Добірка наукової літератури з теми "Skorohod equations"
Оформте джерело за APA, MLA, Chicago, Harvard та іншими стилями
Ознайомтеся зі списками актуальних статей, книг, дисертацій, тез та інших наукових джерел на тему "Skorohod equations".
Біля кожної праці в переліку літератури доступна кнопка «Додати до бібліографії». Скористайтеся нею – і ми автоматично оформимо бібліографічне посилання на обрану працю в потрібному вам стилі цитування: APA, MLA, «Гарвард», «Чикаго», «Ванкувер» тощо.
Також ви можете завантажити повний текст наукової публікації у форматі «.pdf» та прочитати онлайн анотацію до роботи, якщо відповідні параметри наявні в метаданих.
Статті в журналах з теми "Skorohod equations"
Buckdahn, Rainer. "Linear skorohod stochastic differential equations." Probability Theory and Related Fields 90, no. 2 (June 1991): 223–40. http://dx.doi.org/10.1007/bf01192163.
Повний текст джерелаBuckdahn, Rainer, and David Nualart. "Skorohod stochastic differential equations with boundary conditions." Stochastics and Stochastic Reports 45, no. 3-4 (December 1993): 211–35. http://dx.doi.org/10.1080/17442509308833862.
Повний текст джерелаNualart, David, and Michèle Thieullen. "Skorohod stochastic differential equations on random intervals." Stochastics and Stochastic Reports 49, no. 3-4 (August 1994): 149–67. http://dx.doi.org/10.1080/17442509408833917.
Повний текст джерелаBuckdahn, Rainer. "Skorohod stochastic differential equations of diffusion type." Probability Theory and Related Fields 93, no. 3 (September 1992): 297–323. http://dx.doi.org/10.1007/bf01193054.
Повний текст джерелаEl-Borai, Mahmoud M., Khairia El-Said El-Nadi, Osama L. Mostafa, and Hamdy M. Ahmed. "Volterra equations with fractional stochastic integrals." Mathematical Problems in Engineering 2004, no. 5 (2004): 453–68. http://dx.doi.org/10.1155/s1024123x04312020.
Повний текст джерелаTudor, Ciprian A. "Itô-Skorohod stochastic equations and applications to finance." Journal of Applied Mathematics and Stochastic Analysis 2004, no. 4 (January 1, 2004): 359–69. http://dx.doi.org/10.1155/s1048953304311044.
Повний текст джерелаBishwal, Jaya P. N. "Maximum likelihood estimation in Skorohod stochastic differential equations." Proceedings of the American Mathematical Society 138, no. 04 (April 1, 2010): 1471. http://dx.doi.org/10.1090/s0002-9939-09-10113-2.
Повний текст джерелаBuckdahn, Rainer. "Anticipative Girsanov transformations and Skorohod stochastic differential equations." Memoirs of the American Mathematical Society 111, no. 533 (1994): 0. http://dx.doi.org/10.1090/memo/0533.
Повний текст джерелаDONEY, R., and T. ZHANG. "Perturbed Skorohod equations and perturbed reflected diffusion processes." Annales de l'Institut Henri Poincare (B) Probability and Statistics 41, no. 1 (January 2005): 107–21. http://dx.doi.org/10.1016/j.anihpb.2004.03.005.
Повний текст джерелаBuckdahn, R., P. Malliavin, and D. Nualart. "Multidimensional linear stochastic differential equations in the skorohod sense." Stochastics and Stochastic Reports 62, no. 1-2 (November 1997): 117–45. http://dx.doi.org/10.1080/17442509708834130.
Повний текст джерелаДисертації з теми "Skorohod equations"
Önskog, Thomas. "The Skorohod problem and weak approximation of stochastic differential equations in time-dependent domains." Doctoral thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-25429.
Повний текст джерелаÖnskog, Thomas. "The Skorohod problem and weak approximation of stochastic differential equations in time-dependent domains." Umeå : Umeå universitet, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-25429.
Повний текст джерелаFromm, Alexander. "Theory and applications of decoupling fields for forward-backward stochastic differential equations." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2015. http://dx.doi.org/10.18452/17115.
Повний текст джерелаThis thesis deals with the theory of so called forward-backward stochastic differential equations (FBSDE) which can be seen as a stochastic formulation and in some sense generalization of parabolic quasi-linear partial differential equations. The thesis consist of two parts: In the first we develop the theory of so called decoupling fields for general multidimensional fully coupled FBSDE in a Brownian setting. The theory consists of uniqueness and existence results for decoupling fields on the so called the maximal interval. It also provides tools to investigate well-posedness and regularity for particular problems. In total the theory is developed for three different classes of FBSDE: In the first Lipschitz continuity of the parameter functions is required, which at the same time are allowed to be random. The other two classes we investigate are based on the theory developed for the first one. In both of them all parameter functions have to be deterministic. However, two different types of local Lipschitz continuity replace the more restrictive Lipschitz continuity of the first class. In the second part we apply these techniques to three different problems: In the first application we demonstrate how well-posedness of FBSDE in the so called non-degenerate case can be investigated. As a second application we demonstrate the solvability of a system, which provides a solution to the so called Skorokhod embedding problem (SEP) via FBSDE. The solution to the SEP is provided for the case of general non-linear drift. The third application provides solutions to a complex FBSDE from which optimal trading strategies for a problem of utility maximization in incomplete markets are constructed. The FBSDE is solved in a relatively general setting, i.e. for a relatively general class of utility functions on the real line.
Sabbagh, Wissal. "Some Contributions on Probabilistic Interpretation For Nonlinear Stochastic PDEs." Thesis, Le Mans, 2014. http://www.theses.fr/2014LEMA1019/document.
Повний текст джерелаThe objective of this thesis is to study the probabilistic representation (Feynman-Kac for- mula) of different classes ofStochastic Nonlinear PDEs (semilinear, fully nonlinear, reflected in a domain) by means of backward doubly stochastic differential equations (BDSDEs). This thesis contains four different parts. We deal in the first part with the second order BDS- DEs (2BDSDEs). We show the existence and uniqueness of solutions of 2BDSDEs using quasi sure stochastic control technics. The main motivation of this study is the probabilistic representation for solution of fully nonlinear SPDEs. First, under regularity assumptions on the coefficients, we give a Feynman-Kac formula for classical solution of fully nonlinear SPDEs and we generalize the work of Soner, Touzi and Zhang (2010-2012) for deterministic fully nonlinear PDE. Then, under weaker assumptions on the coefficients, we prove the probabilistic representation for stochastic viscosity solution of fully nonlinear SPDEs. In the second part, we study the Sobolev solution of obstacle problem for partial integro-differentialequations (PIDEs). Specifically, we show the Feynman-Kac formula for PIDEs via reflected backward stochastic differentialequations with jumps (BSDEs). Specifically, we establish the existence and uniqueness of the solution of the obstacle problem, which is regarded as a pair consisting of the solution and the measure of reflection. The approach is based on stochastic flow technics developed in Bally and Matoussi (2001) but the proofs are more technical. In the third part, we discuss the existence and uniqueness for RBDSDEs in a convex domain D without any regularity condition on the boundary. In addition, using the approach based on the technics of stochastic flow we provide the probabilistic interpretation of Sobolev solution of a class of reflected SPDEs in a convex domain via RBDSDEs. Finally, we are interested in the numerical solution of BDSDEs with random terminal time. The main motivation is to give a probabilistic representation of Sobolev solution of semilinear SPDEs with Dirichlet null condition. In this part, we study the strong approximation of this class of BDSDEs when the random terminal time is the first exit time of an SDE from a cylindrical domain. Thus, we give bounds for the discrete-time approximation error.. We conclude this part with numerical tests showing that this approach is effective
THIEU, THI KIM THOA. "Models for coupled active--passive population dynamics: mathematical analysis and simulation." Doctoral thesis, Gran Sasso Science Institute, 2020. http://hdl.handle.net/20.500.12571/15016.
Повний текст джерелаLindhe, Adam. "Reflected Stochastic Differential Equations on a Time-Dependent Non-Smooth Domain." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229073.
Повний текст джерелаI den här mastersuppsatsen så bevisar vi existens och entydighet för reflekterade stokastiska differentialekvation på ett icke slätt, tidsberoende område. Området är snittet mellan ett ändligt antal släta områden som tillåts variera i tiden. Reflektionen är ej nödvändigtvis vinkelrät till området och i hörnen finns det mer än en tillåten riktning. Tidsrestriktionen på området är dels existensen av en familj av semikonkava mängder som är C¹;+ i tiden. Dessutom att avståndet till området är W¹;p i tiden. Första delen av beviset är att konstruera tre hjälp funktioner med eftersökta egenskaper. Med hjälp av de här funktionerna så bevisas sedan existens av lösningar till Skorokhod problemet. Slutligen så bevisas entydighet av den reflekterade stokastiska differentialekvationen.
Prömel, David Johannes. "Robust stochastic analysis with applications." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät, 2015. http://dx.doi.org/10.18452/17373.
Повний текст джерелаIn this thesis new robust integration techniques, which are suitable for various problems from stochastic analysis and mathematical finance, as well as some applications are presented. We begin with two different approaches to stochastic integration in robust financial mathematics. The first one is inspired by Ito’s integration and based on a certain topology induced by an outer measure corresponding to a minimal superhedging price. The second approach relies on the controlled rough path integral. We prove that this integral is the limit of non-anticipating Riemann sums and that every "typical price path" has an associated Ito rough path. For one-dimensional "typical price paths" it is further shown that they possess Hölder continuous local times. Additionally, we provide various generalizations of Föllmer’s pathwise Ito formula. Recalling that rough path theory can be developed using the concept of controlled paths and with a topology including the information of Levy’s area, sufficient conditions for the pathwise existence of Levy’s area are provided in terms of being controlled. This leads us to study Föllmer’s pathwise Ito formulas from the perspective of controlled paths. A multi-parameter extension to rough path theory is the paracontrolled distribution approach, recently introduced by Gubinelli, Imkeller and Perkowski. We generalize their approach from Hölder spaces to Besov spaces to solve rough differential equations. As an application we deal with stochastic differential equations driven by random functions. Finally, considering strongly coupled systems of forward and backward stochastic differential equations (FBSDEs), we extend the existence, uniqueness and regularity theory of so-called decoupling fields to Markovian FBSDEs with locally Lipschitz continuous coefficients. These results allow to solve the Skorokhod embedding problem for a class of Gaussian processes with non-linear drift.
Hibon, Hélène. "Équations différentielles stochastiques rétrogrades quadratiques et réfléchies." Thesis, Rennes 1, 2018. http://www.theses.fr/2018REN1S007/document.
Повний текст джерелаIn this thesis, we are interested in studying variously Backward Stochastic Differential Equations. A large proportion of the results are obtained under the assumption that the driver is of quadratic growth in its last variable. A first link between one-dimensional quadratic BSDEs and game theory leads us to develop results with convex drivers. Optimal control theory requires as for it to deal with the multidimensional case, in which global existence and uniqueness are obtained only for diagonaly quadratic drivers. Major achievements in reflected BSDEs (whose solution is constrained to remain in a domain) are reached for Lipschitz drivers. We develop a result of chaos propagation in this setting, with a constraint on the law of the solution rather than on its path. We finaly build bridge between quadratic BSDEs and reflected BSDEs thanks to mean field quadratic BSDEs. We give several new results on solvability of a quadratic BSDE whose driver depends also on the mean of both variables
Soumana, Hima Abdoulaye. "Équations différentielles stochastiques sous G-espérance et applications." Thesis, Rennes 1, 2017. http://www.theses.fr/2017REN1S007/document.
Повний текст джерелаSince the publication of Choquet's (1955) book, the theory of nonlinear expectation has attracted great interest from researchers for its potential applications in uncertainty problems, risk measures and super-hedging in finance. Shige Peng has constructed a kind of fully nonlinear expectation dynamically coherent by the PDE approach. An important case of time-consistent nonlinear expectation is G-expectation, in which the corresponding canonical process (B_{t})_{t≥0} is called G-Brownian motion and plays a similar role to the classical Wiener process. The objective of this thesis is to study, in the framework of the G-expectation, some backward stochastic differential equations (G-BSDE) under a quadratic growth condition on their coefficients with applications to robust utility maximization problems with uncertainty on models, Reflected stochastic differential equations (reflected G-SDE) and reflected backward stochastic differential equations with Lipschitz coefficients (reflected G-BSDE). We first consider G-BSDE with quadratic growth. In Chapter 2 we provide a result of existence and uniqueness for quadratic G-BSDEs. On the one hand, we establish a priori estimates by applying the Girsanov-type theorem, from which we deduce the uniqueness. On the other hand, to prove the existence of solutions, we first constructed solutions for discrete G-BSDEs by solving corresponding nonlinear PDEs, then solutions for the general quadratic G-BSDEs in the spaces of Banach. In Chapter 3 we apply quadratic G-BSDE to robust utility maximization problems. We give a characterization of the value function and an optimal strategy for exponential, power and logarithmic utility functions. In Chapter 4, we discuss multidimensional reflected G-SDE. We first examine the penalization method to solve deterministic Skorokhod problems in non-convex domains and establish estimates for continuous α-Hölder functions. Using these results for deterministic problems, we define the reflected G-Brownian motion and prove its existence and its uniqueness in a Banach space. Then we prove the existence and uniqueness of the solution for the multidimensional reflected G-SDE via a fixed point argument. In Chapter 5, we study the existence and uniqueness of the reflected backward stochastic differential equations driven by a G-Brownian motion when the obstacle S is a G-Itô process
Книги з теми "Skorohod equations"
Anticipative Girsanov transformations and Skorohod stochastic differential equations. Providence, RI: American Mathematical Society, 1994.
Знайти повний текст джерелаЧастини книг з теми "Skorohod equations"
Buckdahn, Rainer. "Nonlinear Skorohod Stochastic Differential Equations." In Barcelona Seminar on Stochastic Analysis, 21–39. Basel: Birkhäuser Basel, 1993. http://dx.doi.org/10.1007/978-3-0348-8555-3_2.
Повний текст джерелаAlòs, Elisa, and David Nualart. "A Maximal Inequality for the Skorohod Integral." In Stochastic Differential and Difference Equations, 241–51. Boston, MA: Birkhäuser Boston, 1997. http://dx.doi.org/10.1007/978-1-4612-1980-4_18.
Повний текст джерелаFukushima, Masatoshi. "Dirichlet Forms, Caccioppoli Sets and the Skorohod Equation." In Stochastic Differential and Difference Equations, 59–66. Boston, MA: Birkhäuser Boston, 1997. http://dx.doi.org/10.1007/978-1-4612-1980-4_6.
Повний текст джерелаPrivault, Nicolas. "Linear Skorohod stochastic differential equations on Poisson space." In Stochastic Analysis and Related Topics V, 237–53. Boston, MA: Birkhäuser Boston, 1996. http://dx.doi.org/10.1007/978-1-4612-2450-1_12.
Повний текст джерелаBorkowski, Dariusz. "Chromaticity Denoising using Solution to the Skorokhod Problem." In Image Processing Based on Partial Differential Equations, 149–61. Berlin, Heidelberg: Springer Berlin Heidelberg, 2007. http://dx.doi.org/10.1007/978-3-540-33267-1_9.
Повний текст джерелаMillet, Annie, and Marta Sanz-Solé. "On the Support of a Skorohod Anticipating Stochastic Differential Equation." In Barcelona Seminar on Stochastic Analysis, 103–31. Basel: Birkhäuser Basel, 1993. http://dx.doi.org/10.1007/978-3-0348-8555-3_7.
Повний текст джерелаBuckdahn, R. "A linear stochastic differential equation with Skorohod integral." In Markov Processes and Control Theory, 9–15. De Gruyter, 1989. http://dx.doi.org/10.1515/9783112620243-003.
Повний текст джерела