[PDF] Top 20 Stochastic partial differential equations with coefficients depending on VaR
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Stochastic partial differential equations with coefficients depending on VaR
... Theorem F.4 (Theorem 4.6.5 in [11]). Assume that the local characteristic of the continuous C-semimartingale F (x, t) belongs to the class B b k,δ for some k ≥ 1 and δ > 0. Then the solution of Itˆ o’s ... See full document
98
Multiscale Model Reduction Methods for Deterministic and Stochastic Partial Differential Equations
... ing SDEs arising in mathematical finance [32]. Similar ideas have been introduced by Heinrich for finite-dimensional parametric integration and solving integral equations [35]. Later, the MLMC method was extended ... See full document
118
Wiener chaos expansion and numerical solutions of stochastic partial differential equations
... We also plot the error of the mean by the WCE-MC method in Figure 6.7, even thought the mean of the WCE solution is quite accurate and needs no MC corrections. Alternatively, we can regard the WCE solution solely as a ... See full document
225
Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations
... In this paper we have constructed classes of Runge-Kutta methods for solving second-order-in-time Stochas- tic Partial Differential Equations (SPDEs) in one space dimension based on the finite ... See full document
15
The Osgood condition for stochastic partial differential equations
... arrive at our result. This observation is contained in the statement and proof of Proposition 2.2 below. A key step in our strategy is to use the fact that for each x, the stochastic term in (1.6) is a ... See full document
19
Stability of stochastic differential equations in infinite dimensions
... particular, stochastic partial differential equations with finite or infinite delays seem very important as models of biological, chemical, physical and eco- nomical ...non-autonomous ... See full document
203
A solution theory for a general class of SPDEs
... of stochastic partial differential equations (SPDEs) attracted a lot of inter- est in the recent years, with a wide range of equations already been ...these equations is to ... See full document
41
Backward stochastic differential equations with unbounded coefficients and their applications
... The BSDEs with a possibly unbounded generator are important in mathemati- cal finance. When the interest rate is modeled as a solution to a stochastic differential equation (e.g. [7], [16], [79]), which in ... See full document
138
Quasilinear Stochastic Partial Differential Equations
... There are no proofs in these first chapters. All results are referenced from textbooks and papers. The focus of this thesis is describing the arguments of [8]. In chapter 4 we state the problem of existence and ... See full document
88
Simulation of Singular Fourth- Order Partial Differential Equations Using the Fourier Transform Combined With Variational Iteration Method
... partial differential equations with variable coefficients that may arise in the study of the vibration of beams and plates as well as the flow of viscoelastic and elastic (Newtonian) ...These ... See full document
19
Existence of solution for stochastic differential equations driven by G Lévy process with discontinuous coefficients
... In recent years much effort has been made to develop the theory of sublinear expecta- tions connected with the volatility uncertainty and the so-called G-Brownian motion. G- Brownian motion was introduced by Shige Peng in ... See full document
13
Non zero sum differential games of anticipated forward backward stochastic differential delayed equations under partial information and application
... the partial information condition. Applying the stochastic filtering formula, we derived the fil- tering equation and proved the existence and uniqueness of the filtering equation and the corresponding Nash ... See full document
21
Analysis on exponential stability of hybrid pantograph stochastic differential equations with highly nonlinear coefficients
... One of the important issues in the study of hybrid SDDEs is the automatic control, with current emphasis placed on asymptotic stability and boundedness arising from automatic control. There is an intensive literature in ... See full document
16
Existence and Uniqueness Linear Partial Differential Equations Depending Initial and Boundary Conditions
... part, depending on the exponent of nonlinearity and spatial dimension of equation, they are investigated the problem on the nonexistence of global solutions of the Cauchy characteristic problem Announce several ... See full document
14
On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter
... Using similar ideas, it is also possible in the case of the CIR diffusion to construct a third order scheme. Numerical tests comparing these two schemes to other numerical schemes are given in [4]. Then, still by using ... See full document
16
On the multiple scale analysis for some linear partial q difference and differential equations with holomorphic coefficients
... solution with respect to the formal solution depending on the geometry of the problem. The final main result states the splitting of both formal and analytic solutions to the prob- lem under study as a sum of three ... See full document
42
Backward stochastic differential equations with Young drift
... Here η has finite q-variation, with q ∈ [ 1 , 2 ) and the last term is a priori not well-defined. There are several approaches to make sense of such a “rough” PDE (or pathwise SPDEs). We shall employ the solution concept ... See full document
17
Three Dimensional Analysis of Laminated Cylindrical Panels with Piezoelectric Layers
... coupled partial differential equations (PDE's) of equilibrium to ordinary differential equations (ODE's) with variable coefficients by means of trigonometric function expansion ... See full document
12
Speed of propagation for some models of two-phase flow in porous media
... the equations yield the same solution in the sense of entropy-satisfying weak ...yield equations with the same entropy-satisfying weak solutions as the original ... See full document
12
Feynman Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations
... A: Stochastic Differential Equations and ...RZ: Stochastic Stability of Differential Equations, 2nd ...X: Stochastic Differential Equations and Their ...B: Stochastic ... See full document
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