Chen, Lifeng; Dong, Zhao; Jiang, Jifa; Zhai, Jianliang On limiting behavior of stationary measures for stochastic evolution systems with small noise intensity. (English) Zbl 07239262 Sci. China, Math. 63, No. 8, 1463-1504 (2020). Reviewer: Ilie Valuşescu (Bucureşti) MSC: 60G10 60H30 60H10 60H15 34K50 37L40 37A25 60G65 60B10 PDF BibTeX XML Cite \textit{L. Chen} et al., Sci. China, Math. 63, No. 8, 1463--1504 (2020; Zbl 07239262) Full Text: DOI
Shamarova, Evelina; Sá Pereira, Rui Forward-backward SDEs with jumps and classical solutions to nonlocal quasilinear parabolic PDEs. (English) Zbl 07203574 Stochastic Processes Appl. 130, No. 7, 3865-3894 (2020). MSC: 60H15 60H10 60G51 45K05 35K45 35K51 PDF BibTeX XML Cite \textit{E. Shamarova} and \textit{R. Sá Pereira}, Stochastic Processes Appl. 130, No. 7, 3865--3894 (2020; Zbl 07203574) Full Text: DOI
Kosenkova, Tetyana; Kulik, Alexei; Pavlyukevich, Ilya First order convergence of weak Wong-Zakai approximations of Levy-driven Marcus SDEs. (English) Zbl 1449.65006 Theory Stoch. Process. 24, No. 2, 32-60 (2019). MSC: 65C30 60H10 60G51 60H35 PDF BibTeX XML Cite \textit{T. Kosenkova} et al., Theory Stoch. Process. 24, No. 2, 32--60 (2019; Zbl 1449.65006) Full Text: Link
Zhang, Xiaoyu; Xu, Yong; Schmalfuß, Björn; Pei, Bin Random attractors for stochastic differential equations driven by two-sided Lévy processes. (English) Zbl 1428.37050 Stochastic Anal. Appl. 37, No. 6, 1028-1041 (2019). MSC: 37G35 37H20 60H10 37H10 60G65 PDF BibTeX XML Cite \textit{X. Zhang} et al., Stochastic Anal. Appl. 37, No. 6, 1028--1041 (2019; Zbl 1428.37050) Full Text: DOI
Muthukumar, P.; Deepa, R. Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes. (English) Zbl 1419.49008 Commun. Math. Stat. 7, No. 2, 163-180 (2019). MSC: 49J15 35B50 60H10 93E20 PDF BibTeX XML Cite \textit{P. Muthukumar} and \textit{R. Deepa}, Commun. Math. Stat. 7, No. 2, 163--180 (2019; Zbl 1419.49008) Full Text: DOI
Zhāng, Xīlíng A multi-dimensional central limit bound and its application to the Euler approximation for Lévy-sdes. (English) Zbl 1411.60092 ESAIM, Probab. Stat. 23, 112-135 (2019). MSC: 60H10 60H35 60J75 PDF BibTeX XML Cite \textit{X. Zhāng}, ESAIM, Probab. Stat. 23, 112--135 (2019; Zbl 1411.60092) Full Text: DOI
Deng, Weihua; Zhang, Zhijiang High accuracy algorithm for the differential equations governing anomalous diffusion. Algorithm and models for anomalous diffusion. (English) Zbl 1450.65001 Hackensack, NJ: World Scientific (ISBN 978-981-314-220-6/hbk; 978-981-314-222-0/ebook). xiii, 280 p. (2019). Reviewer: Constantin Popa (Constanţa) MSC: 65-02 65Mxx 65Nxx 65C30 34A08 35R11 35R60 60Gxx 60H15 26A33 PDF BibTeX XML Cite \textit{W. Deng} and \textit{Z. Zhang}, High accuracy algorithm for the differential equations governing anomalous diffusion. Algorithm and models for anomalous diffusion. Hackensack, NJ: World Scientific (2019; Zbl 1450.65001) Full Text: DOI
Li, Guangjie; Yang, Qigui; Wei, Yongchang Dynamics of stochastic heroin epidemic model with Lévy jumps. (English) Zbl 07303380 J. Appl. Anal. Comput. 8, No. 3, 998-1010 (2018). MSC: 92D30 34B18 60G51 PDF BibTeX XML Cite \textit{G. Li} et al., J. Appl. Anal. Comput. 8, No. 3, 998--1010 (2018; Zbl 07303380) Full Text: DOI
Wang, Xiao; Duan, Jinqiao; Li, Xiaofan; Song, Renming Numerical algorithms for mean exit time and escape probability of stochastic systems with asymmetric Lévy motion. (English) Zbl 1427.60085 Appl. Math. Comput. 337, 618-634 (2018). MSC: 60G51 37H10 60H10 60H35 PDF BibTeX XML Cite \textit{X. Wang} et al., Appl. Math. Comput. 337, 618--634 (2018; Zbl 1427.60085) Full Text: DOI
Clément, Emmanuelle; Gloter, Arnaud; Nguyen, Huong Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process. (English) Zbl 1405.60059 ESAIM, Probab. Stat. 22, 58-95 (2018). MSC: 60G51 60G52 60H07 60H20 60H10 60J75 PDF BibTeX XML Cite \textit{E. Clément} et al., ESAIM, Probab. Stat. 22, 58--95 (2018; Zbl 1405.60059) Full Text: DOI
Huang, Hong; Wang, Xiangrong; Liu, Meijuan A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints. (English) Zbl 1401.93225 J. Syst. Sci. Complex. 31, No. 4, 859-874 (2018). MSC: 93E20 49K45 91G10 93C15 60G51 60H10 PDF BibTeX XML Cite \textit{H. Huang} et al., J. Syst. Sci. Complex. 31, No. 4, 859--874 (2018; Zbl 1401.93225) Full Text: DOI
Mikulevičius, R.; Zhang, Ch. Weak Euler scheme for Lévy-driven stochastic differential equations. (English) Zbl 1414.60045 Theory Probab. Appl. 63, No. 2, 246-266 (2018) and Teor. Veroyatn. Primen. 63, No. 2, 306-329 (2018). MSC: 60H10 60H35 PDF BibTeX XML Cite \textit{R. Mikulevičius} and \textit{Ch. Zhang}, Theory Probab. Appl. 63, No. 2, 246--266 (2018; Zbl 1414.60045) Full Text: DOI
Roberts, Dale; Kalloniatis, Alexander C. Synchronisation under shocks: the Lévy Kuramoto model. (English) Zbl 1381.34054 Physica D 368, 10-21 (2018). MSC: 34C15 34D06 60H10 60G51 PDF BibTeX XML Cite \textit{D. Roberts} and \textit{A. C. Kalloniatis}, Physica D 368, 10--21 (2018; Zbl 1381.34054) Full Text: DOI
Faizullah, Faiz; Bux, M.; Rana, M. A.; ur Rahman, Ghaus Existence and stability of solutions to non-linear neutral stochastic functional differential equations in the framework of G-Brownian motion. (English) Zbl 1444.60070 Adv. Difference Equ. 2017, Paper No. 350, 14 p. (2017). MSC: 60H20 60H10 60H35 62L20 60G65 34K50 PDF BibTeX XML Cite \textit{F. Faizullah} et al., Adv. Difference Equ. 2017, Paper No. 350, 14 p. (2017; Zbl 1444.60070) Full Text: DOI
Pamen, Olivier Menoukeu Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. (English) Zbl 1376.93117 J. Optim. Theory Appl. 175, No. 2, 373-410 (2017). MSC: 93E20 49K45 91G80 91G10 60G51 60H10 91B30 PDF BibTeX XML Cite \textit{O. M. Pamen}, J. Optim. Theory Appl. 175, No. 2, 373--410 (2017; Zbl 1376.93117) Full Text: DOI arXiv
Menoukeu-Pamen, Olivier; Momeya, Romuald Hervé A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications. (English) Zbl 1377.93178 Math. Methods Oper. Res. 85, No. 3, 349-388 (2017). MSC: 93E20 49K45 91G80 91G10 60G51 60H10 60J75 91B30 PDF BibTeX XML Cite \textit{O. Menoukeu-Pamen} and \textit{R. H. Momeya}, Math. Methods Oper. Res. 85, No. 3, 349--388 (2017; Zbl 1377.93178) Full Text: DOI
Itkin, Andrey LSV models with stochastic interest rates and correlated jumps. (English) Zbl 1367.91193 Int. J. Comput. Math. 94, No. 7, 1291-1317 (2017). MSC: 91G60 91G30 65L12 35R09 91G20 PDF BibTeX XML Cite \textit{A. Itkin}, Int. J. Comput. Math. 94, No. 7, 1291--1317 (2017; Zbl 1367.91193) Full Text: DOI
Menoukeu Pamen, Olivier; Taguchi, Dai Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient. (English) Zbl 1367.60090 Stochastic Processes Appl. 127, No. 8, 2542-2559 (2017). MSC: 60H35 60H10 65C30 60G51 60G52 41A25 PDF BibTeX XML Cite \textit{O. Menoukeu Pamen} and \textit{D. Taguchi}, Stochastic Processes Appl. 127, No. 8, 2542--2559 (2017; Zbl 1367.60090) Full Text: DOI arXiv
Muthukumar, P.; Deepa, R. Infinite horizon optimal control of forward-backward stochastic system driven by Teugels martingales with Lévy processes. (English) Zbl 1360.49002 Stoch. Dyn. 17, No. 3, Article ID 1750020, 17 p. (2017). MSC: 49J15 60J65 93E20 PDF BibTeX XML Cite \textit{P. Muthukumar} and \textit{R. Deepa}, Stoch. Dyn. 17, No. 3, Article ID 1750020, 17 p. (2017; Zbl 1360.49002) Full Text: DOI
Belomestny, Denis; Nagapetyan, Tigran Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs. (English) Zbl 1416.60069 Bernoulli 23, No. 2, 927-950 (2017). MSC: 60H35 60G51 60H10 PDF BibTeX XML Cite \textit{D. Belomestny} and \textit{T. Nagapetyan}, Bernoulli 23, No. 2, 927--950 (2017; Zbl 1416.60069) Full Text: DOI Euclid
Gapeev, Pavel V.; Stoev, Yavor I. On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models. (English) Zbl 1354.60089 Stat. Probab. Lett. 121, 152-162 (2017). MSC: 60J75 60J60 60H10 60J65 60G55 60G40 60G51 60E10 34B05 PDF BibTeX XML Cite \textit{P. V. Gapeev} and \textit{Y. I. Stoev}, Stat. Probab. Lett. 121, 152--162 (2017; Zbl 1354.60089) Full Text: DOI
Pagès, Gilles Convex order for path-dependent derivatives: a dynamic programming approach. (English) Zbl 1367.60044 Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités XLVIII. Cham: Springer (ISBN 978-3-319-44464-2/pbk; 978-3-319-44465-9/ebook). Lecture Notes in Mathematics 2168. Séminaire de Probabilités, 33-96 (2016). MSC: 60G44 60J60 60H10 60J65 60G51 90C39 65C30 65D15 91G20 91G60 PDF BibTeX XML Cite \textit{G. Pagès}, Lect. Notes Math. 2168, 33--96 (2016; Zbl 1367.60044) Full Text: DOI
Dareiotis, Konstantinos; Leahy, James-Michael Finite difference schemes for linear stochastic integro-differential equations. (English) Zbl 1375.60111 Stochastic Processes Appl. 126, No. 10, 3202-3234 (2016). MSC: 60H20 60H10 60H35 60G51 65M06 60J75 PDF BibTeX XML Cite \textit{K. Dareiotis} and \textit{J.-M. Leahy}, Stochastic Processes Appl. 126, No. 10, 3202--3234 (2016; Zbl 1375.60111) Full Text: DOI arXiv
Li, Lingfei; Zhang, Gongqiu Option pricing in some non-Lévy jump models. (English) Zbl 1345.60096 SIAM J. Sci. Comput. 38, No. 4, B539-B569 (2016). MSC: 60J75 60J60 60H30 60H10 60G51 60H35 91G20 91G80 91G60 65C30 PDF BibTeX XML Cite \textit{L. Li} and \textit{G. Zhang}, SIAM J. Sci. Comput. 38, No. 4, B539--B569 (2016; Zbl 1345.60096) Full Text: DOI
Geiss, Christel; Steinicke, Alexander Malliavin derivative of random functions and applications to Lévy driven BSDEs. (English) Zbl 1338.60141 Electron. J. Probab. 21, Paper No. 10, 28 p. (2016). MSC: 60H07 60G51 60H10 PDF BibTeX XML Cite \textit{C. Geiss} and \textit{A. Steinicke}, Electron. J. Probab. 21, Paper No. 10, 28 p. (2016; Zbl 1338.60141) Full Text: DOI Euclid arXiv
Ferreiro-Castilla, A.; Kyprianou, A. E.; Scheichl, R. An Euler-Poisson scheme for Lévy driven stochastic differential equations. (English) Zbl 1337.60161 J. Appl. Probab. 53, No. 1, 262-278 (2016). MSC: 60H35 60H10 60G51 65C30 65C05 PDF BibTeX XML Cite \textit{A. Ferreiro-Castilla} et al., J. Appl. Probab. 53, No. 1, 262--278 (2016; Zbl 1337.60161) Full Text: DOI Euclid
Marciniak, Ewa; Palmowski, Zbigniew On the optimal dividend problem for insurance risk models with surplus-dependent premiums. (English) Zbl 1344.49029 J. Optim. Theory Appl. 168, No. 2, 723-742 (2016). MSC: 49J55 49K45 93E20 60H30 60H10 60G51 49L99 60G50 91B30 PDF BibTeX XML Cite \textit{E. Marciniak} and \textit{Z. Palmowski}, J. Optim. Theory Appl. 168, No. 2, 723--742 (2016; Zbl 1344.49029) Full Text: DOI arXiv
Madan, Dilip; Pistorius, Martijn; Stadje, Mitja Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver. (English) Zbl 1335.60132 Stochastic Processes Appl. 126, No. 5, 1553-1584 (2016). MSC: 60H35 60H10 60F05 60G50 60G57 60G55 60G51 39A50 65C30 PDF BibTeX XML Cite \textit{D. Madan} et al., Stochastic Processes Appl. 126, No. 5, 1553--1584 (2016; Zbl 1335.60132) Full Text: DOI
Dereich, Steffen; Li, Sangmeng Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes. (English) Zbl 1338.65004 Ann. Appl. Probab. 26, No. 1, 136-185 (2016). Reviewer: Peter Parczewski (Mannheim) MSC: 65C05 65C30 60G51 60F05 60H10 65L12 34F05 PDF BibTeX XML Cite \textit{S. Dereich} and \textit{S. Li}, Ann. Appl. Probab. 26, No. 1, 136--185 (2016; Zbl 1338.65004) Full Text: DOI Euclid arXiv
Priola, E.; Tracà, S. On the Cauchy problem for non-local Ornstein-Uhlenbeck operators. (English) Zbl 1337.60196 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 131, 182-205 (2016). Reviewer: André Schlichting (Bonn) MSC: 60J60 60J75 60G51 47D07 60H10 60H30 35Q84 35K15 PDF BibTeX XML Cite \textit{E. Priola} and \textit{S. Tracà}, Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 131, 182--205 (2016; Zbl 1337.60196) Full Text: DOI
Nyström, Kaj; Önskog, Thomas Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains. (English) Zbl 1337.60129 Stochastics 87, No. 5, 747-765 (2015). MSC: 60H10 60G51 60J50 60J60 PDF BibTeX XML Cite \textit{K. Nyström} and \textit{T. Önskog}, Stochastics 87, No. 5, 747--765 (2015; Zbl 1337.60129) Full Text: DOI
Hafayed, Mokhtar; Abbas, Syed; Abba, Abdelmadjid On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes. (English) Zbl 1341.49030 J. Optim. Theory Appl. 167, No. 3, 1051-1069 (2015). MSC: 49K45 60H10 93E20 60G51 60J65 49N10 49N35 93B52 PDF BibTeX XML Cite \textit{M. Hafayed} et al., J. Optim. Theory Appl. 167, No. 3, 1051--1069 (2015; Zbl 1341.49030) Full Text: DOI
Kohatsu-Higa, Arturo A short course on weak approximations for Lévy driven SDE’s. (English) Zbl 1333.60004 Dalang, Robert C. (ed.) et al., Stochastic analysis: a series of lectures. Centre Interfacultaire Bernoulli, January–June 2012, École Polytechnique Fédérale Lausanne, Switzerland. Basel: Birkhäuser/Springer (ISBN 978-3-0348-0908-5/hbk; 978-3-0348-0909-2/ebook). Progress in Probability 68, 247-270 (2015). MSC: 60-01 60F05 60F17 60H10 60G51 60H35 65C30 65C05 PDF BibTeX XML Cite \textit{A. Kohatsu-Higa}, Prog. Probab. 68, 247--270 (2015; Zbl 1333.60004) Full Text: DOI
Thompson, W. F.; Kuske, R. A.; Monahan, A. H. Stochastic averaging of dynamical systems with multiple time scales forced with \(\alpha\)-stable noise. (English) Zbl 1333.34099 Multiscale Model. Simul. 13, No. 4, 1194-1223 (2015). MSC: 34F05 34E13 65C30 60G51 60G52 60H10 34C29 PDF BibTeX XML Cite \textit{W. F. Thompson} et al., Multiscale Model. Simul. 13, No. 4, 1194--1223 (2015; Zbl 1333.34099) Full Text: DOI
Øksendal, Bernt; Sulem, Agnès Risk minimization in financial markets modeled by Itô-Lévy processes. (English) Zbl 1334.60122 Afr. Mat. 26, No. 5-6, 939-979 (2015). MSC: 60H30 60H10 60H20 60G51 60J75 93E20 49K45 49N90 49N70 91G80 91B30 91G10 91B70 91A15 91A23 PDF BibTeX XML Cite \textit{B. Øksendal} and \textit{A. Sulem}, Afr. Mat. 26, No. 5--6, 939--979 (2015; Zbl 1334.60122) Full Text: DOI arXiv
Huang, Zaitang; Cao, Junfei; Jiang, Ting Dynamics of stochastic Lorenz-Stenflo system. (English) Zbl 1345.34073 Nonlinear Dyn. 78, No. 3, 1739-1754 (2014). MSC: 34C28 60G51 34F05 37D45 37M05 34C11 34C23 PDF BibTeX XML Cite \textit{Z. Huang} et al., Nonlinear Dyn. 78, No. 3, 1739--1754 (2014; Zbl 1345.34073) Full Text: DOI
Agram, Nacira; Øksendal, Bernt Infinite horizon optimal control of forward-backward stochastic differential equations with delay. (English) Zbl 1320.60121 J. Comput. Appl. Math. 259 B, 336-349 (2014). MSC: 60H10 93E20 60H20 49K45 34K50 60J75 65C30 PDF BibTeX XML Cite \textit{N. Agram} and \textit{B. Øksendal}, J. Comput. Appl. Math. 259, Part B, 336--349 (2014; Zbl 1320.60121) Full Text: DOI arXiv
Zhang, Fu; Tang, Maoning; Meng, Qingxin Stochastic maximum principle for forward-backward stochastic systems associated with Lévy processes. (Chinese. English summary) Zbl 1313.60116 Chin. Ann. Math., Ser. A 35, No. 1, 83-100 (2014). MSC: 60H10 93E24 93E20 PDF BibTeX XML Cite \textit{F. Zhang} et al., Chin. Ann. Math., Ser. A 35, No. 1, 83--100 (2014; Zbl 1313.60116)
Umarov, Sabir; Daum, Frederick; Nelson, Kenric Fractional generalizations of filtering problems and their associated fractional Zakai equations. (English) Zbl 1306.60081 Fract. Calc. Appl. Anal. 17, No. 3, 745-764 (2014). MSC: 60H10 60G51 60H05 35S10 26A33 PDF BibTeX XML Cite \textit{S. Umarov} et al., Fract. Calc. Appl. Anal. 17, No. 3, 745--764 (2014; Zbl 1306.60081) Full Text: DOI arXiv
Faraud, Gabriel; Goutte, Stéphane Bessel bridges decomposition with varying dimension: applications to finance. (English) Zbl 1307.60077 J. Theor. Probab. 27, No. 4, 1375-1403 (2014). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 60H10 60G07 60H35 91B70 91G40 91G80 PDF BibTeX XML Cite \textit{G. Faraud} and \textit{S. Goutte}, J. Theor. Probab. 27, No. 4, 1375--1403 (2014; Zbl 1307.60077) Full Text: DOI arXiv
Li, Na; Wu, Zhen Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes. (English) Zbl 1313.93208 Appl. Math., Ser. B (Engl. Ed.) 29, No. 1, 67-85 (2014). MSC: 93E20 60H10 34K50 49K45 PDF BibTeX XML Cite \textit{N. Li} and \textit{Z. Wu}, Appl. Math., Ser. B (Engl. Ed.) 29, No. 1, 67--85 (2014; Zbl 1313.93208) Full Text: DOI
Gao, T.; Duan, J.; Li, X.; Song, R. Mean exit time and escape probability for dynamical systems driven by Lévy noises. (English) Zbl 1318.60065 SIAM J. Sci. Comput. 36, No. 3, A887-A906 (2014). Reviewer: Leslaw Socha (Warsaw) MSC: 60H10 60H35 60G51 60G52 65C50 45J05 PDF BibTeX XML Cite \textit{T. Gao} et al., SIAM J. Sci. Comput. 36, No. 3, A887--A906 (2014; Zbl 1318.60065) Full Text: DOI
Giles, Michael B.; Szpruch, Lukasz Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation. (English) Zbl 1373.65007 Ann. Appl. Probab. 24, No. 4, 1585-1620 (2014). MSC: 65C30 60H10 60H35 34F05 60G51 60J65 91G60 PDF BibTeX XML Cite \textit{M. B. Giles} and \textit{L. Szpruch}, Ann. Appl. Probab. 24, No. 4, 1585--1620 (2014; Zbl 1373.65007) Full Text: DOI Euclid arXiv
Qiao, Huijie; Duan, Jinqiao Topological equivalence for discontinuous random dynamical systems and applications. (English) Zbl 1296.60157 Stoch. Dyn. 14, No. 1, Article ID 1350007, 28 p. (2014). Reviewer: Nikolaos Halidias (Athens) MSC: 60H10 60G51 37G05 37B25 PDF BibTeX XML Cite \textit{H. Qiao} and \textit{J. Duan}, Stoch. Dyn. 14, No. 1, Article ID 1350007, 28 p. (2014; Zbl 1296.60157) Full Text: DOI arXiv
Mao, Wei; Mao, Xuerong Approximate solutions of hybrid stochastic pantograph equations with Levy jumps. (English) Zbl 1421.93137 Abstr. Appl. Anal. 2013, Article ID 718627, 15 p. (2013). MSC: 93E03 93C15 60H10 60H35 60G51 PDF BibTeX XML Cite \textit{W. Mao} and \textit{X. Mao}, Abstr. Appl. Anal. 2013, Article ID 718627, 15 p. (2013; Zbl 1421.93137) Full Text: DOI
Aboulaich, R.; Baghery, F.; Jraifi, A. Option pricing for a stochastic volatility jump-diffusion model. (English) Zbl 1339.60092 Int. J. Math. Stat. 13, No. 1, 1-19 (2013). MSC: 60H35 60H10 60J60 60J75 60H30 60G51 65C30 65C05 65N30 91G80 91G60 35A15 PDF BibTeX XML Cite \textit{R. Aboulaich} et al., Int. J. Math. Stat. 13, No. 1, 1--19 (2013; Zbl 1339.60092) Full Text: Link
Giebel, Stefan Markus; Rainer, Martin; Aydin, Nadi Serhan Simulation and prediction of wind speeds: a neural network for Weibull. (English) Zbl 1346.60103 J. Iran. Stat. Soc. JIRSS 12, No. 2, 293-319 (2013). MSC: 60H30 60G25 62M20 60H10 60J60 60J75 60G51 60G48 68T01 92B20 93E35 65C60 PDF BibTeX XML Cite \textit{S. M. Giebel} et al., J. Iran. Stat. Soc. JIRSS 12, No. 2, 293--319 (2013; Zbl 1346.60103)
Hu, Shipei Infinite horizontal optimal quadratic control for affine equations driven by Lévy processes. (Chinese. English summary) Zbl 1299.93292 Chin. Ann. Math., Ser. A 34, No. 2, 179-204 (2013). MSC: 93E20 49K45 49N10 60H10 PDF BibTeX XML Cite \textit{S. Hu}, Chin. Ann. Math., Ser. A 34, No. 2, 179--204 (2013; Zbl 1299.93292)
Agram, N.; Haadem, S.; Øksendal, B.; Proske, F. A maximum principle for infinite horizon delay equations. (English) Zbl 1273.93175 SIAM J. Math. Anal. 45, No. 4, 2499-2522 (2013). MSC: 93E20 60J75 34K50 60H10 60H20 49K45 PDF BibTeX XML Cite \textit{N. Agram} et al., SIAM J. Math. Anal. 45, No. 4, 2499--2522 (2013; Zbl 1273.93175) Full Text: DOI arXiv
Qiao, Huijie; Kan, Xingye; Duan, Jinqiao Escape probability for stochastic dynamical systems with jumps. (English) Zbl 1271.60070 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, 195-216 (2013). MSC: 60H10 60J75 35S15 31C05 PDF BibTeX XML Cite \textit{H. Qiao} et al., in: Malliavin calculus and stochastic analysis. A Festschrift in honor of David Nualart. New York, NY: Springer. 195--216 (2013; Zbl 1271.60070) Full Text: DOI arXiv
Tankov, Peter High order weak approximation schemes for Lévy-driven SDEs. (English) Zbl 1271.65020 Plaskota, Leszek (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2010. Selected papers based on the presentations at the 9th international conference on Monte Carlo and quasi Monte Carlo in scientific computing (MCQMC 2010), Warsaw, Poland, August 15–20, 2010. Berlin: Springer (ISBN 978-3-642-27439-8/hbk; 978-3-642-27440-4/ebook). Springer Proceedings in Mathematics & Statistics 23, 667-683 (2012). MSC: 65C30 60H10 34F05 60H35 PDF BibTeX XML Cite \textit{P. Tankov}, in: Monte Carlo and quasi-Monte Carlo methods 2010. Selected papers based on the presentations at the 9th international conference on Monte Carlo and quasi Monte Carlo in scientific computing (MCQMC 2010), Warsaw, Poland, August 15--20, 2010. Berlin: Springer. 667--683 (2012; Zbl 1271.65020) Full Text: DOI arXiv
Qiao, Huijie Homeomorphism flows for non-Lipschitz SDEs driven by Lévy processes. (English) Zbl 1274.60187 Acta Math. Sci., Ser. B, Engl. Ed. 32, No. 3, 1115-1125 (2012). MSC: 60H10 60G51 34A12 PDF BibTeX XML Cite \textit{H. Qiao}, Acta Math. Sci., Ser. B, Engl. Ed. 32, No. 3, 1115--1125 (2012; Zbl 1274.60187) Full Text: DOI
Bahlali, Khaled; Khelfallah, Nabil; Mezerdi, Brahim Optimality conditions for partial information stochastic control problems driven by Lévy processes. (English) Zbl 1252.49037 Syst. Control Lett. 61, No. 11, 1079-1084 (2012). MSC: 49K45 93E20 60H10 PDF BibTeX XML Cite \textit{K. Bahlali} et al., Syst. Control Lett. 61, No. 11, 1079--1084 (2012; Zbl 1252.49037) Full Text: DOI
Mikulevicius, R. On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs. (English) Zbl 1247.60102 Stochastic Processes Appl. 122, No. 7, 2730-2757 (2012). Reviewer: Alexander Schnurr (Dortmund) MSC: 60H35 60H10 60J75 60J60 60H30 45K05 35S10 PDF BibTeX XML Cite \textit{R. Mikulevicius}, Stochastic Processes Appl. 122, No. 7, 2730--2757 (2012; Zbl 1247.60102) Full Text: DOI arXiv
Hahn, Marjorie; Kobayashi, Kei; Umarov, Sabir SDEs driven by a time-changed Lévy process and their associated time-fractional order pseudo-differential equations. (English) Zbl 1255.60064 J. Theor. Probab. 25, No. 1, 262-279 (2012). Reviewer: Rudolf Gorenflo (Berlin) MSC: 60G22 60H10 35S10 60G51 35R11 26A33 PDF BibTeX XML Cite \textit{M. Hahn} et al., J. Theor. Probab. 25, No. 1, 262--279 (2012; Zbl 1255.60064) Full Text: DOI arXiv
Fournier, Nicolas Simulation and approximation of Lévy-driven stochastic differential equations. (English) Zbl 1273.60080 ESAIM, Probab. Stat. 15, 233-248 (2011). Reviewer: Martin Riedler (Wien) MSC: 60H35 60H10 60J75 65C30 PDF BibTeX XML Cite \textit{N. Fournier}, ESAIM, Probab. Stat. 15, 233--248 (2011; Zbl 1273.60080) Full Text: DOI
Kashima, Kenji; Kawai, Reiichiro A weak approximation of stochastic differential equations with jumps through tempered polynomial optimization. (English) Zbl 1305.60044 Stoch. Models 27, No. 1, 26-49 (2011). Reviewer: Henri Schurz (Carbondale) MSC: 60H10 60H35 60G51 65C30 90C22 PDF BibTeX XML Cite \textit{K. Kashima} and \textit{R. Kawai}, Stoch. Models 27, No. 1, 26--49 (2011; Zbl 1305.60044) Full Text: DOI
Taillefumier, Thibaud; Touboul, Jonathan Multiresolution Hilbert approach to multidimensional Gauss-Markov processes. (English) Zbl 1259.60092 Int. J. Stoch. Anal. 2011, Article ID 247329, 89 p. (2011). MSC: 60J60 60H05 60H10 60H35 PDF BibTeX XML Cite \textit{T. Taillefumier} and \textit{J. Touboul}, Int. J. Stoch. Anal. 2011, Article ID 247329, 89 p. (2011; Zbl 1259.60092) Full Text: DOI arXiv
Mikulevičius, Remigijus; Zhang, Changyong On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes. (English) Zbl 1221.60101 Stochastic Processes Appl. 121, No. 8, 1720-1748 (2011). MSC: 60H35 60H10 PDF BibTeX XML Cite \textit{R. Mikulevičius} and \textit{C. Zhang}, Stochastic Processes Appl. 121, No. 8, 1720--1748 (2011; Zbl 1221.60101) Full Text: DOI arXiv
Dereich, Steffen; Heidenreich, Felix A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations. (English) Zbl 1234.60067 Stochastic Processes Appl. 121, No. 7, 1565-1587 (2011). Reviewer: Jan Kallsen (Kiel) MSC: 60H35 60G51 60H10 60J75 PDF BibTeX XML Cite \textit{S. Dereich} and \textit{F. Heidenreich}, Stochastic Processes Appl. 121, No. 7, 1565--1587 (2011; Zbl 1234.60067) Full Text: DOI
Kashima, Kenji; Kawai, Reiichiro An optimization approach to weak approximation of stochastic differential equations with jumps. (English) Zbl 1210.65012 Appl. Numer. Math. 61, No. 5, 641-650 (2011). MSC: 65C30 60H10 60H35 PDF BibTeX XML Cite \textit{K. Kashima} and \textit{R. Kawai}, Appl. Numer. Math. 61, No. 5, 641--650 (2011; Zbl 1210.65012) Full Text: DOI
Dereich, Steffen Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction. (English) Zbl 1220.60040 Ann. Appl. Probab. 21, No. 1, 283-311 (2011). Reviewer: Leslaw Socha (Warsaw) MSC: 60H35 60H05 60H10 60J75 PDF BibTeX XML Cite \textit{S. Dereich}, Ann. Appl. Probab. 21, No. 1, 283--311 (2011; Zbl 1220.60040) Full Text: DOI arXiv
Ren, Yong; El Otmani, Mohamed Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition. (English) Zbl 1217.60047 J. Comput. Appl. Math. 233, No. 8, 2027-2043 (2010). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60G51 35K60 PDF BibTeX XML Cite \textit{Y. Ren} and \textit{M. El Otmani}, J. Comput. Appl. Math. 233, No. 8, 2027--2043 (2010; Zbl 1217.60047) Full Text: DOI
Stelzer, Robert First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes. (English) Zbl 1165.60326 Stochastic Processes Appl. 119, No. 6, 1932-1951 (2009). MSC: 60G51 60H10 60H35 91B28 PDF BibTeX XML Cite \textit{R. Stelzer}, Stochastic Processes Appl. 119, No. 6, 1932--1951 (2009; Zbl 1165.60326) Full Text: DOI
Applebaum, David Lévy processes and stochastic calculus. 2nd ed. (English) Zbl 1200.60001 Cambridge Studies in Advanced Mathematics 116. Cambridge: Cambridge University Press (ISBN 978-0-521-73865-1/pbk). xxx, 460 p. (2009). Reviewer: Michael Högele (Berlin) MSC: 60-02 60H10 60H05 60G44 60G55 60G57 60G52 PDF BibTeX XML Cite \textit{D. Applebaum}, Lévy processes and stochastic calculus. 2nd ed. Cambridge: Cambridge University Press (2009; Zbl 1200.60001) Full Text: DOI
Panloup, Fabien Computation of the invariant measure for a Lévy driven SDE: Rate of convergence. (English) Zbl 1143.60044 Stochastic Processes Appl. 118, No. 8, 1351-1384 (2008). MSC: 60H35 60H10 60J75 60F05 PDF BibTeX XML Cite \textit{F. Panloup}, Stochastic Processes Appl. 118, No. 8, 1351--1384 (2008; Zbl 1143.60044) Full Text: DOI
Panloup, Fabien Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process. (English) Zbl 1136.60049 Ann. Appl. Probab. 18, No. 2, 379-426 (2008). MSC: 60H35 60H10 60J75 60F05 PDF BibTeX XML Cite \textit{F. Panloup}, Ann. Appl. Probab. 18, No. 2, 379--426 (2008; Zbl 1136.60049) Full Text: DOI
Baghery, Fouzia; Øksendal, Bernt A maximum principle for stochastic control with partial information. (English) Zbl 1140.93046 Stochastic Anal. Appl. 25, No. 3, 705-717 (2007). MSC: 93E20 60H10 60G51 91G80 60J75 49J55 49K45 PDF BibTeX XML Cite \textit{F. Baghery} and \textit{B. Øksendal}, Stochastic Anal. Appl. 25, No. 3, 705--717 (2007; Zbl 1140.93046) Full Text: DOI
Palczewski, Jan; Zabczyk, Jerzy Portfolio diversification with Markovian prices. (English) Zbl 1152.93057 Probab. Math. Stat. 25, No. 1, 75-95 (2005). MSC: 93E20 49K45 60H10 60H30 91G80 PDF BibTeX XML Cite \textit{J. Palczewski} and \textit{J. Zabczyk}, Probab. Math. Stat. 25, No. 1, 75--95 (2005; Zbl 1152.93057)
Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip The approximate Euler method for Lévy driven stochastic differential equations. (English) Zbl 1071.60046 Ann. Inst. Henri Poincaré, Probab. Stat. 41, No. 3, 523-558 (2005). Reviewer: Henri Schurz (Carbondale) MSC: 60H10 65C30 34F05 37H10 60J99 65C05 65C20 65C99 65L20 PDF BibTeX XML Cite \textit{J. Jacod} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 41, No. 3, 523--558 (2005; Zbl 1071.60046) Full Text: DOI Numdam EuDML
Jourdain, Benjamin; Méléard, Sylvie; Woyczynski, Wojbor A. A probabilistic approach for nonlinear equations involving the fractional Laplacian and a singular operator. (English) Zbl 1069.60056 Potential Anal. 23, No. 1, 55-81 (2005). Reviewer: Jacques Franchi (Strasbourg) MSC: 60H30 60H10 26A33 60K35 35S10 PDF BibTeX XML Cite \textit{B. Jourdain} et al., Potential Anal. 23, No. 1, 55--81 (2005; Zbl 1069.60056) Full Text: DOI
Kunita, Hiroshi Stochastic differential equations based on Lévy processes and stochastic flows of diffeomorphisms. (English) Zbl 1082.60052 Rao, M. M. (ed.), Real and stochastic analysis. New perspectives. Boston, MA: Birkhäuser (ISBN 0-8176-4332-X/hbk). Trends in Mathematics, 305-373 (2004). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60G51 60G52 PDF BibTeX XML Cite \textit{H. Kunita}, in: Real and stochastic analysis. New perspectives. Boston, MA: Birkhäuser. 305--373 (2004; Zbl 1082.60052)
Grigoriu, Mircea; Samorodnitsky, Gennady Dynamic systems driven by Poisson/Lévy white noise. (English) Zbl 1061.60057 Sri Namachchivaya, N. (ed.) et al., IUTAM symposium on nonlinear stochastic dynamics. Proceedings of the IUTAM symposium, Monticello, IL, USA, Augsut 26–30, 2002. Dordrecht: Kluwer Academic Publishers (ISBN 1-4020-1471-6/hbk). Solid Mech. Appl. 110, 319-330 (2003). Reviewer: Alexandr B. Vasil’ev (Odessa) MSC: 60H10 60H40 34F05 PDF BibTeX XML Cite \textit{M. Grigoriu} and \textit{G. Samorodnitsky}, Solid Mech. Appl. 110, 319--330 (2003; Zbl 1061.60057) Full Text: DOI
Duquesne, Thomas; Le Gall, Jean-François Random trees, Lévy processes and spatial branching processes. (English) Zbl 1037.60074 Astérisque 281. Paris: Société Mathématique de France (ISBN 2-85629-128-7/pbk). vi, 147 p. (2002). Reviewer: Anja Sturm (Vancouver) MSC: 60J80 34C10 34A30 60G51 60J25 60G57 60F17 60G52 PDF BibTeX XML Cite \textit{T. Duquesne} and \textit{J.-F. Le Gall}, Random trees, Lévy processes and spatial branching processes. Paris: Société Mathématique de France (2002; Zbl 1037.60074)
Kuske, R. Gradient-particle solutions of Fokker-Planck equations for noisy delay bifurcations. (English) Zbl 0965.65006 SIAM J. Sci. Comput. 22, No. 1, 351-367 (2000). Reviewer: Eckhard Platen (Broadway) MSC: 65C30 37M20 65C35 60H10 65P30 60G51 82C31 PDF BibTeX XML Cite \textit{R. Kuske}, SIAM J. Sci. Comput. 22, No. 1, 351--367 (2000; Zbl 0965.65006) Full Text: DOI
Hausenblas, Erika Monte Carlo simulation of reflected stochastic differential equations driven by Poisson random measures. (English) Zbl 0959.65009 Monte Carlo Methods Appl. 6, No. 1, 1-14 (2000). Reviewer: Henri Schurz (Minneapolis) MSC: 65C30 65C05 60H10 60J75 PDF BibTeX XML Cite \textit{E. Hausenblas}, Monte Carlo Methods Appl. 6, No. 1, 1--14 (2000; Zbl 0959.65009) Full Text: DOI
Mikulevičius, R.; Pragarauskas, H. On the martingale problem associated with nondegenerate Lévy operators. (English. Russian original) Zbl 0797.60039 Lith. Math. J. 32, No. 3, 297-311 (1992); translation from Liet. Mat. Rink. 32, No. 3, 377-396 (1992). MSC: 60G44 60H10 60J60 PDF BibTeX XML Cite \textit{R. Mikulevičius} and \textit{H. Pragarauskas}, Lith. Math. J. 32, No. 3, 297--311 (1992; Zbl 0797.60039); translation from Liet. Mat. Rink. 32, No. 3, 377--396 (1992) Full Text: DOI
Truman, Aubrey; Williams, David Excursions and Itô calculus in Nelson’s stochastic mechanics. (English) Zbl 0726.60103 Recent developments in quantum mechanics, Proc. Conf., Braşov/Rom. 1989, Math. Phys. Stud. 12, 49-83 (1991). MSC: 60K35 60J55 82B31 60H10 PDF BibTeX XML
Baldi, P.; Chaleyat-Maurel, M. An extension of Ventsel-Freidlin estimates. (English) Zbl 0642.60037 Stochastic analysis and related topics, Proc. Workshop, Silivri/Turk., Lect. Notes Math. 1316, 305-327 (1988). Reviewer: M.Chaleyat-Maurel MSC: 60H10 60J60 60F10 PDF BibTeX XML