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Utility maximization, duality, price for risk, semimartingale represenations & continuous time CAPM
Leitner, Johannes - 2001 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001626257
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Über die Stabilität des Euler-Schemas für eine affine stochastische Differentialgleichung mit Gedächtnis
Gilsing, Hagen; Küchler, Uwe; Platen, Eckhard - 2001
Persistent link: https://www.econbiz.de/10001609566
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Special issue: Conference on Applications of Malliavin Calculus in Finance
2003
Persistent link: https://www.econbiz.de/10001765613
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Quantiles of the Euler scheme for diffusion processes and financial applications
Talay, Denis; Zheng, Zivu - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 187-199
Persistent link: https://www.econbiz.de/10001765673
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On Lp-stability of numerical schemes for affine stochastic delay differential equations : stochastic recurrance relations
Gilsing, Hagen - 2002
Persistent link: https://www.econbiz.de/10001746309
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On L2-stability of solutions of linear stochastic delay differential equations
Gilsing, Hagen (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001917128
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On oscillations of the geometric Brownian motion with time delayed drift
Gushchin, Alexander A. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919051
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Noise induced oscillation in solutions of stochastic delay differential equations
Appleby, John A. D. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919070
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On integrals with respect to Lévy processes
Küchler, Uwe (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919126
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Euler-Maruyama and Milstein approximations for stochastic functional differential equations with distributed memory term
Buckwar, Evelyn (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919281