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Found 93 Documents (Results 1–93)

Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations. (English) Zbl 1268.62100

Viens, Frederi (ed.) et al., Malliavin calculus and stochastic analysis. A Festschrift in honor of David Nualart. New York, NY: Springer (ISBN 978-1-4614-5905-7/hbk; 978-1-4614-5906-4/ebook). Springer Proceedings in Mathematics & Statistics 34, 427-442 (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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Optimal stopping with advanced information flow: selected examples. (English) Zbl 1151.93033

Stettner, Łukasz (ed.), Advances in mathematics of finance. Contributed papers of the 2nd general AMaMeF (advanced mathematical methods of finance) conference and Banach Center conference on advances in mathematics of finance, Bȩdlewo, Poland, April 30–May 5, 2007. Warsaw: Polish Academy of Sciences, Institute of Mathematics. Banach Center Publications 83, 107-116 (2008).
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Stochastic calculus for fractional Brownian motion and applications. (English) Zbl 1157.60002

Probability and its Applications. London: Springer (ISBN 978-1-85233-996-8/hbk; 978-1-84996-994-9/pbk; 978-1-84628-797-8/ebook). xii, 329 p. (2008).
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Optimization of consumption and portfolio and minimization of volatility. (English) Zbl 1061.60052

Yin, George (ed.) et al., Mathematics of finance. Proceedings of an AMS-IMS-SIAM joint summer research conference on mathematics of finance, June 22–26, 2003, Snowbird, Utah, USA. Providence, RI: American Mathematical Society (AMS) (ISBN 0-8218-3412-6/pbk). Contemporary Mathematics 351, 199-206 (2004).
MSC:  60H05 91B28 60G15
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Stochastic fractional potential theory. (English) Zbl 1020.31003

Heinonen, J. (ed.) et al., Papers on analysis: a volume dedicated to Olli Martio on the occasion of his 60th birthday. Jyväskylä: Univ. Jyväskylä, Institut für Mathematik und Statistik. Ber., Univ. Jyväskylä. 83, 169-180 (2001).
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Prediction and translation of fractional Brownian motions. (English) Zbl 0973.60059

Hida, Takeyuki (ed.) et al., Stochastics in finite and infinite dimensions. Conference in honor of Gopinath Kallianpur, Calcutta, India, December 18-23, 2000. Boston: Birkhäuser. 153-171 (2000).
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On nonlinear filtering of non-Gaussian processes through Volterra series. (English) Zbl 0961.62082

Corduneanu, C. (ed.) et al., Volterra equations and applications. Proceedings of the Volterra centennial symposium, University of Texas, Arlington, TX, USA, May 23-25, 1996. London: Gordon and Breach Science Publishers. Stab. Control Theory Methods Appl. 10, 197-202 (2000).
MSC:  62M20 93E11 60G35
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Exponential integrability of diffusion processes. (English) Zbl 0936.60075

Hill, Theodore P. (ed.) et al., Advances in stochastic inequalities. AMS special session on Stochastic inequalities and their applications, Georgia Institute of Technology, Atlanta, GA, USA, October 17-19, 1997. Providence, RI: AMS, American Mathematical Society. Contemp. Math. 234, 75-84 (1999).
MSC:  60J60 60J45 46E30
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Inverse powers of white noise. (English) Zbl 0821.60049

Cranston, Michael C. (ed.) et al., Stochastic analysis. Proceedings of the Summer Research Institute on stochastic analysis, held at Cornell University, Ithaca, NY, USA, July 11-30, 1993. Providence, RI: American Mathematical Society. Proc. Symp. Pure Math. 57, 439-456 (1995).
MSC:  60G20 46F25
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Calculation of Feynman path integral for certain central forces. (English) Zbl 0838.60095

Lindstrøm, Tom (ed.) et al., Stochastic analysis and related topics. Proceedings of the fourth Oslo-Silivri workshop on stochastic analysis held at the University of Oslo, Oslo, Norway, July 6-10, 1992. Yverdon: Gordon and Breach Science Publishers. Stochastics Monogr. 8, 161-171 (1993).
MSC:  60K40 81Q30
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