backward stochastic differential equation with jumps
Numerical approximation of Backward Stochastic Differential Equations with Jumps
... BSDE with jumps We propose to approximate the solution of the BSDEJ in ...ward stochastic differential equation with jumps in a discrete stochastic basis ...
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Backward stochastic differential equations and stochastic control and applications to mathematical finance
... by stochastic control problem where control can affect both drift and diffusion terms of the state process, generated important recent ...the equation P α ...BSDE with nonposi- tive ...the ...
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Forward and Backward Stochastic Differential Equations with normal constraint in law
... concerned with reflected (forward or backward) Stochastic Differential Equations (SDE) in the case where the constraint is on the law of the solution rather than on its ...their ...
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Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations
... term with jumps generated by a Poisson measure, where an underlying forward process X solves a jump diffusion equation with Lipschitz type ...associated with it an Integro-Partial ...
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MODEL UNCERTAINTY IN FINANCE AND SECOND ORDER BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
... selection with utility maximization by stochastic optimal control in the seminal paper [ 81 ...BSDEs with quadratic growth generators. In [ 54 ], with a similar approach, Hu, Imkeller and ...
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Stochastic partial differential equations with singular terminal condition
... Keywords: backward doubly stochastic differential equations, stochastic partial differential equations, monotone condition, singular terminal ...Introduction Backward Doubly ...
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Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approach
... specific stochastic model, analytical or numerical methods are not applicable, which limits the resolution of some problems (like stochastic control ...
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A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
... The non-affine class of processes we study include specifications where the random intensity jump component depends on the size of the previous jump which represent an alternative to aff[r] ...
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Stochastic Heat Equation with Multiplicative Fractional-Colored Noise
... of stochastic partial differential equations ...the stochastic wave equation (in spatial dimension d = 2), in the space of real-valued stochastic ...’s with a white-colored noise ...
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Conditional Monte Carlo Learning for Diffusions I: main methodology and application to backward stochastic differential equations
... 5 Some numerical results In this section we test the presented conditional MC learning procedure on various BSDE examples. The fact that the driver f depends also on X is not a burden to the use of our method. All ...
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Backward Stochatic Differential Equations II
... 4 Existence In this section we are given an ω-valued random variable U and we want to construct a pair of processes (X, Z), satisfying equation (M + D), with X in ω and terminal value U. We limit ourselves ...
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Strong existence and uniqueness for stochastic differential equation with Hölder drift and degenerate noise
... EQUATION WITH H ¨ OLDER DRIFT AND DEGENERATE NOISE ...for stochastic degenerate systems with a H¨ older drift, for a H¨ older exponent larger than the critical value ...
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A cubature based algorithm to solve decoupled McKean-Vlasov Forward Backward Stochastic Differential Equations
... differentiable with bounded ...systems with large number of ...factor stochastic volatility models [ Ber09 ] or uncertain volatility models [ GHL11 ]; in economics, in the theory of “mean field ...
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Backward Itô-Ventzell and stochastic interpolation formulae
... (4.2) with a second order Taylor ...contrast with our analysis, the fluctuation term ...two-sided stochastic integral defined in ...two-sided stochastic integration calculus developed by ...
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Multidimensional stochastic differential equations with distributional drift
... ning with, at least in our knowledge [20]; later on, many authors considered special cases of stochastic differential equations with generalized coefficients, it is difficult to quote them ...
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Weak Dirichlet processes with jumps
... variation. Such a process is indeed again a weak Dirichlet process (with possibly no finite quadratic variation). Relevant applications to stochastic control were considered in [17]. Contrarily to the ...
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A stochastic Hamilton–Jacobi equation with infinite speed of propagation
... Souganidis. Differential games and representation formulas for solutions of Hamilton-Jacobi-Isaacs equations, Indiana ...nonlinear stochastic partial differential equations: non-smooth equations and ...
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Partial Differential Equation and Noise
... associated with simultaneity of sources may actually be effectively mitigated by the image formation algo- rithm: we do not need to deblend and to estimate the full single-survey response, because the appropriate ...
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Stochastic forward-backward and primal-dual approximation algorithms with application to online image restoration
... a stochastic ver- sion of the forward-backward algorithm for minimizing the sum of two convex functions, one of which is not necessarily ...handle stochastic approxima- tions of the gradient of the ...
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Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
... ) with infinitesimal generator A satisfies a Lyapunov as- sumption if there exists a positive function V such that V(x) → +∞ and lim sup AV (x) = −∞ when |x| → ...scheme with constant step γ with an ...
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