## Found 586 Documents (Results 1–100)

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### Discounted optimal stopping problems in first-passage time models with random thresholds. (English)Zbl 07589155

MSC:  60G40 60G44 60J65 91B25 60J60 35R35
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### The application of model predictive control on stock portfolio optimization with prediction based on geometric Brownian motion-Kalman filter. (English)Zbl 07574126

MSC:  93C95 91G10
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### Reflected BSDEs in non-convex domains. (English)Zbl 07565240

MSC:  60D05 60G65 60J60
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### Discounted optimal stopping problems in continuous hidden Markov models. (English)Zbl 07554288

MSC:  60G40 91G20 60J22
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### Optimal double stopping problems for maxima and minima of geometric Brownian motions. (English)Zbl 1490.60097

MSC:  60G40 91G20 60J70
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### Variational principles for fluid dynamics on rough paths. (English)Zbl 07537688

Reviewer: Cheng He (Beijing)
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MSC:  62-XX
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MSC:  60D05
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### Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation. (English)Zbl 07527953

MSC:  60J20 65M06
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### Differential optimal investment timing decision model for nonlinear dynamic urban infrastructure planning system. (English)Zbl 1486.91036

MSC:  91B18 60J70
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### Generalization of affine feedback stock trading results to include stop-loss orders. (English)Zbl 1480.91279

MSC:  91G15 60J70 93B52
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MSC:  90Bxx
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### On the analysis of Black-Scholes equation for European call option involving a fractional order with generalized two dimensional differential transform method. (English)Zbl 07530053

MSC:  26A33 34K37
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### Pricing geometric Asian power options in the sub-fractional Brownian motion environment. (English)Zbl 07514608

MSC:  91G20 91G60 65C05
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### Anomalous diffusion in umbrella comb. (English)Zbl 07511369

MSC:  82-XX 35-XX
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### Impact of plant utilization on irreversible investment under uncertainty with application to refinery investment. (English)Zbl 1482.91220

MSC:  91G50 60J70
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### Limit theorems for prices of options written on semi-Markov processes. (English)Zbl 1480.91294

MSC:  91G20 60J70 60G44
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### Research on pricing of forward start options in jump diffusion model with stochastic interest rate. (Chinese. English summary)Zbl 1488.91141

MSC:  91G20 91G30 60J65
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### The reliability of geometric Brownian motion forecasts of S&P500 index values. (English)Zbl 1476.62229

MSC:  62P05 60J70 91G20
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### Derivatives in the mean of random processes and diffusion models in economics. (Russian. English summary)Zbl 1475.60158

MSC:  60J70 91G05 91G80
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### First-to-default and second-to-default options in models with various information flows. (English)Zbl 07384603

MSC:  91G40 60J70
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### A Talenti-type comparison theorem for $$\mathrm{RCD}(K,N)$$ spaces and applications. (English)Zbl 1480.53060

MSC:  53C23 53C21 35R01
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### Computer turbulence as a tunnelling effect. (English. Ukrainian original)Zbl 1491.65079

J. Math. Sci., New York 256, No. 5, 703-712 (2021); translation from Neliniĭni Kolyvannya 23, No. 1, 124-133 (2020).
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### Liouville quantum gravity surfaces with boundary as matings of trees. (English. French summary)Zbl 1472.60017

MSC:  60D05 60J65 60J67
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### The Tutte embedding of the mated-CRT map converges to Liouville quantum gravity. (English)Zbl 1484.60007

MSC:  60D05 60J65 60J67
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### Closed form optimal exercise boundary of the American put option. (English)Zbl 1467.91188

MSC:  91G20 60G40
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### Breaking of continuous scale invariance to discrete scale invariance: a universal quantum phase transition. (English)Zbl 1473.81062

Freiberg, Uta (ed.) et al., Fractal geometry and stochastics VI. Selected papers of the 6th conference, Bad Herrenalb, Germany, September 30 – October 6, 2018. Cham: Birkhäuser. Prog. Probab. 76, 209-238 (2021).
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### Generalized disconnection exponents. (English)Zbl 1478.60226

MSC:  60J67 60J65 60D05
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### Transforming public pensions: a mixed scheme with a credit granted by the state. (English)Zbl 1460.91210

MSC:  91G05 93E20 60J70
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### Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation. (English)Zbl 07511246

MSC:  26A33 34K37
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### Optimal dividend of compound Poisson process under a stochastic interest rate. (English)Zbl 1476.91131

MSC:  91G05 49L25 93E20
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### Volume of metric balls in Liouville quantum gravity. (English)Zbl 1470.60026

MSC:  60D05 60K35
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### Modeling linear nonstationary stochastic systems by spectral method. (Russian. English summary)Zbl 1459.93169

MSC:  93E03 60J70 93C05
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### Asian option pricing under sub-fractional Brownian motion with jump. (Chinese. English summary)Zbl 1463.91176

MSC:  91G20 60G22

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### Revisiting integral functionals of geometric Brownian motion. (English)Zbl 1460.60037

MSC:  60G51 60J65 91G80
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### A mating-of-trees approach for graph distances in random planar maps. (English)Zbl 1464.60011

MSC:  60D05 60G50
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### Credit default swaps in two-dimensional models with various informations flows. (English)Zbl 1444.91217

MSC:  91G40 91G20
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### The Tutte embedding of the Poisson-Voronoi tessellation of the Brownian disk converges to $$\sqrt{8/3}$$-Liouville quantum gravity. (English)Zbl 1441.60015

MSC:  60D05 60K35
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### Extended Black and Scholes model under bankruptcy risk. (English)Zbl 1427.91275

MSC:  91G20 62P05
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MSC:  82-XX
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### Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity. (English)Zbl 1490.62257

MSC:  62M10 62F12 62P20
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### Pricing of fixed-strike arithmetic Asian powered options. (English)Zbl 1472.91046

MSC:  91G20 60H30
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MSC:  65C30
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### The optimal thresholds of pairs trading with a stop-loss condition. (Chinese. English summary)Zbl 1449.91142

MSC:  91G15 60G40

### Tightness and line ensembles for Brownian polymers under geometric area tilts. (English)Zbl 1446.82093

Gayrard, Véronique (ed.) et al., Statistical mechanics of classical and disordered systems. Proceedings of the international conference “Advances in statistical mechanics”, CIRM, Luminy, France, August 28–31, 2018. Cham: Springer. Springer Proc. Math. Stat. 293, 241-266 (2019).
MSC:  82D60 82C24 60J65
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### Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems. (English. Russian original)Zbl 1443.91251

Comput. Math. Math. Phys. 59, No. 11, 1904-1927 (2019); translation from Zh. Vychisl. Mat. Mat. Fiz. 59, No. 11, 1973-1997 (2019).
MSC:  91G05 91G60 65N99
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### Emergent dynamics of the first-order stochastic Cucker-Smale model and application to finance. (English)Zbl 1431.91447

MSC:  91G99 91G80 60J70
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### Solvency need resulting from reserving risk in a ORSA context. (English)Zbl 1452.91278

MSC:  91G05 62P05
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### Brownian cuboid and its geometric characteristics. (English)Zbl 1428.60026

MSC:  60D05 60J65 60G15
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### Convergence of Brownian motions on metric measure spaces under Riemannian curvature-dimension conditions. (English)Zbl 1444.60023

MSC:  60F17 53C23
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### Is hard Brexit detrimental to EU integration? Theory and evidence. (English)Zbl 1425.91285

MSC:  91B60 91B82 60J70
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### Decision making of mine investment based on fuzzy interval-valued GM $$(1, 1)$$ model and geometric Brown motion. (Chinese. English summary)Zbl 1438.90164

MSC:  90B50 03E72 60J65
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### Drawdown and drawup for fractional Brownian motion with trend. (English)Zbl 1478.60121

MSC:  60G22 60G15 60G70
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### Defaultable claims in switching models with partial information. (English)Zbl 1411.91599

MSC:  91G40 91G20 60J70
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### Optimal exchange rates management using stochastic impulse control for geometric Lévy processes. (English)Zbl 1410.91349

MSC:  91B64 93E20 60G51
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### Introduction to stochastic differential equations with applications to modelling in biology and finance. (English)Zbl 1425.60001

Hoboken, NJ: John Wiley & Sons (ISBN 978-1-119-16606-1/hbk; 978-1-119-16609-2/ebook). xv, 283 p. (2019).
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### Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias. (English)Zbl 1411.91593

MSC:  91G40 62P05
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### On moments of integral exponential functionals of additive processes. (English)Zbl 1407.60115

MSC:  60J75 60J60 60E10
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### Sample path properties of an explosive double autoregressive model. (English)Zbl 1490.62258

MSC:  62M10 62F12 62P20
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MSC:  91Bxx
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### Exact solutions for Fokker-Planck equation of geometric Brownian motion with Lie point symmetries. (English)Zbl 1424.58007

MSC:  58D19 58J70 76M60
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### An exactly solvable multiple stochastic optimal stopping problem. (English)Zbl 1446.93078

MSC:  93E20 92D40
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### A new method for option pricing via time-fractional PDE. (English)Zbl 1459.91202

MSC:  91G20 35R11 35R60
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### Coupling in the Heisenberg group and its applications to gradient estimates. (English)Zbl 1441.60013

MSC:  60D05 60H30
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### Generating sample paths and their convergence of the geometric fractional Brownian motion. (English)Zbl 1394.60035

MSC:  60G22 60G17 60H07
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### The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion. (English)Zbl 1395.91467

MSC:  91G20 91G80 60G22
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