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  • Search: subject:"stochastic PDE"
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Comparison theorem 1 Erwartungsnutzen 1 Expected utility 1 FKPP equation 1 Forward utility 1 Green function 1 Hilbert space 1 Maximum principle 1 Nonlinear wavefronts 1 Nutzen 1 Nutzenfunktion 1 Nutzentheorie 1 Portfolio selection 1 Portfolio-Management 1 Public utilities 1 Stochastic PDE’s 1 Stochastic pde 1 Stochastic process 1 Stochastischer Prozess 1 Term structure of interest rates 1 Utility 1 Utility function 1 Utility theory 1 Versorgungswirtschaft 1 consistent utility 1 duality 1 forward rates 1 horizon-unbiased utility 1 multifactor models 1 performance criteria 1 portfolio optimization 1 progressive utility 1 random field 1 stochastic PDE 1 stochastic PDE with jumps 1 stochastic characteristics method 1 stochastic flows 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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Undetermined 3 English 1
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Matoussi, Anis 2 CONT, RAMA 1 Denis, Laurent 1 Doering, Charles R. 1 Mrad, Mohamed 1 Mueller, Carl 1 Smereka, Peter 1
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International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance : IJTAF 1 Physica A: Statistical Mechanics and its Applications 1 Stochastic Processes and their Applications 1
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RePEc 3 ECONIS (ZBW) 1
Showing 1 - 4 of 4
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Dynamic utility and related nonlinear spdes driven by Lévy noise
Matoussi, Anis; Mrad, Mohamed - In: International journal of theoretical and applied … 25 (2022) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10013189927
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Maximum principle for quasilinear SPDE’s on a bounded domain without regularity assumptions
Denis, Laurent; Matoussi, Anis - In: Stochastic Processes and their Applications 123 (2013) 3, pp. 1104-1137
We prove a maximum principle for local solutions of quasi-linear parabolic stochastic PDEs, with non-homogeneous second order operator on a bounded domain and driven by a space–time white noise. Our method based on an approximation of the domain and the coefficients of the operator, does not...
Persistent link: https://www.econbiz.de/10011064960
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MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
CONT, RAMA - In: International Journal of Theoretical and Applied … 08 (2005) 03, pp. 357-380
case where deformations are local in maturity, this equation reduces to a stochastic PDE, of which we give the simplest …
Persistent link: https://www.econbiz.de/10005060206
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Interacting particles, the stochastic Fisher–Kolmogorov–Petrovsky–Piscounov equation, and duality
Doering, Charles R.; Mueller, Carl; Smereka, Peter - In: Physica A: Statistical Mechanics and its Applications 325 (2003) 1, pp. 243-259
The stochastic Fisher–Kolmogorov–Petrovsky–Piscunov equation is∂tU(x,t)=D∂xxU+γU(1−U)+εU(1−U)η(x,t)for 0⩽U⩽1 where η(x,t) is a Gaussian white noise process in space and time. Here D, γ and ε are parameters and the equation is interpreted as the continuum limit of a...
Persistent link: https://www.econbiz.de/10011062255
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