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  • Search: subject:"Sturm-Liouville problem"
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Subject
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Sturm–Liouville problem 2 Anomalous diffusion 1 Asian option 1 Capital income 1 Fox functions 1 Green's function 1 Kapitaleinkommen 1 Lebensversicherung 1 Life insurance 1 Measurement 1 Mellin convolution 1 Messung 1 Multiple solutions 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Stable subordinator 1 Stochastic process 1 Stochastischer Prozess 1 Sturm-Liouville problem 1 Sturm–Liouville equation 1 Time series analysis 1 Variable annuity guaranteed benefit 1 Zeitreihenanalyse 1 conditional tail expectation 1 geometric Brownian motion with affine drift 1 risk measures 1 spectral expansion 1 value at risk 1
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Article 3
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Article in journal 1 Aufsatz in Zeitschrift 1
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Undetermined 2 English 1
Author
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D’Ovidio, Mirko 1 Feng, Runhuan 1 Giuseppina D’Aguì 1 Volkmer, Hans W. 1
Published in...
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Astin bulletin : the journal of the International Actuarial Association 1 Journal of Global Optimization 1 Stochastic Processes and their Applications 1
Source
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan; Volkmer, Hans W. - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 653-681
Persistent link: https://www.econbiz.de/10010407941
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Infinitely many solutions for a double Sturm–Liouville problem
Giuseppina D’Aguì - In: Journal of Global Optimization 54 (2012) 3, pp. 619-625
In this paper, we prove the existence of infinitely many solutions to differential problems where both the equation and the conditions are Sturm–Liouville type. The approach is based on critical point theory. Copyright Springer Science+Business Media, LLC. 2012
Persistent link: https://www.econbiz.de/10010994035
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From Sturm–Liouville problems to fractional and anomalous diffusions
D’Ovidio, Mirko - In: Stochastic Processes and their Applications 122 (2012) 10, pp. 3513-3544
Some fractional and anomalous diffusions are driven by equations involving fractional derivatives in both time and space. Such diffusions are processes with randomly varying times. In representing the solutions to those equations, the explicit laws of certain stable processes turn out to be...
Persistent link: https://www.econbiz.de/10010603466
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