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Persistent link: https://www.econbiz.de/10013162724
qualitative analysis. Very precise and intuition-building results are obtained by working with models which provide closed …
Persistent link: https://www.econbiz.de/10013155278
We show a new higher order weak approximation with Malliavin weights for multidimensional stochastic differential equations by extending the method in Takahashi and Yamada (2016). The estimate of global error of the discretization is based on a sharp small time expansion using a Malliavin...
Persistent link: https://www.econbiz.de/10012901783
the order book depth is mean-reverting. For each model we perform a detailed analysis of the role of different parameters …
Persistent link: https://www.econbiz.de/10012889239
methods converge strongly to the exact solution in the root mean square with order 1/2. Stability analysis reveals that the …
Persistent link: https://www.econbiz.de/10012897752
to be checked a posteriori, one can avoid altogether time consuming Monte Carlo simulation and other numerical …
Persistent link: https://www.econbiz.de/10012936018
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is further conducted on the existence of solutions for a few...
Persistent link: https://www.econbiz.de/10012823664
This paper proposes a new third-order discretization algorithm for multidimensional Itô stochastic differential equations driven by Brownian motions. The scheme is constructed by the Euler-Maruyama scheme with a stochastic weight given by polynomials of Brownian motions, which is simply...
Persistent link: https://www.econbiz.de/10012867530
We provide solution formulas for (linear and non-linear) jump-diffusion backward stochastic differential equations (BSDEs) under diverse enlarged filtration approaches. We also derive a comparison theorem for BSDEs in an enlarged filtration framework and present several applications of our...
Persistent link: https://www.econbiz.de/10012852502
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