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Found 51 Documents (Results 1–51)

McKean Feynman-Kac probabilistic representations of non-linear partial differential equations. (English) Zbl 1499.60189

Ugolini, Stefania (ed.) et al., Geometry and invariance in stochastic dynamics. Selected papers based on the presentations at the the conference on random transformations and invariance in stochastic dynamics, Verona, Italy, March 25–29, 2019. Cham: Springer. Springer Proc. Math. Stat. 378, 187-212 (2021).
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Error expansion for a symplectic scheme for stochastic Hamiltonian systems. (English) Zbl 1416.65508

Kilgour, D. Marc (ed.) et al., Recent advances in mathematical and statistical methods. IV AMMCS international conference, Waterloo, Canada, August 20–25, 2017. Cham: Springer. Springer Proc. Math. Stat. 259, 567-577 (2018).
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Sufficient conditions of optimality for forward-backward doubly SDEs with jumps. (English) Zbl 1403.93193

Eddahbi, M’hamed (ed.) et al., Statistical methods and applications in insurance and finance. CIMPA school, Marrakech and Kelaat M’gouna, Morocco, April 8–20, 2013. Cham: Springer (ISBN 978-3-319-30416-8/hbk; 978-3-319-30417-5/ebook). Springer Proceedings in Mathematics & Statistics 158, 173-191 (2016).
MSC:  93E20 49K45 60H10 60J75
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Necessary and sufficient conditions of optimal control for infinite dimensional SDEs. (Necessary and sufficient conditions of optimalcontrol for infinite dimensional SDEs.) (English) Zbl 1403.93192

Eddahbi, M’hamed (ed.) et al., Statistical methods and applications in insurance and finance. CIMPA school, Marrakech and Kelaat M’gouna, Morocco, April 8–20, 2013. Cham: Springer (ISBN 978-3-319-30416-8/hbk; 978-3-319-30417-5/ebook). Springer Proceedings in Mathematics & Statistics 158, 149-171 (2016).
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A stochastic HJB equation for optimal control of forward-backward SDEs. (English) Zbl 1354.60061

Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 435-446 (2016).
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Stochastic maximum principle for Hilbert space valued forward-backward doubly SDEs with Poisson jumps. (English) Zbl 1325.60084

Pötzsche, Christian (ed.) et al., System modeling and optimization. 26th IFIP TC 7 conference, CSMO 2013, Klagenfurt, Austria, September 9–13, 2013. Revised selected papers. Heidelberg: Springer (ISBN 978-3-662-45503-6/hbk; 978-3-662-45504-3/ebook). IFIP Advances in Information and Communication Technology 443, 1-10 (2014).
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Finite difference methods for mean field games. (English) Zbl 1271.65120

Loreti, Paola (ed.) et al., Hamilton-Jacobi equations: approximations, numerical analysis and applications. Based on the lectures of the CIME summer school, Cetraro, Italy, August 29–September 3, 2011. Berlin: Springer; Florence: Fondazione CIME (ISBN 978-3-642-36432-7/pbk; 978-3-642-36433-4/ebook). Lecture Notes in Mathematics 2074. CIME Foundation Subseries, 1-47 (2013).
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Some results on backward stochastic differential equations driven by fractional Brownian motions. (English) Zbl 1276.60062

Zhang, Tusheng (ed.) et al., Stochastic analysis and applications to finance. Essays in honour of Jia-an Yan on the occasion of his 70th years birthday. Hackensack, NJ: World Scientific (ISBN 978-981-4383-57-8/hbk). Interdisciplinary Mathematical Sciences 13, 225-242 (2012).
MSC:  60H10 60G22
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Existence and stability of measure solutions for BSDE with generators of quadratic growth. (English) Zbl 1282.60066

Zhang, Tusheng (ed.) et al., Stochastic analysis and applications to finance. Essays in honour of Jia-an Yan on the occasion of his 70th years birthday. Hackensack, NJ: World Scientific (ISBN 978-981-4383-57-8/hbk). Interdisciplinary Mathematical Sciences 13, 137-168 (2012).
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On a forward-backward stochastic system associated to the Burgers equation. (English) Zbl 1250.65012

Kohatsu-Higa, Arturo (ed.) et al., Stochastic analysis with financial applications, Hong Kong 2009. Proceedings of the workshop, Hong Kong, China, June 29 to July 3, 2009. New York, NY: Springer (ISBN 978-3-0348-0096-9/hbk; 978-3-0348-0097-6/ebook). Progress in Probability 65, 43-59 (2011).
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Backward stochastic differential equation, nonlinear expectation and their applications. (English) Zbl 1233.60031

Bhatia, Rajendra (ed.) et al., Proceedings of the international congress of mathematicians (ICM 2010), Hyderabad, India, August 19–27, 2010. Vol. I: Plenary lectures and ceremonies. Hackensack, NJ: World Scientific; New Delhi: Hindustan Book Agency (ISBN 978-981-4324-30-4/set; 978-81-85931-08-3/hbk; 978-981-4324-31-1/hbk; 978-981-4324-35-9/ebook). 393-432 (2011).
Reviewer: H. M. Mai (Berlin)
MSC:  60H10 35K55 35R60
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Report on testing and finding the generating functions \(g\) of an option pricing mechanism through market data. (English) Zbl 1187.91209

Li, Tatsien (ed.) et al., Industrial and applied mathematics in China. Based in part on the 9th annual conference of the China Society for Industrial and Applied Mathematics, August 14–18, 2006. Hackensack, NJ: World Scientific (ISBN 978-981-283-875-9/hbk). Series in Contemporary Applied Mathematics CAM 10, 79-100 (2009).
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Stochastic control and BSDEs with quadratic growth. (English) Zbl 1192.93128

Tang, Shanjian (ed.) et al., Control theory and related topics. In memory of Professor Xunjing Li, Fudan, China, June 3–5, 2005. Hackensack, NJ: World Scientific (ISBN 978-981-270-582-2/hbk). 80-86 (2007).
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An additivity of maximum expectations and its applications. (English) Zbl 1195.91173

Tang, Shanjian (ed.) et al., Control theory and related topics. In memory of Professor Xunjing Li, Fudan, China, June 3–5, 2005. Hackensack, NJ: World Scientific (ISBN 978-981-270-582-2/hbk). 67-79 (2007).
MSC:  91G60 60H07 91G20 91B25 65C30
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Backward stochastic generalized variational inequality. (English) Zbl 1168.60023

Cârjă, Ovidiu (ed.) et al., Applied analysis and differential equations. Selected papers from the international conference, “Al. I. Cuza” University of Iaşi, Iaşi, Romania, September 4–9, 2006. Hackensack, NJ: World Scientific (ISBN 978-981-270-594-5/hbk). 217-226 (2007).
MSC:  60H10 60H15 35K85
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Approximate controllability for linear stochastic differential equations with control acting on the noise. (English) Zbl 1156.93010

Cârjă, Ovidiu (ed.) et al., Applied analysis and differential equations. Selected papers from the international conference, “Al. I. Cuza” University of Iaşi, Iaşi, Romania, September 4–9, 2006. Hackensack, NJ: World Scientific (ISBN 978-981-270-594-5/hbk). 153-164 (2007).
MSC:  93B05 93E03 93C05
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BSDEs with jumps and with quadratic growth coefficients and optimal consumption. (English) Zbl 1147.60039

Chuong, N.M. (ed.) et al., Harmonic, wavelet and \(p\)-adic analysis. Based on the summer school, Quy Nhon, Vietnam, June 10–15, 2005. Hackensack, NJ: World Scientific (ISBN 978-981-270-549-5/hbk). 343-361 (2007).
MSC:  60H10 91G80 60J75
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Backward stochastic differential equations with respect to martingales. (English) Zbl 1132.60048

Cruzeiro, Ana Bela (ed.) et al., Mathematical analysis of random phenomena. Proceedings of the international conference, Hammamet, Tunisia, September 12–17, 2005. Hackensack, NJ: World Scientific (ISBN 978-981-270-603-4/hbk). 31-44 (2007).
MSC:  60H10
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A martingale equation of exponential type. (English) Zbl 1101.60049

Kabanov, Yuri (ed.) et al., From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Allmost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9–15, 2005. Berlin: Springer (ISBN 3-540-30782-6/hbk). 507-516 (2006).
MSC:  60H30 91B28
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A consumption-investment problem with production possibilities. (English) Zbl 1251.60056

Kabanov, Yuri (ed.) et al., From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Allmost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9–15, 2005. Berlin: Springer (ISBN 3-540-30782-6/hbk; 978-3-642-06803-4/pbk; 978-3-540-30788-4/ebook). 315-332 (2006).
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Some problems related to the Black-Scholes type security markets. (English) Zbl 1322.91055

Akahori, Jiro (ed.) et al., Stochastic processes and applications to mathematical finance. Proceedings of the Ritsumeikan international symposium, Kusatsu, Shiga, Japan, March 5–9, 2003. River Edge, NJ: World Scientific (ISBN 981-238-778-1/hbk). 369-400 (2004).
MSC:  91G20 60H10 60H30
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An approximation for exponential hedging. (English) Zbl 1059.60077

Kunita, Hiroshi (ed.) et al., Stochastic analysis and related topics in Kyoto. In honour of Kiyoshi Itô. Lectures given at the conference, Kyoto, Japan, September 4–7, 2002. Tokyo: Mathematical Society of Japan (ISBN 4-931469-26-4/hbk). Advanced Studies in Pure Mathematics 41, 279-299 (2004).
MSC:  60H30 60H10 91B28
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Classical solutions for Kolmogorov equations in Hilbert spaces. (English) Zbl 1050.35131

Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications III. Proceedings of the 3rd seminar, Ascona, Switzerland, September 20–24, 1999. Basel: Birkhäuser (ISBN 3-7643-6721-0/hbk). Prog. Probab. 52, 55-71 (2002).
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Comonotonicity of backward stochastic differential equations. (English) Zbl 1013.60038

Yong, Jiongmin (ed.), Recent developments in mathematical finance. Proceedings of the international conference on mathematical finance, Shanghai, China, May 10-13, 2001. Singapore: World Scientific. 28-38 (2002).
MSC:  60H10 60H15
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Solvability of a stochastic linear quadratic optimal control problem. (English) Zbl 1018.93033

Chan, Raymond (ed.) et al., Applied probability. Proceedings of an IMS workshop, Institute of Mathematical Sciences at the Chinese Univ. of Hong Kong, China. Providence, RI: AMS, American Mathematical Society/ IP, International Press. AMS/IP Stud. Adv. Math. 26, 35-43 (2002).
MSC:  93E20 49K45 49N10
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Riccati equation and viscosity solutions in mean variance hedging. (English) Zbl 1014.91054

Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5-7, 2000. Basel: Birkhäuser. 283-292 (2001).
MSC:  91B28 60H20
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Large asymptotic behaviour of Kolmogorov equations in Hilbert spaces. (English) Zbl 0946.47027

Jäger, W. (ed.) et al., Partial differential equations: theory and numerical solution. Proceedings of the ICM’98 satellite conference, Prague, Czech Republic, August 10-16, 1998. Boca Raton, FL: Chapman & Hall/CRC. Chapman Hall/CRC Res. Notes Math. 406, 111-120 (2000).
MSC:  47D06 47D07 60H15
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Comparison theorem of solutions to BSDE with jumps, and viscosity solution to a generalized Hamilton-Jacobi-Bellman equation. (English) Zbl 0981.93077

Chen, Shuping (ed.) et al., Control of distributed parameter and stochastic systems. Proceedings of the international conference (IFIP WG 7.2), Hangzhou, China, June 19-22, 1998. Boston, MA: Kluwer Academic Publishers. 275-282 (1999).
MSC:  93E20 49L25
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Rough asymptotics of forward-backward stochastic differential equations. (English) Zbl 0984.60039

Chen, Shuping (ed.) et al., Control of distributed parameter and stochastic systems. Proceedings of the international conference (IFIP WG 7.2), Hangzhou, China, June 19-22, 1998. Boston, MA: Kluwer Academic Publishers. 239-246 (1999).
MSC:  60F10 60H10
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Generalized cell mapping versus path integration. (English) Zbl 0983.70505

Spanos, P. D. (ed.), Computational stochastic mechanics. Proceedings of the 3rd international conference (CSM’98) held on Santorini, Greece, June 14-17, 1998. Rotterdam: A. A. Balkema. 385-390 (1999).
MSC:  70-08 70L05 70K40
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Backward stochastic differential equations and viscosity solutions of systems of semilinear parabolic and elliptic PDEs of second order. (English) Zbl 0893.60036

Decreusefond, Laurent (ed.) et al., Stochastic analysis and related topics VI. Proceedings of the 6th Oslo-Silivri workshop, Geilo, Norway, July 29–August 6, 1996. Boston, MA: Birkhäuser. Prog. Probab. 42, 79-127 (1998).
Reviewer: R.Buckdahn (Brest)
MSC:  60H15
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First order and second order necessary conditions of optimality for stochastic systems. (English) Zbl 0928.93068

Kabanov, Yu. M. (ed.) et al., Statistics and control of stochastic processes. The Liptser Festschrift. Papers from the Steklov seminar held in Moscow, Russia, 1995-1996. Singapore: World Scientific. 283-295 (1997).
Reviewer: M.Nisio (Osaka)
MSC:  93E20
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Reflected backward SDEs and American options. (English) Zbl 0898.90033

Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 215-231 (1997).
MSC:  91B24 60H15 91B28 35R60 60G40 35K85
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Imperfect markets and backward stochastic differential equations. (English) Zbl 0898.90032

Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 181-214 (1997).
MSC:  91B24 60H15 91B28
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Backward stochastic differential equations and applications. (English) Zbl 0843.60054

Chatterji, S. D. (ed.), Proceedings of the international congress of mathematicians, ICM ’94, August 3-11, 1994, Zürich, Switzerland. Vol. II. Basel: Birkhäuser. 1502-1510 (1995).
Reviewer: R.Buckdahn (Brest)
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On backward filtering equations for SDE systems (direct approach). (English) Zbl 0827.60027

Etheridge, Alison (ed.), Stochastic partial differential equations. Proceedings of an ICMS workshop held in Edinburgh, UK in March 1994. Cambridge: Cambridge University Press. Lond. Math. Soc. Lect. Note Ser. 216, 304-311 (1995).
MSC:  60G35 93E11 60H15
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Forward and backward equations for an adjoint process. (English) Zbl 0803.60071

Cambanis, Stamatis (ed.) et al., Stochastic processes: a Festschrift in honour of Gopinath Kallianpur. New York: Springer-Verlag. 61-69 (1993).
Reviewer: M.Jerschow (Essen)
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