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  • Search: subject:"Stochastic Differential Equations"
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Year of publication
Subject
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Stochastischer Prozess 93 Stochastic process 89 Stochastic differential equations 77 Analysis 74 Mathematical analysis 70 stochastic differential equations 66 Theorie 45 Optionspreistheorie 41 Option pricing theory 40 Theory 38 Backward stochastic differential equations 37 backward stochastic differential equations 21 Stochastic Differential Equations 16 Schätztheorie 15 Estimation theory 14 Portfolio-Management 14 Portfolio selection 13 Kontrolltheorie 12 Mathematical programming 12 Mathematische Optimierung 12 Control theory 11 Hedging 11 Volatility 10 Volatilität 10 Black-Scholes model 8 Derivat 8 Derivative 8 Finanzmathematik 8 Mathematical finance 8 Monte Carlo simulation 8 Simulation 8 forward-backward stochastic differential equations 8 Black-Scholes-Modell 7 Monte-Carlo-Simulation 7 Risiko 7 Risk 7 Schätzung 7 Stochastic control 7 Time series analysis 7 Zeitreihenanalyse 7
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Online availability
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Undetermined 161 Free 106 CC license 5
Type of publication
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Article 211 Book / Working Paper 99
Type of publication (narrower categories)
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Article in journal 73 Aufsatz in Zeitschrift 73 Working Paper 32 Arbeitspapier 19 Graue Literatur 19 Non-commercial literature 19 Article 8 Thesis 3 research-article 3 Aufsatz im Buch 2 Book section 2 Conference paper 1 Hochschulschrift 1 Konferenzbeitrag 1 Report 1
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Language
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Undetermined 167 English 143
Author
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Platen, Eckhard 14 Küchler, Uwe 7 Hurn, Stan 6 Niehof, Britta 6 Takahashi, Akihiko 6 Yamada, Toshihiro 6 Ceci, Claudia 5 Horst, Ulrich 5 Lindsay, K.A. 5 Singer, Hermann 5 Lux, Thomas 4 Pham, Huyên 4 Quenez, Marie-Claire 4 Stummer, Wolfgang 4 Zhang, Jianfeng 4 Cserna, Balázs 3 Delong, Łukasz 3 Feicht, Robert 3 Hayo, Bernd 3 Heyne, Gregor 3 Iacus, Stefano 3 Imkeller, Peter 3 Jeisman, J. 3 Kharroubi, Idris 3 Kupper, Michael 3 Mainberger, Christoph 3 Ninomiya, Syoiti 3 Taksar, Michael I. 3 Touzi, Nizar 3 Tsuchida, Yoshifumi 3 Vives, Josep 3 Warin, Xavier 3 Arcand, Jean-Louis L. 2 Aurell, Alexander 2 Benazzoli, Chiara 2 Bhar, Ramaprasad 2 Brigo, Damiano 2 Buckdahn, Rainer 2 Chan-Lau, Jorge A. 2 Chiarella, Carl 2
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Institution
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Finance Discipline Group, Business School 10 Université Paris-Dauphine (Paris IX) 5 Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Università degli Studi di Milano 4 HAL 4 International Monetary Fund (IMF) 4 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 3 Department of Economics and Business, Universitat Pompeu Fabra 2 Department of Economics, Leicester University 2 International Monetary Fund 2 National Centre for Econometric Research (NCER) 2 School of Economics and Finance, Business School 2 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 2 University of Bonn, Germany 2 Volkswirtschaft Abteilung, Fachbereich Wirtschaftswissenschaften 2 Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften 1 Banque de France 1 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 1 Department of Economics, University of Birmingham 1 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 1 Département de Sciences Économiques, Université de Montréal 1 Institut for Miljø og Erhvervsøkonomi, Syddansk Universitet 1 Institut für Weltwirtschaft (IfW) 1 Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna 1 London School of Economics (LSE) 1 Ohio State University, Department of Economics 1 Society for Computational Economics - SCE 1 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1 Université Paris-Dauphine 1 Weierstraß-Institut für Angewandte Analysis und Stochastik 1 Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 1 Zakład Ekonometrii Stosowanej, Szkoła Główna Handlowa w Warszawie 1 Økonomisk Institut, Københavns Universitet 1 Økonomisk institutt, Universitetet i Oslo 1
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Published in...
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Stochastic Processes and their Applications 31 Mathematics and Computers in Simulation (MATCOM) 12 Statistics & Probability Letters 12 Finance and Stochastics 11 Research Paper Series / Finance Discipline Group, Business School 10 Physica A: Statistical Mechanics and its Applications 8 Economics Papers from University Paris Dauphine 5 International Journal of Theoretical and Applied Finance (IJTAF) 5 International journal of theoretical and applied finance 5 Risks : open access journal 5 Annals of finance 4 Dynamic games and applications : DGA 4 IMF Working Papers 4 Insurance / Mathematics & economics 4 Quantitative finance 4 Risks 4 Working Papers / HAL 4 AStA Advances in Statistical Analysis 3 Annals of Finance 3 BIFEC Book of Abstracts & Proceedings 3 CARF working paper 3 CoFE discussion papers 3 Finance and stochastics 3 Mathematical finance : an international journal of mathematics, statistics and financial economics 3 Mathematical finance : an international journal of mathematics, statistics and financial theory 3 SFB 649 Discussion Paper 3 SFB 649 Discussion Papers 3 UNIMI - Research Papers in Economics, Business, and Statistics 3 Annals of the Institute of Statistical Mathematics 2 CIRJE discussion papers / F series 2 Computational Statistics 2 Computational Statistics & Data Analysis 2 Discussion Paper Serie B 2 Discussion Papers in Economics 2 Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen 2 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 2 European journal of operational research : EJOR 2 Games 2 Insurance: Mathematics and Economics 2 International journal of financial engineering 2
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Source
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RePEc 185 ECONIS (ZBW) 96 EconStor 21 BASE 5 Other ZBW resources 3
Showing 211 - 220 of 310
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Application of the Polynomial Chaos Expansion to the simulation of chemical reactors with uncertainties
Villegas, M.; Augustin, F.; Gilg, A.; Hmaidi, A.; Wever, U. - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 5, pp. 805-817
In this paper we consider the simulation of probabilistic chemical reactions in isothermal and adiabatic conditions. Models for reactions under isothermal conditions result in advection equations, adiabatic conditions yield the reactive Euler equations. In order to treat with scattering data,...
Persistent link: https://www.econbiz.de/10010751818
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Stochastic differential equation derivation: Comparison of the Markov method versus the additive method
Galayda, S.; Barany, E. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4564-4574
There are several methods of transforming an ordinary differential equation into a stochastic differential equation (SDE). The two most common are adding noise to a system parameter or variable and transforming to a SDE or deriving the SDE by assuming an underlying Markov process. Using simple...
Persistent link: https://www.econbiz.de/10010590163
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One barrier reflected backward doubly stochastic differential equations with discontinuous monotone coefficients
Li, Zhi; Luo, Jiaowan - In: Statistics & Probability Letters 82 (2012) 10, pp. 1841-1848
In this paper, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one …
Persistent link: https://www.econbiz.de/10010597142
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Anticipated backward stochastic differential equations with non-Lipschitz coefficients
Wu, Hao; Wang, Wenyuan; Ren, Jie - In: Statistics & Probability Letters 82 (2012) 3, pp. 672-682
This paper deals with a class of anticipated backward stochastic differential equations. We extend results of Peng and … for anticipated backward stochastic differential equations as well as a comparison theorem are obtained. The existence and … uniqueness of Lp(p>2) solutions for anticipated backward stochastic differential equations are also studied. …
Persistent link: https://www.econbiz.de/10010571753
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Utility maximization with intermediate consumption under restricted information for jump market models
Ceci, Claudia - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-34
Persistent link: https://www.econbiz.de/10009672596
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On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance
Liberati, Nicola Bruti; Platen, Eckhard - Finance Discipline Group, Business School - 2004
The purpose of this paper is to study the efficiency of simplified weak schemes for stochastic differential equations …
Persistent link: https://www.econbiz.de/10004984547
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A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs
Fahim, Arash; Touzi, Nizar; Warin, Xavier - Université Paris-Dauphine (Paris IX) - 2011
stochastic differential equations. Our first main result provides the convergence of the discrete-time approximation and derives …
Persistent link: https://www.econbiz.de/10011166473
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A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
Buckwar, Evelyn; Sickenberger, Thorsten - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 6, pp. 1110-1127
to solve stochastic differential equations. For the linear stability analysis, we propose an extension of the standard …
Persistent link: https://www.econbiz.de/10011050952
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Stochastic representation for solutions of Isaacs’ type integral–partial differential equations
Buckdahn, Rainer; Hu, Ying; Li, Juan - In: Stochastic Processes and their Applications 121 (2011) 12, pp. 2715-2750
cost functionals defined by controlled backward stochastic differential equations (BSDEs). Furthermore, unlike the two …
Persistent link: https://www.econbiz.de/10011065122
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A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs.
Fahim, Arash; Touzi, Nizar; Warin, Xavier - Université Paris-Dauphine - 2011
stochastic differential equations. Our first main result provides the convergence of the discrete-time approximation and derives …
Persistent link: https://www.econbiz.de/10009292004
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