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  • Search: subject:"stochastic partial differential equations"
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Year of publication
Subject
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Stochastic partial differential equations 24 Stochastic process 10 Stochastischer Prozess 10 Analysis 9 Mathematical analysis 9 stochastic partial differential equations 8 Calculus via regularization 4 Infinite dimensional analysis 4 Option pricing theory 4 Optionspreistheorie 4 Theorie 4 Theory 4 Dirichlet processes 3 Tensor analysis 3 Backward stochastic partial differential equations 2 Commodity markets 2 Covariation and Quadratic variation 2 Derivat 2 Derivative 2 Dynamic point processes 2 Finite-dimensional realization 2 Forward mortality 2 Forward–backward stochastic differential equations 2 Futures contract 2 Generalized Fukushima decomposition 2 Heath-Jarrow-Morton framework 2 Invariant foliation 2 Itô formula 2 Kolmogorov equation 2 Longevity 2 Lp-theory 2 Lévy noise 2 Lévy processes 2 Mortality 2 Mortality improvements 2 Optimal portfolios 2 Quadratic variation 2 Stability and convergence of numerical approximations 2 Stochastic delay equations 2 Stochastic partial differential equations (SPDEs) 2
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Online availability
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Undetermined 26 Free 10
Type of publication
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Article 32 Book / Working Paper 8
Type of publication (narrower categories)
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Article in journal 9 Aufsatz in Zeitschrift 9 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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Undetermined 27 English 13
Author
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Benth, Fred Espen 3 Fabbri, Giorgio 3 Kim, Kyeong-Hun 3 Russo, Francesco 3 Buckwar, Evelyn 2 Kim, Panki 2 Lempa, Jukka 2 Ma, Jin 2 Shardlow, Tony 2 Tappe, Stefan 2 Weber, Stefan 2 Yin, Hong 2 Zhang, Jianfeng 2 Zhang, Tusheng 2 Bakan, Hacer Öz 1 Benth, Fred 1 Bréhier, Charles-Edouard 1 Buckdahn, Rainer 1 Chen, Zhen-Qing 1 Criens, David 1 Cuchiero, Christa 1 Cui, Jing 1 De Moor, Sylvain 1 Detering, Nils 1 Du, Kai 1 FABBRI, Giorgio 1 Galimberti, Luca 1 Girolami, Cristina 1 Girolami, Cristina Di 1 Hambly, Ben 1 Horntrop, David J. 1 Huebner, M. 1 Issoglio, E. 1 Kalsi, Jasdeep 1 Karoui, Nicole El 1 Ma, Junchi 1 McDonald, Stuart 1 Mrad, Mohamed 1 Newbury, James 1 Ogunsolu, Mobolaji 1
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Institution
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Centre d'Études des Politiques Économiques (EPEE), Université d'Évry Val d'Essonne 1 HAL 1 Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain 1 School of Economics and Management, University of Aarhus 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Stochastic Processes and their Applications 11 Finance and Stochastics 4 Finance and stochastics 3 Statistical Inference for Stochastic Processes 2 AStA Advances in Statistical Analysis 1 Applied mathematical finance 1 CREATES Research Papers 1 Computational Management Science : CMS 1 Decisions in economics and finance : DEF ; a journal of applied mathematics 1 Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1 Discussion paper / Institut de Recherches Économiques et Sociales de l'Université Catholique de Louvain 1 Documents de recherche 1 International journal of theoretical and applied finance 1 MPRA Paper 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Mathematics and Computers in Simulation (MATCOM) 1 Mathematics of operations research 1 Metrika 1 Physica A: Statistical Mechanics and its Applications 1 Revista Galega de Economía 1 SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1 Statistics & Probability Letters 1 Working Papers / HAL 1
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Source
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RePEc 29 ECONIS (ZBW) 10 EconStor 1
Showing 1 - 10 of 40
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Credit risk pricing in a consumption-based equilibrium framework with incomplete accounting information
Ma, Junchi; Ogunsolu, Mobolaji; Qiu, Jinniao; Sezer, … - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 666-708
Persistent link: https://www.econbiz.de/10014329901
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Pricing options on flow forwards by neural networks in a Hilbert space
Benth, Fred Espen; Detering, Nils; Galimberti, Luca - In: Finance and stochastics 28 (2024) 1, pp. 81-121
Persistent link: https://www.econbiz.de/10014447586
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Infinite dimensional weak Dirichlet processes and convolution type processes
Fabbri, Giorgio; Russo, Francesco - 2016
Persistent link: https://www.econbiz.de/10011700694
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A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
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Limit order books, diffusion approximations and reflected SPDEs : from microscopic to macroscopic models
Hambly, Ben; Kalsi, Jasdeep; Newbury, James - In: Applied mathematical finance 27 (2020) 1/2, pp. 132-170
Persistent link: https://www.econbiz.de/10012254111
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Markovian lifts of positive semidefinite affine Volterra-typeprocesses
Cuchiero, Christa; Teichmann, Josef - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 407-448
Persistent link: https://www.econbiz.de/10012127229
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The covariation for Banach space valued processes and applications
Girolami, Cristina Di; Fabbri, Giorgio; Russo, Francesco - Centre d'Études des Politiques Économiques (EPEE), … - 2013
This article focuses on a new concept of quadratic variation for processes taking values in a Banach space B and a corresponding covariation. This is more general than the classical one of Métivier and Pellaumail. Those notions are associated with some subspace ? of the dual of the projective...
Persistent link: https://www.econbiz.de/10010640911
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Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control
FABBRI, Giorgio; RUSSO, Francesco - Institut de Recherche Économique et Sociale (IRES), … - 2012
The present paper continues the study of infinite dimensional calculus via regularization, started by C. Di Girolami and the second named author, introducing the notion of weak Dirichlet process in this context. Such a process X, taking values in a Hilbert space H, is the sum of a local...
Persistent link: https://www.econbiz.de/10011075069
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A discrete optimality system for an optimal harvesting problem
Bakan, Hacer Öz; Yilmaz, Fikriye; Weber, Gerhard-Wilhelm - In: Computational Management Science : CMS 14 (2017) 4, pp. 519-533
Persistent link: https://www.econbiz.de/10011758945
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REPUTATION RISK: THEORY REVIEW AND VALUATION APPROACH
Vizcaíno González, Marcos - In: Revista Galega de Economía 19 (2010) 1
The aim of this paper is to review the concept, size, scope, determinants, causes and consequences of reputation risk, focusing on key issues and guidelines for the identification and management. It highlights that success in this field can only be achieved through integrated actions that...
Persistent link: https://www.econbiz.de/10010592053
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