Search Results - subject:"Stochastic Differential Equations"

SPDEs with polynomial growth coefficients and the Malliavin calculus method

Zhang, Qi; Zhao, Huaizhong - In: Stochastic Processes and their Applications 123 (2013) 6, pp. 2228-2271

stochastic differential equations (BDSDEs) with polynomial growth coefficients using weak convergence, equivalence of norm …

Persistent link: https://www.econbiz.de/10011065058

BSDEs with jumps, optimization and applications to dynamic risk measures

Quenez, Marie-Claire; Sulem, Agnès - In: Stochastic Processes and their Applications 123 (2013) 8, pp. 3328-3357

In the Brownian case, the links between dynamic risk measures and BSDEs have been widely studied. In this paper, we consider the case with jumps. We first study the properties of BSDEs driven by a Brownian motion and a Poisson random measure. In particular, we provide a comparison theorem under...

Persistent link: https://www.econbiz.de/10011065062

Generalized BSDEs driven by fractional Brownian motion

Jańczak-Borkowska, Katarzyna - In: Statistics & Probability Letters 83 (2013) 3, pp. 805-811

We study the existence an uniqueness of generalized backward stochastic differential equation driven by fractional Brownian motion with Hurst parameter H greater than 1/2. The stochastic integral used throughout the paper is the divergence operator type integral. Moreover, we show the connection...

Persistent link: https://www.econbiz.de/10011039829

Harnack inequality for mean-field stochastic differential equations

Zong, Gaofeng; Chen, Zengjing - In: Statistics & Probability Letters 83 (2013) 5, pp. 1424-1432

inequality with dimension-free are established for such mean-field stochastic differential equations. … differential equation. The objective of the present paper is to deepen the investigation of such mean-field stochastic differential … equations by studying them in a Brownian motion framework. By constructing a coupling, log-Harnack inequality and Harnack …

Persistent link: https://www.econbiz.de/10011040007

Continuous wind speed models based on stochastic differential equations

Zárate-Miñano, Rafael; Anghel, Marian; Milano, Federico - In: Applied Energy 104 (2013) C, pp. 42-49

This paper proposes two general procedures to develop wind speed models based on stochastic differential equations …

Persistent link: https://www.econbiz.de/10011040589

On a family of test statistics for discretely observed diffusion processes

De Gregorio, A.; Iacus, S.M. - In: Journal of Multivariate Analysis 122 (2013) C, pp. 292-316

We consider parametric hypotheses testing for multidimensional ergodic diffusion processes observed at discrete time. We propose a family of test statistics related to the so called ϕ-divergence measures. It is proved that the test statistics in this family are all asymptotically distribution...

Persistent link: https://www.econbiz.de/10011041918

A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions

Hurn, A.S.; Lindsay, K.A.; McClelland, A.J. - In: Journal of Econometrics 172 (2013) 1, pp. 106-126

A quasi-maximum likelihood procedure for estimating the parameters of multi-dimensional diffusions is developed in which the transitional density is a multivariate Gaussian density with first and second moments approximating the true moments of the unknown density. For affine drift and diffusion...

Persistent link: https://www.econbiz.de/10010594960

An Itô formula for a family of stochastic integrals and related Wong–Zakai theorems

Da Pelo, Paolo; Lanconelli, Alberto; Stan, Aurel I. - In: Stochastic Processes and their Applications 123 (2013) 8, pp. 3183-3200

The aim of this paper is to generalize two important results known for the Stratonovich and Itô integrals to any stochastic integral obtained as limit of Riemann sums with arbitrary evaluating point: the ordinary chain rule for certain nonlinear functions of the Brownian motion and the...

Persistent link: https://www.econbiz.de/10010679233

Anticipated backward stochastic differential equations on Markov chains

Lu, Wen; Ren, Yong - In: Statistics & Probability Letters 83 (2013) 7, pp. 1711-1719

In this paper, we deal with a class of anticipated backward stochastic differential equations related to finite state …

Persistent link: https://www.econbiz.de/10010665592

Lp solutions to backward stochastic differential equations with discontinuous generators

Tian, Dejian; Jiang, Long; Shi, Xuejun - In: Statistics & Probability Letters 83 (2013) 2, pp. 503-510

In this paper, we deal with the Lp(p>1) solutions to one dimensional backward stochastic differential equations (BSDEs …

Persistent link: https://www.econbiz.de/10010602921