14. Econometrics; 15. Semimartingales … unified way. The focus is on nonstationary processes, and statistical ensembles are emphasized in time series analysis … are shown in theory and by example to be more general than a Markov process. The book also presents new ideas in financial …

Persistent link: https://www.econbiz.de/10012683307