搜索结果: 1-8 共查到“非线性偏微分方程 Stochastic”相关记录8条 . 查询时间(0.082 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 ...
Optimal Control of Stochastic Partial Differential Equations
The maximum principle fully coupled forward-backward doubly stochastic control system
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2010/12/15
In this paper, we prove the necessary and sufficient maximum principles (NSMP in short) for the optimal control of system described by a quasilinear stochastic heat equation with the control domain be...
Geometric shape of invariant manifolds for a class of stochastic partial differential equations
Stochastic partial differential equation invariant manifolds geometric shape
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2010/12/6
Invariant manifolds play an important role in the study of the qualitative dynamical behaviors for nonlinear stochastic partial differential equations. However, the geometric shape of
these manifolds...
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...
A new formula for some linear stochastic equations with applications
Linear stochastic equation growth collapse process risk process
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2010/12/8
We give a representation of the solution for a stochastic linear equation of the form Xt = Yt + R(0,t]Xs− dZs where Z is a c`adl`ag semimartingale and Y is a c`adl`ag adapted process with bounde...
On zero-sum Stochastic Differential Games with Jump-Diffusion driven state: A viscosity solution framework
Stochastic differential games L´ evy processes dynamic programming
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2010/12/13
A zero-sum differential game with controlled jump-diffusion driven state is considered, and studied using a combination of dynamic programming and viscosity solution techniques. We prove, under certai...
Long Memory in a Linear Stochastic Volterra Differential Equation
Long Memory Linear Stochastic Volterra Differential Equation
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2010/12/1
In this paper we consider a linear stochastic Volterra equation which has a stationary solution. We show that when the kernel of the fundamental solution is regularly varying at infinity with a log-co...
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...