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  • Search: subject:"Probabilistic solution"
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Year of publication
Subject
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Approximation solution 1 Bi-quadratic optimization 1 CIR process 1 Estimation theory 1 Malliavin calculus 1 Mean Reversion 1 Mean reversion 1 Option pricing theory 1 Optionspreistheorie 1 Portfolio selection 1 Portfolio-Management 1 Probabilistic solution 1 Probability theory 1 Regular density 1 SPDE 1 Schätztheorie 1 Semidefinite programming relaxation 1 Sobolev estimate 1 Statistical distribution 1 Statistische Verteilung 1 Stochastic process 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1 Wahrscheinlichkeitsrechnung 1 boundary condition 1 conditional expectation 1 empirical limit 1 empirical measure 1 fast mean-reversion 1 fast mean-reverting asymptotics 1 half-space 1 large portfolio limit 1 mean-reverting 1 ornstein-uhlenbeck 1 partial Malliavin calculus 1 particle approximation 1 probabilistic solution 1 stochastic volatility 1 weighted Sobolev space 1
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Online availability
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Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Graue Literatur 1 Hochschulschrift 1 Non-commercial literature 1
Language
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English 1 Undetermined 1
Author
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Kolliopoulos, Nikolaos 1 Ling, Chen 1 Qi, Liqun 1 Zhang, Xinzhen 1
Published in...
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Journal of Global Optimization 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Analysis of stochastic PDEs arising from large portfolios of stochastic volatility models
Kolliopoulos, Nikolaos - 2018
Persistent link: https://www.econbiz.de/10012386950
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Cover Image
Semidefinite relaxation bounds for bi-quadratic optimization problems with quadratic constraints
Zhang, Xinzhen; Ling, Chen; Qi, Liqun - In: Journal of Global Optimization 49 (2011) 2, pp. 293-311
Persistent link: https://www.econbiz.de/10008925232
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