Ji, Un Cig Anticipating quantum stochastic integrals. (English) Zbl 07981658 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 27, No. 4, Article ID 2440007, 41 p. (2024). MSC: 81S25 60H40 46F25 × Cite Format Result Cite Review PDF Full Text: DOI
Chadad, Monir; Erraoui, Mohamed Reflected stochastic differential equations driven by standard and fractional Brownian motion. (English) Zbl 1546.60074 Stoch. Dyn. 24, No. 2, Article ID 2450011, 34 p. (2024). MSC: 60G22 60H05 60H20 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Hanwu The Skorokhod problem with two nonlinear constraints. (English) Zbl 1539.60078 Probab. Math. Stat. 43, No. 2, 207-239 (2023). MSC: 60H20 60J65 60G17 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Thieu, Thi Kim Thoa; Muntean, Adrian; Melnik, Roderick Coupled stochastic systems of Skorokhod type: well-posedness of a mathematical model and its applications. (English) Zbl 1533.60100 Math. Methods Appl. Sci. 46, No. 6, 7368-7390 (2023). MSC: 60H10 60H20 92C20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Criens, David; Pfaffelhuber, Peter; Schmidt, Thorsten The martingale problem method revisited. (English) Zbl 1534.60069 Electron. J. Probab. 28, Paper No. 19, 46 p. (2023). MSC: 60H10 60G44 60B10 60J60 60J25 60H20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Nasroallah, Kaoutar; Ouknine, Youssef Euler approximation and stability of the solution to stochastic differential equations with jumps under pathwise uniqueness. (English) Zbl 1515.60210 Stochastics 95, No. 2, 266-302 (2023). MSC: 60H10 60H35 60H20 × Cite Format Result Cite Review PDF Full Text: DOI
Grothaus, Martin; Suryawan, Herry Pribawanto; Da Silva, José Luís A white noise approach to stochastic currents of Brownian motion. (English) Zbl 1523.60121 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 26, No. 1, Article ID 2250025, 10 p. (2023). MSC: 60H40 60J65 46F25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Čoupek, Petr; Duncan, Tyrone E.; Pasik-Duncan, Bozenna A stochastic calculus for Rosenblatt processes. (English) Zbl 1494.60058 Stochastic Processes Appl. 150, 853-885 (2022). MSC: 60H05 60H07 60G22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Jarni, Imane; Ouknine, Youssef On reflection with two-sided jumps. (English) Zbl 1485.60065 J. Theor. Probab. 34, No. 4, 1811-1830 (2021). Reviewer: Henri Schurz (Carbondale) MSC: 60H20 60H10 60G44 60G17 × Cite Format Result Cite Review PDF Full Text: DOI
Falkowski, Adrian; Słomiński, Leszek Mean reflected stochastic differential equations with two constraints. (English) Zbl 1480.60187 Stochastic Processes Appl. 141, 172-196 (2021). MSC: 60H20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Vysotsky, Vladislav Contraction principle for trajectories of random walks and Cramér’s theorem for kernel-weighted sums. (English) Zbl 1472.60053 ALEA, Lat. Am. J. Probab. Math. Stat. 18, No. 2, 1103-1125 (2021). MSC: 60F10 60G50 49J45 52A22 54A10 60B11 × Cite Format Result Cite Review PDF Full Text: arXiv Link
Heesen, Sophie; Stannat, Wilhelm Fluctuation limits for mean-field interacting nonlinear Hawkes processes. (English) Zbl 1475.60091 Stochastic Processes Appl. 139, 280-297 (2021). MSC: 60G55 60G57 60F05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ettaieb, Aymen; Ouerdiane, Habib; Rguigui, Hafedh Quantum white noise stochastic analysis based on nuclear algebras of entire functions. (English) Zbl 1462.81118 Bull. Malays. Math. Sci. Soc. (2) 44, No. 2, 599-623 (2021). MSC: 81S25 60H40 46A32 46G20 46F25 × Cite Format Result Cite Review PDF Full Text: DOI
Yasynskyĭ, V. K.; Antonyuk, S. V. Existence of \(l\)-th moment of solution of Ito-Skorokhod stochastic dynamic systems of random structure with external disturbances and all prehistory. (Ukrainian. English summary) Zbl 07909318 Nauk. Visn. Uzhgorod. Univ., Ser. Mat. Inform. 36, No. 1, 41-54 (2020). MSC: 60H10 49J55 × Cite Format Result Cite Review PDF Full Text: DOI
Majee, Ananta K. Stochastic optimal control of a evolutionary \(p\)-Laplace equation with multiplicative Lévy noise. (English) Zbl 1465.45010 ESAIM, Control Optim. Calc. Var. 26, Paper No. 100, 22 p. (2020). MSC: 45K05 46S50 35R60 60H15 60H20 49L20 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hilbert, Astrid; Jarni, Imane; Ouknine, Youssef On reflected stochastic differential equations driven by regulated semimartingales. (English) Zbl 1460.60072 Stat. Probab. Lett. 167, Article ID 108912, 7 p. (2020). MSC: 60H20 60G17 × Cite Format Result Cite Review PDF Full Text: DOI
Boudabra, Maher; Markowsky, Greg A new solution to the conformal Skorokhod embedding problem and applications to the Dirichlet eigenvalue problem. (English) Zbl 1471.60127 J. Math. Anal. Appl. 491, No. 2, Article ID 124351, 13 p. (2020). MSC: 60J65 30E20 30H10 35K05 44A15 × Cite Format Result Cite Review PDF Full Text: DOI
Hoshino, Kiyoiki Derivation formulas of noncausal finite variation processes from the stochastic Fourier coefficients. (English) Zbl 1456.60131 Japan J. Ind. Appl. Math. 37, No. 2, 527-564 (2020). MSC: 60H05 60H07 42A38 × Cite Format Result Cite Review PDF Full Text: DOI
Hoshino, Kiyoiki; Kazumi, Tetsuya On the Ogawa integrability of noncausal Wiener functionals. (English) Zbl 1492.60149 Stochastics 91, No. 5, 773-796 (2019). MSC: 60H05 60H07 46A35 × Cite Format Result Cite Review PDF Full Text: DOI
Lipshutz, David; Ramanan, Kavita Pathwise differentiability of reflected diffusions in convex polyhedral domains. (English. French summary) Zbl 1466.60076 Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 3, 1439-1476 (2019). MSC: 60G17 90C31 93B35 60H07 60H10 65C30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Hoshino, Kiyoiki; Kazumi, Tetsuya On the identification of noncausal Wiener functionals from the stochastic Fourier coefficients. (English) Zbl 1436.60053 J. Theor. Probab. 32, No. 4, 1973-1989 (2019). MSC: 60H05 60H07 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Tianheng; Rozovskii, Boris; Shu, Chi-Wang Numerical solutions of stochastic PDEs driven by arbitrary type of noise. (English) Zbl 1475.60112 Stoch. Partial Differ. Equ., Anal. Comput. 7, No. 1, 1-39 (2019). MSC: 60H15 35R60 60H05 60H07 60H35 65M75 × Cite Format Result Cite Review PDF Full Text: DOI
Jaramillo, Arturo; Pardo, Juan Carlos; Pérez, José Luis Convergence of the empirical spectral distribution of Gaussian matrix-valued processes. (English) Zbl 1427.15037 Electron. J. Probab. 24, Paper No. 10, 22 p. (2019). MSC: 15B52 65C30 60H07 60B10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Bezborodov, Viktor; Di Persio, Luca; Mishura, Yuliya Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth. (English) Zbl 1411.91542 Methodol. Comput. Appl. Probab. 21, No. 1, 331-366 (2019). MSC: 91G20 91B24 91B25 91G60 60G22 60H07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
De Raynal, Paul-Éric Chaudru; Pagès, Gilles; Rey, Clément Numerical methods for stochastic differential equations: two examples. (English) Zbl 07007410 ESAIM, Proc. Surv. 64, 65-77 (2018). MSC: 65C30 60H15 × Cite Format Result Cite Review PDF Full Text: DOI
Ibragimov, I. A.; Smorodina, N. V.; Faddeev, M. M. Initial boundary value problems in a bounded domain: probabilistic representations of solutions and limit theorems. II. (English. Russian original) Zbl 1406.35090 Theory Probab. Appl. 62, No. 3, 356-372 (2018); translation from Teor. Veroyatn. Primen. 62, No. 3, 446-467 (2017). MSC: 35C15 35K20 35Q41 × Cite Format Result Cite Review PDF Full Text: DOI
Escudero, Carlos A simple comparison between Skorokhod & Russo-Vallois integration for insider trading. (English) Zbl 1390.60191 Stochastic Anal. Appl. 36, No. 3, 485-494 (2018). MSC: 60H05 60H07 60H10 60H30 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Levajković, Tijana; Seleši, Dora Malliavin calculus for generalized and test stochastic processes. (English) Zbl 1499.60172 Filomat 31, No. 13, 4231-4259 (2017). MSC: 60H07 60H40 60H10 60G20 × Cite Format Result Cite Review PDF Full Text: DOI
Melnikova, I. V.; Alshanskiy, M. A. Stochastic equations with an unbounded operator coefficient and multiplicative noise. (English. Russian original) Zbl 1401.60129 Sib. Math. J. 58, No. 6, 1052-1066 (2017); translation from Sib. Mat. Zh. 58, No. 6, 1354-1371 (2017). Reviewer: Melvin D. Lax (Long Beach) MSC: 60H25 47B80 × Cite Format Result Cite Review PDF Full Text: DOI
Bell, Denis; Nualart, David Noncentral limit theorem for the generalized Hermite process. (English) Zbl 1386.60190 Electron. Commun. Probab. 22, Paper No. 66, 13 p. (2017). MSC: 60H05 60H07 60F05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
De Angelis, Tiziano; Kitapbayev, Yerkin Integral equations for Rost’s reversed barriers: existence and uniqueness results. (English) Zbl 1372.60056 Stochastic Processes Appl. 127, No. 10, 3447-3464 (2017). MSC: 60G40 60J65 60J55 45D05 35R35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Levajković, Tijana; Mena, Hermann Equations involving Malliavin calculus operators. Applications and numerical approximation. (English) Zbl 1388.60007 SpringerBriefs in Mathematics. Cham: Springer (ISBN 978-3-319-65677-9/pbk; 978-3-319-65678-6/ebook). x, 132 p. (2017). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60-02 60H07 60H10 60H15 60H40 49J55 × Cite Format Result Cite Review PDF Full Text: DOI
Altmann, Robert; Levajković, Tijana; Mena, Hermann Operator differential-algebraic equations with noise arising in fluid dynamics. (English) Zbl 1456.65034 Monatsh. Math. 182, No. 4, 741-780 (2017). Reviewer: Dora Seleši (Novi Sad) MSC: 65J10 60H40 60H30 35R60 76M35 × Cite Format Result Cite Review PDF Full Text: DOI
Hu, Yaozhong; Lê, Khoa Nonlinear Young integrals and differential systems in Hölder media. (English) Zbl 1356.60086 Trans. Am. Math. Soc. 369, No. 3, 1935-2002 (2017). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H05 60H15 60H10 60H30 60H07 60G60 60G15 60G17 60J60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Borzykh, D. A. On a class of functionals continuous in the Skorokhod topology. (Russian. English summary) Zbl 1386.60119 Vestn. Voronezh. Gos. Univ., Ser. Fiz. Mat. 2016, No. 4, 83-88 (2016). MSC: 60F17 60B05 × Cite Format Result Cite Review PDF
Zhang, Tusheng Lattice approximations of reflected stochastic partial differential equations driven by space-time white noise. (English) Zbl 1358.60075 Ann. Appl. Probab. 26, No. 6, 3602-3629 (2016). MSC: 60H15 60H35 60H10 60F10 60F05 65C30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Zhou, Yijing; Cai, Wei Numerical solution of the Robin problem of Laplace equations with a Feynman-Kac formula and reflecting Brownian motions. (English) Zbl 1352.65021 J. Sci. Comput. 69, No. 1, 107-121 (2016). MSC: 65C30 60H15 60H35 35R60 60J65 35J05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Eldan, Ronen Skorokhod embeddings via stochastic flows on the space of Gaussian measures. (English. French summary) Zbl 1350.60039 Ann. Inst. Henri Poincaré, Probab. Stat. 52, No. 3, 1259-1280 (2016). MSC: 60G40 60G44 60H20 60J65 60J25 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Levajković, Tijana; Mena, Hermann; Tuffaha, Amjad The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach. (English) Zbl 1350.49019 Evol. Equ. Control Theory 5, No. 1, 105-134 (2016). MSC: 49J55 49N10 49M30 60H10 60H30 60H05 60H40 93E20 15A24 × Cite Format Result Cite Review PDF Full Text: DOI
Golec, Janusz Numerical approaches to a stochastic logistic model with reflection. (English) Zbl 1342.60114 Dyn. Contin. Discrete Impuls. Syst., Ser. A, Math. Anal. 23, No. 3, 209-216 (2016). MSC: 60H35 60H10 60H30 65C30 × Cite Format Result Cite Review PDF Full Text: Link Link
Korzeniowski, A.; Ventura, W. On Donsker type theorem for discretely reflected backward SDEs. (English) Zbl 1342.60089 Dyn. Contin. Discrete Impuls. Syst., Ser. A, Math. Anal. 23, No. 3, 195-208 (2016). MSC: 60H10 60F05 60F17 60H05 60H35 65C30 × Cite Format Result Cite Review PDF Full Text: Link Link
Garai, Elena S. On limit theorem in some service systems. (English. Russian original) Zbl 1341.60114 J. Math. Sci., New York 214, No. 4, 456-466 (2016); translation from Zap. Nauchn. Semin. POMI 431, 56-71 (2014). MSC: 60K25 60F05 60F17 90B22 × Cite Format Result Cite Review PDF Full Text: DOI
Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail Numerical approximation of irregular SDEs via Skorokhod embeddings. (English) Zbl 1382.60090 J. Math. Anal. Appl. 440, No. 2, 692-715 (2016). MSC: 60H35 60H10 65C30 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Dumitrescu, Roxana; Labart, Céline Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles. (English) Zbl 1342.60113 J. Math. Anal. Appl. 442, No. 1, 206-243 (2016). MSC: 60H35 60H10 65C30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Levajković, Tijana; Pilipović, Stevan; Seleši, Dora Fundamental equations with higher order Malliavin operators. (English) Zbl 1337.60113 Stochastics 88, No. 1, 106-127 (2016). MSC: 60H07 60H40 60G20 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Buckingham, Patrick; Fralix, Brian; Kella, Offer A note on integral representations of the Skorokhod map. (English) Zbl 1351.60042 J. Appl. Probab. 53, No. 1, 293-298 (2016). MSC: 60G17 45G99 × Cite Format Result Cite Review PDF Full Text: DOI Euclid Link
Levajković, Tijana; Pilipović, Stevan; Seleši, Dora Chaos expansion methods in Malliavin calculus: a survey of recent results. (English) Zbl 1474.60145 Novi Sad J. Math. 45, No. 1, 45-103 (2015). MSC: 60H07 60H40 60H10 60G20 × Cite Format Result Cite Review PDF Full Text: DOI
Falkowski, Adrian; Słomiński, Leszek Stochastic differential equations with constraints driven by processes with bounded \(p\)-variation. (English) Zbl 1333.60119 Probab. Math. Stat. 35, No. 2, 343-365 (2015). MSC: 60H10 60H20 60G22 × Cite Format Result Cite Review PDF Full Text: arXiv Link
Harnett, Daniel; Nualart, David On Simpson’s rule and fractional Brownian motion with \(H = 1/10\). (English) Zbl 1334.60098 J. Theor. Probab. 28, No. 4, 1651-1688 (2015). Reviewer: Stefan Tappe (Hannover) MSC: 60H05 60G22 60F05 60H07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lipshutz, David; Williams, Ruth J. Existence, uniqueness, and stability of slowly oscillating periodic solutions for delay differential equations with nonnegativity constraints. (English) Zbl 1343.34160 SIAM J. Math. Anal. 47, No. 6, 4467-4535 (2015). Reviewer: Xueyan Liu (Chattanooga) MSC: 34K13 34K11 34K20 92B25 47N20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Mendy, Ibrahima; Dakaou, Ibrahim Occupation densities for certain processes related to subfractional Brownian motion. (English) Zbl 1334.60056 Braz. J. Probab. Stat. 29, No. 4, 733-746 (2015). MSC: 60G22 60H05 60H07 60G15 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Mhlanga, Farai Julius Calculations of greeks for jump diffusion processes. (English) Zbl 1321.60168 Mediterr. J. Math. 12, No. 3, 1141-1160 (2015). MSC: 60J75 60J60 60H07 60G51 60H30 60H35 91G80 × Cite Format Result Cite Review PDF Full Text: DOI
Essaky, El Hassan; Nualart, David On the \(\frac{1}{H}\)-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter \(H < \frac{1}{2}\). (English) Zbl 1322.60078 Stochastic Processes Appl. 125, No. 11, 4117-4141 (2015). MSC: 60H05 60G22 60H07 60G18 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Privault, Nicolas Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions. (English) Zbl 1321.60118 Electron. Commun. Probab. 20, Paper No. 35, 10 p. (2015). MSC: 60H05 60H07 60H10 60J65 60G15 62E17 × Cite Format Result Cite Review PDF Full Text: DOI
Hu, Yaozhong; Huang, Jingyu; Nualart, David; Tindel, Samy Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency. (English) Zbl 1322.60113 Electron. J. Probab. 20, Paper No. 55, 50 p. (2015). MSC: 60H15 60G15 60H07 60H05 60G22 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gassiat, Paul; Mijatović, Aleksandar; Oberhauser, Harald An integral equation for Root’s barrier and the generation of Brownian increments. (English) Zbl 1328.60103 Ann. Appl. Probab. 25, No. 4, 2039-2065 (2015). MSC: 60G40 60J65 45G10 65C05 65C40 65C30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Mandrekar, Vidyadhar S.; Gawarecki, Leszek Stochastic analysis for Gaussian random processes and fields: with applications. (English) Zbl 1333.60008 Monographs on Statistics and Applied Probability 145. Boca Raton, FL: CRC Press (ISBN 978-1-4987-0781-7/hbk; 978-1-4987-0782-4/ebook). 201 p. (2015). Reviewer: P. R. Parthasarathy (Chennai) MSC: 60-02 60G15 60G60 60H05 60H07 60G22 46E22 91G80 × Cite Format Result Cite Review PDF Full Text: Link
Bender, Christian; Knobloch, Robert; Oberacker, Philip A generalised Itō formula for Lévy-driven Volterra processes. (English) Zbl 1319.60120 Stochastic Processes Appl. 125, No. 8, 2989-3022 (2015). MSC: 60H05 60G51 60G22 60H07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Maticiuc, Lucian; Răşcanu, Aurel; Słomiński, Leszek; Topolewski, Mateusz Càdlàg Skorokhod problem driven by a maximal monotone operator. (English) Zbl 1338.60149 J. Math. Anal. Appl. 429, No. 2, 1305-1346 (2015). MSC: 60H10 60H99 60H35 47H04 47H05 65C30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Pavlyukevich, Ilya; Riedle, Markus Non-standard Skorokhod convergence of Lévy-driven convolution integrals in Hilbert spaces. (English) Zbl 1314.60021 Stochastic Anal. Appl. 33, No. 2, 271-305 (2015). MSC: 60B12 60F17 60G51 60H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Semrau-Giłka, Alina On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients. (English) Zbl 1329.60238 Stat. Probab. Lett. 96, 315-321 (2015). MSC: 60H35 60H10 60H05 60H20 60F17 60F05 60F25 65C30 × Cite Format Result Cite Review PDF Full Text: DOI
Engelbert, Hans-Jürgen; Peskir, Goran Stochastic differential equations for sticky Brownian motion. (English) Zbl 1337.60120 Stochastics 86, No. 6, 993-1021 (2014). MSC: 60H10 60J65 60J60 60H20 60J50 60J55 × Cite Format Result Cite Review PDF Full Text: DOI
Alshanskiĭ, M. A. The Itô integral and the Hitsuda-Skorohod integral in the infinite dimensional case. (Russian. English summary) Zbl 1333.60109 Sib. Èlektron. Mat. Izv. 11, 185-199 (2014). MSC: 60H05 60H40 46F25 × Cite Format Result Cite Review PDF Full Text: Link
Dyriv, M. M.; Kachanovsky, N. A. On operators of stochastic differentiation on spaces of regular test and generalized functions of Lévy white noise analysis. (English) Zbl 1327.60111 Carpathian Math. Publ. 6, No. 2, 212-229 (2014). MSC: 60H05 60H40 60G51 46F05 46F25 × Cite Format Result Cite Review PDF Full Text: DOI
Pronk, Matthijs A note on the truncated Skorohod integral process. (English) Zbl 1312.60073 Stochastics 86, No. 2, 285-290 (2014). MSC: 60H05 60H07 × Cite Format Result Cite Review PDF Full Text: DOI
Ogawa, Shigeyoshi; Uemura, Hideaki On a stochastic Fourier coefficient: case of noncausal functions. (English) Zbl 1296.60141 J. Theor. Probab. 27, No. 2, 370-382 (2014). Reviewer: Jean Picard (Aubière) MSC: 60H05 42A61 60H07 × Cite Format Result Cite Review PDF Full Text: DOI
Łochowski, Rafał M. On pathwise stochastic integration with respect to semimartingales. (English) Zbl 1298.60052 Probab. Math. Stat. 34, No. 1, 23-43 (2014). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60G46 60G17 60H05 × Cite Format Result Cite Review PDF Full Text: arXiv Link
Zhang, Haisen Stochastic theta method for a reflected stochastic differential equation. (English) Zbl 1291.65027 Numer. Funct. Anal. Optim. 35, No. 6, 752-776 (2014). MSC: 65C30 × Cite Format Result Cite Review PDF Full Text: DOI
Lü, Xuebin; Dai, Wanyang Stochastic integration for fractional Lévy processes and stochastic differential equations driven by fractional Lévy noises. (Chinese. English summary) Zbl 1313.60108 Acta Math. Sci., Ser. A, Chin. Ed. 33, No. 6, 1022-1034 (2013). MSC: 60H10 60G20 60G51 60G22 × Cite Format Result Cite Review PDF Full Text: arXiv
Buadze, T.; Khechinashvili, Z.; Sokhadze, G. On the Fernick-Skorokhod type integral. (English) Zbl 1290.47040 Georgian Int. J. Sci. Technol. 5, No. 3-4, 111-113 (2013). MSC: 47B80 60H05 × Cite Format Result Cite Review PDF
Słomiński, Leszek; Wojciechowski, Tomasz Stochastic differential equations with time-dependent reflecting barriers. (English) Zbl 1296.60175 Stochastics 85, No. 1, 27-47 (2013). Reviewer: Andrew Dale (Durban) MSC: 60H20 60G17 × Cite Format Result Cite Review PDF Full Text: DOI
Harnett, Daniel; Nualart, David Central limit theorem for a Stratonovich integral with Malliavin calculus. (English) Zbl 1285.60050 Ann. Probab. 41, No. 4, 2820-2879 (2013). Reviewer: Jan Gairing (Berlin) MSC: 60H05 60F05 60G15 60G17 60G22 60H07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Semrau-Giłka, Alina Euler’s approximations of solutions of reflecting SDEs with discontinuous coefficients. (English) Zbl 1263.60061 Bull. Pol. Acad. Sci., Math. 61, No. 1, 79-95 (2013). MSC: 60H20 60H99 60F17 × Cite Format Result Cite Review PDF Full Text: DOI
Mikulevicius, R.; Rozovskii, B. L. On unbiased stochastic Navier-Stokes equations. (English) Zbl 1277.60109 Probab. Theory Relat. Fields 154, No. 3-4, 787-834 (2012). Reviewer: Dora Seleši (Novi Sad) MSC: 60H15 35R60 35Q30 15A18 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Tesko, Volodymyr The integration of operator-valued functions with respect to vector-valued measures. (English) Zbl 1265.60100 Methods Funct. Anal. Topol. 18, No. 3, 288-304 (2012). Reviewer: A. N. Kochubei (Kyïv) MSC: 60H05 47B15 46G99 × Cite Format Result Cite Review PDF
Levajković, Tijana; Seleši, Dora Chaos expansion methods for stochastic differential equations involving the Malliavin derivative. II. (English) Zbl 1265.60129 Publ. Inst. Math., Nouv. Sér. 90(104), 85-98 (2011). Reviewer: Slobodanka Janković (Beograd) MSC: 60H40 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Levajković, Tijana; Seleši, Dora Chaos expansion methods for stochastic differential equations involving the Malliavin derivative. I. (English) Zbl 1265.60128 Publ. Inst. Math., Nouv. Sér. 90(104), 65-84 (2011). Reviewer: Slobodanka Janković (Beograd) MSC: 60H40 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Last, Günter; Penrose, Mathew D. Poisson process Fock space representation, chaos expansion and covariance inequalities. (English) Zbl 1233.60026 Probab. Theory Relat. Fields 150, No. 3-4, 663-690 (2011). Reviewer: Viktor Ohanyan (Erevan) MSC: 60G55 60G51 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Di Nunno, Giulia; Menoukeu Pamen, Olivier; Øksendal, Bernt; Proske, Frank A general maximum principle for anticipative stochastic control and applications to insider trading. (English) Zbl 1233.91338 Di Nunno, Giulia (ed.) et al., Advanced mathematical methods for finance. Berlin: Springer (ISBN 978-3-642-18411-6/hbk; 978-3-642-18412-3/ebook). 181-221 (2011). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G80 93E20 60G51 60H07 60H10 × Cite Format Result Cite Review PDF Full Text: DOI Link
Anantharam, Venkat; Konstantopoulos, Takis Integral representation of Skorokhod reflection. (English) Zbl 1221.60048 Proc. Am. Math. Soc. 139, No. 6, 2227-2237 (2011). MSC: 60G17 45G99 90B05 90B22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lototsky, Sergey V.; Rozovskii, Boris L. Bilinear stochastic elliptic equations. (English) Zbl 1285.60072 Da Prato, Giuseppe (ed.) et al., Stochastic partial differential equations and applications. Papers based on the presentations at the 8th meeting, Levico Terme, Italy, January 2008. Caserta: Dipartimento di Matematica, Seconda Università di Napoli (ISBN 978-88-548-4391-2/hbk). Quaderni di Matematica 25, 207-221 (2010). Reviewer: Dora Seleši (Novi Sad) MSC: 60H40 60H15 60H07 × Cite Format Result Cite Review PDF
Liu, Xianming; Duan, Jinqiao; Liu, Jicheng; Kloeden, Peter E. Synchronization of systems of Marcus canonical equations driven by \(\alpha \)-stable noises. (English) Zbl 1203.37124 Nonlinear Anal., Real World Appl. 11, No. 5, 3437-3445 (2010). Reviewer: Iulian Stoleriu (Iaşi) MSC: 37M05 × Cite Format Result Cite Review PDF Full Text: DOI
Lototsky, Sergey V.; Rozovskii, Boris L.; Wan, Xiaoliang Elliptic equations of higher stochastic order. (English) Zbl 1203.65020 ESAIM, Math. Model. Numer. Anal. 44, No. 5, 1135-1153 (2010). Reviewer: Georgiy Shevchenko (Kiev) MSC: 65C30 35R60 60H15 60H35 35J66 × Cite Format Result Cite Review PDF Full Text: DOI EuDML
Czarkowski, Krzysztog T. Fast approximation of solutions of SDEs with oblique reflection on an orthant. (English) Zbl 1197.60069 Probab. Math. Stat. 30, No. 1, 167-182 (2010). MSC: 60H35 60H20 × Cite Format Result Cite Review PDF Full Text: arXiv Link
Słomiński, Leszek; Wojciechowski, Tomasz Stochastic differential equations with jump reflection at time-dependent barriers. (English) Zbl 1197.60066 Stochastic Processes Appl. 120, No. 9, 1701-1721 (2010). MSC: 60H20 60G17 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Kachanovsky, N. A.; Tesko, V. A. Stochastic integral of Hitsuda-Skorokhod type on the extended Fock space. (English) Zbl 1224.60124 Ukr. Mat. Zh. 61, No. 6, 733-764 (2009) and in Ukr. Math. J. 61, No. 6, 873-907 (2009). MSC: 60H05 46F25 × Cite Format Result Cite Review PDF Full Text: DOI
Jien, Yu-Juan; Ma, Jin Stochastic differential equations driven by fractional Brownian motions. (English) Zbl 1214.60024 Bernoulli 15, No. 3, 846-870 (2009). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H10 60G22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lototsky, Sergey V.; Rozovskii, Boris L. Stochastic partial differential equations driven by purely spatial noise. (English) Zbl 1202.60101 SIAM J. Math. Anal. 41, No. 4, 1295-1322 (2009). MSC: 60H15 35R60 60H40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bereza, V. Yu.; Lukashiv, T. O. On existence of strong solutions to stochastic functional-differential equations with Skorokhod integral. (Ukrainian. English summary) Zbl 1199.60200 Nauk. Visn. Uzhgorod. Univ., Ser. Mat. 18, 13-24 (2009). MSC: 60H10 × Cite Format Result Cite Review PDF
Es-Sebaiy, Khalifa; Tudor, Ciprian A. Lévy processes and Itô-Skorokhod integrals. (English) Zbl 1224.60125 Theory Stoch. Process. 14, No. 2, 10-18 (2008). MSC: 60H07 60G20 60G48 60J75 × Cite Format Result Cite Review PDF
Piera, Francisco J.; Mazumdar, Ravi R. Comparison results for reflected jump-diffusions in the orthant with variable reflection directions and stability applications. (English) Zbl 1190.60074 Electron. J. Probab. 13, 1886-1908 (2008). MSC: 60J60 60J75 60G17 60H10 60H20 × Cite Format Result Cite Review PDF Full Text: DOI EuDML EMIS
Maas, Jan; Van Neerven, Jan A clark-ocone formula in UMD Banach spaces. (English) Zbl 1189.60111 Electron. Commun. Probab. 13, 151-164 (2008). MSC: 60H07 60H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv EuDML EMIS
Malyk, Igor About existence and uniqueness of the strong solution of the Volterra stochastic integro-differential equation with Skorokhod integral. (Ukrainian. English summary) Zbl 1199.60254 Mat. Visn. Nauk. Tov. Im. Shevchenka 5, 135-150 (2008). MSC: 60H99 × Cite Format Result Cite Review PDF
Yablonski, Aleh The calculus of variations for processes with independent increments. (English) Zbl 1195.60075 Rocky Mt. J. Math. 38, No. 2, 669-701 (2008). MSC: 60H07 60G51 × Cite Format Result Cite Review PDF Full Text: DOI
Yasinskii, V. K.; Antonyuk, S. V. Existence of the \(l\)-th moment of a solution to a stochastic functional-differential equation with the entire prehistory. (English. Russian original) Zbl 1162.60329 Cybern. Syst. Anal. 44, No. 4, 582-590 (2008); Translation from Kibern. Sist. Anal. 2008, No. 4, 142-151 (2008). Reviewer: George Stoica (Saint John) MSC: 60H20 × Cite Format Result Cite Review PDF Full Text: DOI
Lototsky, S. V.; Stemmann, K. Solving SPDEs driven by colored noise: a chaos approach. (English) Zbl 1148.60037 Q. Appl. Math. 66, No. 3, 499-520 (2008). MSC: 60H15 35R60 60H40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Peccati, Giovanni; Tudor, Ciprian A. Anticipating integrals and martingales on the Poisson space. (English) Zbl 1199.60171 Random Oper. Stoch. Equ. 15, No. 4, 327-352 (2007). Reviewer: Rostyslav E. Yamnenko (Kyïv) MSC: 60G51 60H05 60H07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Semrau, Alina Euler’s approximations of weak solutions of reflecting SDEs with discontinuous coefficients. (English) Zbl 1119.60058 Bull. Pol. Acad. Sci., Math. 55, No. 2, 171-182 (2007). MSC: 60H20 60H99 60F17 65C30 × Cite Format Result Cite Review PDF Full Text: DOI
Liang, Zongxia Besov regularity for the generalized local time of the indefinite Skorohod integral. (English) Zbl 1115.60060 Ann. Inst. Henri Poincaré, Probab. Stat. 43, No. 1, 77-86 (2007). Reviewer: Jean Picard (Aubière) MSC: 60H07 60H30 60G15 × Cite Format Result Cite Review PDF Full Text: DOI Numdam Numdam EuDML
Solé, Josep Lluís; Utzet, Frederic; Vives, Josep Canonical Lévy process and Malliavin calculus. (English) Zbl 1107.60029 Stochastic Processes Appl. 117, No. 2, 165-187 (2007). MSC: 60H07 60G57 × Cite Format Result Cite Review PDF Full Text: DOI