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  • Search: subject:"stochastic partial differential equation"
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Year of publication
Subject
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Stochastic partial differential equation 12 Stochastic process 5 Stochastischer Prozess 5 Analysis 4 Mathematical analysis 4 Particle filters 3 Filtering 2 Fleming–Viot process 2 Fokker-Planck-Kolmogorov equation 2 Levy-Khintchin representation 2 Markov chain 2 Markov process 2 Markov uniqueness 2 Markov-Kette 2 Nutzen 2 Portfolio selection 2 Portfolio-Management 2 Utility 2 Zakai equation 2 generalized Mehler semigroups 2 in nitesimal generator 2 mixed topology 2 stochastic (partial) differential equation 2 stochastic partial differential equation 2 strongly continuous semigroup 2 viscosity solution 2 Advection–diffusion equation 1 Aggregation 1 Almost sure convergence 1 Backward Euler scheme 1 CAPM 1 Central limit theorem 1 Coefficient of variation 1 Consumption theory 1 Counting process 1 Degenerate parabolic stochastic partial differential equation 1 Diffusion equation with Poisson point source 1 Discount 1 Discounting 1 Diskontierung 1
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Online availability
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Undetermined 15 Free 4 CC license 1
Type of publication
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Article 16 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Working Paper 3 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2
Language
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Undetermined 13 English 6
Author
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Xiong, Jie 3 Crisan, D. 2 Goldys, Ben 2 Mrad, Mohamed 2 Nendel, Max 2 Röckner, Michael 2 Aghajani, Reza 1 Barth, Andrea 1 Budhiraja, Amarjit 1 Chen, Jiang 1 Dupuis, Paul 1 El Karoui, Nicole 1 Fatheddin, Parisa 1 Filipović, Damir 1 Hillairet, Caroline 1 Hofmanová, Martina 1 Hosseini, S. Mohammad 1 Kamrani, Minoo 1 Lang, Annika 1 Li, K. 1 Li, Zenghu 1 Lindgren, Finn 1 Liu, Huili 1 Mohapl, Jaroslav 1 Obanubi, O. 1 Ramanan, Kavita 1 Tuckwell, Henry C. 1 Zeng, Yong 1 Zhang, Shao-Qin 1 Zhou, Xiaowen 1
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Published in...
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Stochastic Processes and their Applications 7 Annals of the Institute of Statistical Mathematics 1 Center for Mathematical Economics Working Papers 1 Finance and stochastics 1 International journal of theoretical and applied finance 1 Mathematics and Computers in Simulation (MATCOM) 1 Mathematics of operations research 1 Physica A: Statistical Mechanics and its Applications 1 Statistical Inference for Stochastic Processes 1 Statistics & Probability Letters 1 Série des documents de travail 1 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 1 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 1
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Source
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RePEc 13 ECONIS (ZBW) 5 EconStor 1
Showing 1 - 10 of 19
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Discount models
Filipović, Damir - In: Finance and stochastics 27 (2023) 4, pp. 933-946
Persistent link: https://www.econbiz.de/10014426399
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Operator semigroups in the mixed topology and the infinitesimal description of Markov processes
Goldys, Ben; Nendel, Max; Röckner, Michael - 2022
We define a class of not necessarily linear C0-semigroups (Pt)t≥0 on Cb(E) (more generally, on Cκ(E):=1κCb(E), for some growth bounding continuous function κ) equipped with the mixed topology τM1 for a large class of topological state spaces E. In the linear case we prove that such...
Persistent link: https://www.econbiz.de/10014304791
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Operator semigroups in the mixed topology and the infinitesimal description of Markov processes
Goldys, Ben; Nendel, Max; Röckner, Michael - 2022
We define a class of not necessarily linear C0-semigroups (Pt)t≥0 on Cb(E) (more generally, on Cκ(E):=1κCb(E), for some growth bounding continuous function κ) equipped with the mixed topology τM1 for a large class of topological state spaces E. In the linear case we prove that such...
Persistent link: https://www.econbiz.de/10013184556
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Mixture of consistent stochastic utilities, and a priori randomness
Mrad, Mohamed - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10012650235
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Consistent utility of investment and consumption : a forward/backward SPDE viewpoint
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - 2017
Persistent link: https://www.econbiz.de/10012200208
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The limit of stationary distributions of many-server queues in the Halfin-Whitt regime
Aghajani, Reza; Ramanan, Kavita - In: Mathematics of operations research 45 (2020) 3, pp. 1016-1055
Persistent link: https://www.econbiz.de/10012293367
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Generalised particle filters with Gaussian mixtures
Crisan, D.; Li, K. - In: Stochastic Processes and their Applications 125 (2015) 7, pp. 2643-2673
Stochastic filtering is defined as the estimation of a partially observed dynamical system. Approximating the solution of the filtering problem with Gaussian mixtures has been a very popular method since the 1970s. Despite nearly fifty years of development, the existing work is based on the...
Persistent link: https://www.econbiz.de/10011264610
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Large deviation principle for some measure-valued processes
Fatheddin, Parisa; Xiong, Jie - In: Stochastic Processes and their Applications 125 (2015) 3, pp. 970-993
We establish a large deviation principle for the solutions of a class of stochastic partial differential equations with non-Lipschitz continuous coefficients. As an application, the large deviation principle is derived for super-Brownian motion and Fleming–Viot process.
Persistent link: https://www.econbiz.de/10011194152
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Comments on: Comparing and selecting spatial predictors using local criteria
Lindgren, Finn - In: TEST: An Official Journal of the Spanish Society of … 24 (2015) 1, pp. 35-44
<Para ID="Par1">Large spatial data sets require innovative techniques for computationally efficient statistical estimation. In this comment some aspects of local predictor selection are explored, with a view towards spatially coherent field prediction and uncertainty quantification. Copyright Sociedad de...</para>
Persistent link: https://www.econbiz.de/10011240910
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The reversibility and an SPDE for the generalized Fleming–Viot processes with mutation
Li, Zenghu; Liu, Huili; Xiong, Jie; Zhou, Xiaowen - In: Stochastic Processes and their Applications 123 (2013) 12, pp. 4129-4155
stochastic partial differential equation. …
Persistent link: https://www.econbiz.de/10011065000
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