搜索结果: 1-5 共查到“偏微分方程 Stochastic differential equations”相关记录5条 . 查询时间(0.148 秒)
On backward stochastic differential equations approach to valuation of American options
Backward stochastic differential equation Obstacle problem American option
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2011/2/24
We consider the problem of valuation of American (call and put) options written on a dividend paying stock governed by the geometric Brownian motion. We show that the value function has two different ...
Stability of stochastic differential equations driven by variants of stable processes
Stability of stochastic differential equations variants of stable processes
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2010/12/14
In this paper we investigate two variants of stable processes, namely tempered stable sub-
ordinators and modified tempered stable process as well as their renormalization. We study
the weak converg...
1/f noise from nonlinear stochastic differential equations
1/f noise nonlinear stochastic differential equations
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2010/4/2
We consider a class of nonlinear stochastic differential equations, giving the power-law behavior of the power spectral density in any desirably wide range of frequency. Such equations were obtained s...
Modeling non-Gaussian 1/f Noise by the Stochastic Differential Equations
non-Gaussian 1/f Noise Stochastic Differential Equations
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2010/4/1
We consider stochastic model based on the linear stochastic differential equation with the linear relaxation and with the diffusion-like fluctuations of the relaxation rate. The model generates monofr...
Anticipative Stochastic Differential Equations with Non-smooth Diffusion Coefficient
Non-smooth and anticipative stochastic differential equations Skorohod integral Malliavin derivative
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2007/12/11
In this paper we prove the existence and uniqueness of the solutions to the one-dimensional linear stochastic differential equation with Skorohod integral $$\ \ X_t(\omega )=\eta (\omega )+ \int^t_0 a...