Similar Search Results

Partial differential equations in economics and finance

Basov, Suran - 2007

Partial differential equations -- Elements of the theory of the Stochastic processes -- Partial differential equation … in the consumer theory -- Partial differential equations in the producer theory -- Partial differential equations and … pricing of the financial -- Derivatives -- A theory of boundedly rational behavior -- Partial differential equations in game …

Persistent link: https://www.econbiz.de/10003429606

Exact scenario simulation for selected multi-dimensional stochastic processes

Platen, Eckhard; Rendek, Renata - 2009

Persistent link: https://www.econbiz.de/10008662360

Macroscopic limits for stochastic partial differential equations of McKean-Vlasov type

Kotelenez, Peter M.; Kurtz, Thomas G. - In: Probability theory and related fields 146 (2010) 1/2, pp. 189-222

Persistent link: https://www.econbiz.de/10003933901

Harmonic analysis of stochastic equations and backward stochastic differential equations

Delbaen, Freddy; Tang, Shanjian - In: Probability theory and related fields 146 (2010) 1/2, pp. 291-336

Persistent link: https://www.econbiz.de/10003933919

Ambit processes and stochastic partial differential equations

Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - 2010

Persistent link: https://www.econbiz.de/10003959801

Expected a posteriori estimation in financial applications

Mazzoni, Thomas - 2008

Persistent link: https://www.econbiz.de/10003699961

"Itô's Lemma" and the Bellman equation for poisson processes : an applied view

Sennewald, Ken (contributor); Wälde, Klaus (contributor) - 2006

Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a Poisson process. Our results can be derived because of the...

Persistent link: https://www.econbiz.de/10003301211

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

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

Picard approximation of stochastic differential equations and application to LIBOR models

Papapantoleon, Antonis; Skovmand, David - 2010

Persistent link: https://www.econbiz.de/10008651711