stochastic differential equations in finance
November 13th, 2020

Anticipated backward doubly SDEs with generators in stochastic Lipschitz condition. Stochastic differential equations We would like to solve di erential equations of the form dX= (t;X(t))dtX+ ˙(t; (t))dB(t) Stochastic differential equations (sdes) occur where a system described by differential equations is influenced by random noise. Probability, Uncertainty and Quantitative Risk. Jensen’s inequality for Reflected Backward Stochastic Differential Equation with Rank-Based Data. Optimal control for stochastic Volterra equations with multiplicative Lévy noise. SIAM Journal on Control and Optimization. Consistent procedures for multiclass classification of discrete diffusion paths. Lp (p > 1) Solutions of BSDEs with Generators Satisfying Some Non-uniform Conditions in t and ω. Lp solution of general mean-field BSDEs with continuous coefficients. The risk-sensitive maximum principle for controlled forward–backward stochastic differential equations. Knowledge-based, broadly deployed natural language. Statistical Inference for Stochastic Processes. Near-optimal control problems for forward-backward regime-switching systems. Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. A framework of BSDEs with stochastic Lipschitz coefficients. The Wolfram Language provides common special sdes specified by a few parameters as well as general Ito and Stratonovich sdes and systems specified by their differential equations. Mean-field risk sensitive control and zero-sum games for Markov chains. Contracting Theory with Competitive Interacting Agents. WienerProcess — Wiener process or Brownian motion, OrnsteinUhlenbeckProcess — Ornstein–Uhlenbeck process, BrownianBridgeProcess  ▪  GeometricBrownianMotionProcess  ▪  CoxIngersollRossProcess, StratonovichProcess — Stratonovich sde process, RandomFunction — simulate an sde process (Euler–Muryama, stochastic Runge–Kutta, …), SliceDistribution — distribution of states at particular times, CovarianceFunction  ▪  CorrelationFunction  ▪  AbsoluteCorrelationFunction, Enable JavaScript to interact with content and submit forms on Wolfram websites. On the well‐posedness of coupled forward–backward stochastic differential equations driven by Teugels martingales. Backward stochastic Volterra integral equations — Representation of adapted solutions. Stochastic Linear Quadratic Stackelberg Differential Game with Overlapping Information. Backward Stochastic Differential Equations Driven by G-Brownian Motion with Uniformly Continuous Coefficients in (y, z). BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets. Particles Systems for mean reflected BSDEs. Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations. A Regime-Switching Model with Applications to Finance: Markovian and Non-Markovian Cases. Journal of Computational and Applied Mathematics. We are concerned with different properties of backward stochastic differential equations and their applications to finance. A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps. Nonlinear Differential Equations and Applications NoDEA. Mathematical Methods in the Applied Sciences. Open-loop equilibrium strategy for mean–variance asset–liability management portfolio selection problem with debt ratio. An acceleration scheme for deep learning-based BSDE solver using weak expansions. Laboratoire de Probabilités, CNRS–URA 224, Université de Paris VI, Paris, France. Mean-variance asset–liability management with partial information and uncertain time horizon. Density Estimates for the Solutions of Backward Stochastic Differential Equations Driven by Gaussian Processes. Learn more. Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements. Please check your email for instructions on resetting your password. New results on common properties of the products AC and BA, II. Effect of Variance Swap in Hedging Volatility Risk. Dynamic Economic Problems with Regime Switches. Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control. Use the link below to share a full-text version of this article with your friends and colleagues. Revolutionary knowledge-based programming language. Software engine implementing the Wolfram Language. International Journal of Theoretical and Applied Finance. The preeminent environment for any technical workflows. Backward stochastic differential equations with unbounded generators. Common‐factor stochastic volatility modelling with observable proxy. Space mapping-based receding horizon control for stochastic interacting particle systems: dogs herding sheep.

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