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Year of publication
Subject
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Analysis 798 Mathematical analysis 703 Theory 433 Theorie 431 Stochastic process 362 Stochastischer Prozess 362 Option pricing theory 203 Optionspreistheorie 203 MATHEMATICAL ANALYSIS 134 mathematical analysis 73 Mathematik 69 Mathematics 53 Volatilität 52 Portfolio selection 51 Portfolio-Management 51 Volatility 51 Finanzmathematik 48 Estimation theory 46 Schätztheorie 46 Mathematical programming 42 Control theory 41 Kontrolltheorie 41 Mathematical finance 41 Black-Scholes model 39 Black-Scholes-Modell 39 Mathematische Optimierung 39 ECONOMETRICS 37 Derivat 33 Derivative 33 Einführung 31 Monte-Carlo-Simulation 27 Experiment 26 Monte Carlo simulation 26 Risiko 26 Risk 26 Numerisches Verfahren 25 Hedging 24 Nichtlineare Regression 24 Nonlinear regression 24 Numerical analysis 22
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Online availability
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Free 228 Undetermined 180
Type of publication
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Book / Working Paper 660 Article 365 Journal 3 Other 1
Type of publication (narrower categories)
All
Article in journal 318 Aufsatz in Zeitschrift 318 Graue Literatur 172 Non-commercial literature 172 Arbeitspapier 162 Working Paper 162 Lehrbuch 43 Textbook 38 Aufsatz im Buch 35 Book section 35 Hochschulschrift 29 Thesis 23 Collection of articles of several authors 10 Sammelwerk 10 Bibliografie enthalten 6 Bibliography included 6 Konferenzschrift 6 Collection of articles written by one author 4 Sammlung 4 Einführung 3 Forschungsbericht 3 Aufgabensammlung 2 Aufsatzsammlung 2 Conference proceedings 2 CD-ROM, DVD 1 Case study 1 Commentary 1 Fallstudie 1 Glossar enthalten 1 Glossary included 1 Kommentar 1 Monografische Reihe 1 Nachschlagewerk 1 Reference book 1
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Language
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English 669 Undetermined 265 German 94 French 2 Russian 1
Author
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Platen, Eckhard 14 Küchler, Uwe 13 Chiarella, Carl 11 Kohlmann, Michael 10 Yamada, Toshihiro 10 Wälde, Klaus 9 Flam, S.D. 8 Takahashi, Akihiko 8 Sennewald, Ken 7 Buckwar, Evelyn 6 Fally, Thibault 6 Hess, Markus 6 Leitner, Johannes 6 Pauly, D. 6 Pommeret, D. 6 Sørensen, Michael 6 Ziogas, Andrew 6 Caporale, Guglielmo Maria 5 Cerrato, Mario 5 Horst, Ulrich 5 Larek, Emil 5 Singer, Hermann 5 WOLSEY, L.A. 5 Zhou, Xun Yu 5 ANSTREICHER, K.M. 4 Cai, Yongyang 4 Demange, M. 4 Gilsing, Hagen 4 Hackl, Peter 4 Hakenes, Hendrik 4 Irmen, Andreas 4 Judd, Kenneth L. 4 Katzenbeisser, Walter 4 Liu, Baoding 4 Nesterov, Y. 4 Riedle, Markus 4 Shen, Yang 4 Yao, Kai 4 Zhu, Jianwei 4 Amin, Ahsan 3
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Institution
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 36 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 17 Centre de recherche de mathématiques et économie mathématique (CERMSEM), Centre d'Économie de la Sorbonne 14 Institutt for Økonomi, Universitetet i Bergen 10 CentER for Economic Research, Universiteit van Tilburg 9 Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE) 7 Department of Economics, Faculty of Business and Economics 6 Carnegie Mellon University, Tepper School of Business 5 Banca d'Italia 4 California Irvine - School of Social Sciences 4 Department of Economics, European University Institute 4 Département de Sciences Économiques, Université de Montréal 4 Département et Laboratoire d'Économie Théorique Appliquée (DELTA), École Normale Supérieure (ENS Paris) 4 A. Gary Anderson Graduate School of Management, University of California-Riverside 3 Departament d'Economia i Història Econòmica, Universitat Autònoma de Barcelona 3 Geneva School of Economics and Management, Université de Genève 3 Harvard Institute of Economic Research (HIER), Department of Economics 3 National Bureau of Economic Research 3 Springer Fachmedien Wiesbaden 3 Banco de España 2 Departamento de Fundamentos del Análisis Económico, Facultad de Ciencias Económicas y Empresariales 2 Department of Agricultural and Resource Economics, University of California-Berkeley 2 Department of Economics, Princeton University 2 Foerder Institute for Economic Research, Eitan Berglas School of Economics 2 Krannert School of Management, Purdue University 2 Norges Handelshøyskole (NHH) 2 Politiikan ja Talouden Tutkimuksen Laitos, Valtiotieteellinen tiedekunta 2 Rodney L. White Center for Financial Research, Wharton School of Business 2 School of Economics, UNSW Business School 2 Springer-Verlag GmbH 2 University of Rochester - Center for Economic Research (RCER) 2 Wisconsin Madison - Social Systems 2 Athens University of Economics and Business (AUEB) 1 Banque de France 1 Brown University, Department of Economics 1 Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) 1 Centre de Méthodes Quantitatives et Operations Management (QuantOM), HEC École de Gestion 1 Centre for Analytical Finance <Århus> 1 Centro de Estudios Monetarios y Financieros (CEMFI) 1 Department of Economics, Cornell University 1
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Published in...
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Papers / Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 36 International journal of theoretical and applied finance 20 Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty 19 Discussion papers of interdisciplinary research project 373 17 Mathematical finance : an international journal of mathematics, statistics and financial theory 16 The journal of computational finance 15 Insurance / Mathematics & economics 14 Papiers d'Economie Mathématique et Applications 14 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 13 Journal of mathematical finance 12 Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 11 Mathematics Preprint Archive 11 Heidelberger Taschenbücher 10 Norway; Department of Economics, University of Bergen 10 Finance and stochastics 9 SFB 649 discussion paper 9 Tilburg - Center for Economic Research 9 Fishbyte 8 Journal of mathematical economics 8 Quantitative finance 8 Applied mathematical finance 7 CESifo working papers 7 CoFE discussion papers 7 Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz 7 G.R.E.Q.A.M. 7 International journal of financial engineering 7 Probability theory and related fields 7 Risks : open access journal 7 Annals of finance 6 Computational economics 6 Contemporary quantitative finance : essays in honour of Eckhard Platen 6 Department of Economics - Working Papers Series 6 Dynamic games and applications : DGA 6 Lehrbuch 6 Mathematics of operations research 6 Vieweg Studium 6 Cahiers de recherche 5 GSIA Working Papers 5 Journal of economic dynamics & control 5 Macroeconomic dynamics 5
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Source
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ECONIS (ZBW) 714 RePEc 219 USB Cologne (EcoSocSci) 94 BASE 1 Other ZBW resources 1
Showing 1 - 50 of 1,029
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The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : foundations
Herdegen, Martin; Hobson, David G.; Jerome, Joseph - In: Finance and stochastics 27 (2023) 1, pp. 127-158
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Diffusion on the peer-to-peer network
Riposo, Julien - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-45
In a peer-to-peer complex environment, information is permanently diffused. Such an environment can be modeled as a graph, where there are flows of information. The interest of such modeling is that (1) one can describe the exchanges through time from an initial state of the network, (2) the...
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The seven-league scheme : deep learning for large time step Monte Carlo simulations of stochastic differential equations
Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks : open access journal 10 (2022) 3, pp. 1-27
We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large time steps. The SDE discretization is built up by means of the polynomial chaos expansion method, on the basis of accurately determined stochastic collocation (SC) points. By...
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Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate
Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19
In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...
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Graphon Mean-Field Backward Stochastic Differential Equations With Jumps and Associated Dynamic Risk Measures
Amini, Hamed; Cao, Zhongyuan; Sulem, Agnes - 2022
We study graphon mean-field backward stochastic differential equations (BSDEs) with jumps and associated dynamic risk measures. We establish the existence, uniqueness and measurability of solutions under some regularity assumptions. For an interacting mean-field particle system with...
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Survival and the ergodicity of corporate profitability
Mundt, Philipp; Alfarano, Simone; Milaković, Mishael - In: Management science : journal of the Institute for … 68 (2022) 5, pp. 3726-3734
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Three Kinds of Novel Multi-Symplectic Methods for Stochastic Hamiltonian Partial Differential Equations
Hong, Jialin; Hou, Baohui; Li, Qiang; Sun, Liying - 2022
Stochastic Hamiltonian partial differential equations, which possess the multi-symplectic conservation law, are an important and fairly large class of systems. The multi-symplectic methods inheriting the geometric features of stochastic Hamiltonian partial differential equations provide...
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Operator semigroups in the mixed topology and the infinitesimal description of Markov processes
Goldys, Beniamin; 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...
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Partial Information, Return Predictability and Identification of Linear Stochastic Differential Equations
Buccheri, Giuseppe - 2022
Asset allocation and option pricing models are often formulated by means of linear stochastic differential equations. We show that this class of models is not identifiable from information contained in discrete-time data when the expected return process is unobservable. The indeterminacy arises...
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A Deep Genetic Algorithm (Deep-Ga) Approach for High-Dimensional Nonlinear Parabolic Partial Differential Equations
Putri, Endah; Shahab, Muhammad Luthfi; Iqbal, Mohammad; … - 2022
Solving non-linear parabolic partial differential equations (PDEs) in high dimension becomes an interest for its curse of dimensionality problem. Recently, a deep learning method associated with a backward stochastic differential equation (deep-BSDE) to solve the PDEs draws intensive discussions...
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A fourier interpolation method for numerical solution of FBSDEs : global convergence, stability, and higher order discretizations
Oyono Ngou, Polynice; Hyndman, Cody - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-32
The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs) was originally formulated using Euler time discretizations and a uniform space grid. In this paper, we utilize a tree-like spatial discretization that approximates the BSDE on the...
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Consumer optimization and a first-order PDE with a non-smooth system
Hosoya, Yuhki - In: Operations research forum 2 (2021) 4, pp. 1-36
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A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - This version : August 10, 2021
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Supplementary file for "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"
Saito, Taiga; Takahashi, Akihiko - 2021
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Hattendorff differential equation for multi-state Markov insurance models
Rajaram, Rajeev; Ritchey, Nathan - In: Risks : open access journal 9 (2021) 9, pp. 1-19
We derive a Hattendorff differential equation and a recursion governing the evolution of continuous and discrete time evolution respectively of the variance of the loss at time t random variable given that the state at time t is j, for a multistate Markov insurance model (denoted by 2σt(j)). We...
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A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021
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Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility
Zhang, Yumo - In: Risks : open access journal 9 (2021) 4, pp. 1-21
This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility in a complete market. Specifically, we assume that the stock price and the volatility are perfectly negative correlated. By applying a backward stochastic differential equation...
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The dynamics of Pareto distributed wealth in a small open economy
Birkner, Matthias; Scheuer, Niklas; Wälde, Klaus - 2021
We study a small open economy displaying Pareto-distributed wealth resulting from random death. The government runs a distribution scheme on inheritance. We present the mathematical background that allows to study the dynamics of means. We end up with ordinary differential equations for the mean...
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Convexity, Differential Equations, and Games
Flaam, Sjur Didrik - 2021
Theoretical and experimental studies of noncooperative games increasingly recognize Nash equilibrium as a limiting outcome of players' repeated interaction. This note, while sharing that view, illustrates and advocates combined use of convex optimization and differential equations, the purpose...
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A Class of Sixth Order Hybrid Extended Block Backward Differentiation Formulae for Computational Solutions of First Order Delay Differential Equation
Chibuisi, C.; Osu, Bright O.; Ihedioha, S. A.; Olunkwa, C. - 2021
In this paper, we established and carried-out the computational solution of some first order delay differential equations (DDEs) using hybrid extended backward differentiation formulae method in block forms without the application of interpolation techniques in determining the delay term. The...
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The Solution of Stochastic Time-Dependent First Order Delay Differential Equations Using Block Simpson’s Methods
Osu, Bright O.; Chibuisi, C.; Egbe, G. A.; Egenkonye, V. C. - 2021
discrete schemes was worked-out in block forms to solve some stochastic time-dependent first order delay differential equations. It was observed that the scheme for step number k = 4 performed better and faster in terms of accuracy than the schemes for step number k = 3 and 2 respectively after...
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The Introduction of Extrapolated Block Adams Moulton Methods for Solving First-order Delay Differential Equations
Chibuisi, C.; Osu, Bright O.; Ihedioha, S. A.; Olunkwa, C. - 2021
In this paper, the discrete schemes of extrapolated block Adams Moulton methods were obtained through the continuous formulation of the linear multistep collocation method by matrix inversion approach for the numerical solutions of first-order delay differential equations (DDEs) without the use...
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Unbiased deep solvers for linear parametric PDEs
Sabate Vidales, Marc; Siska, David; Szpruch, Łukasz - In: Applied mathematical finance 28 (2021) 4, pp. 299-329
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'Ito's Lemma' and the Bellman Equation for Poisson Processes : An Applied View
Sennewald, Ken; Wälde, Klaus - 2021
Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a Poisson process. Our results can be derived because of the...
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On the Long-Run Evolution of Technological Knowledge
Hakenes, Hendrik; Irmen, Andreas - 2021
This paper revisits the debate about the appropriate differential equation that governs the evolution of knowledge in models of endogenous growth. We argue that the assessment of the appropriateness of an equation of motion should not only be based on its implications for the future, but that it...
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A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - Revised in August, November 2021, January and February 2022
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Supplementary file for "sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"
Saito, Taiga; Takahashi, Akihiko - 2021 - Revised in March 2021
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Asymptotic expansion and deep neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with nonlinear coeffi...
Takahashi, Akihiko; Yamada, Toshihiro - 2021
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Exponentially fitted block backward differentiation formulas for pricing options
Jator, S. N.; Sahi, R. K.; Akinyemi, M. I.; Nyonna, D. - In: Cogent economics & finance 9 (2021) 1, pp. 1-18
A family of Exponentially Fitted Block Backward Differentiation Formulas (EFBBDFs) whose coefficients depend on a parameter and step-size is developed and implemented on the Black-Scholes partial differential equation (PDE) for the valuation of options on a non-dividend-paying stock. Specific...
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Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas - In: Finance and stochastics 27 (2023) 1, pp. 97-126
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Asymptotic Expansion for the Transition Densities of Stochastic Differential Equations Driven by the Gamma Processes
Jiang, Fan - 2020
In this paper, enlightened by the asymptotic expansion methodology developed by Li (2013b) and Li and Chen (2016), we propose a Taylor-type approximation for the transition densities of the stochastic differential equations (SDEs) driven by the gamma processes, a special type of Levy processes....
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Deep Learning-Based Least Square Forward-Backward Stochastic Differential Equation Solver for High-Dimensional Derivative Pricing
Liang, Jian - 2020
We propose a new forward-backward stochastic differential equation solver for highdimensional derivative pricing problems by combining deep learning solver with least square regression technique widely used in the least square Monte Carlo method for the valuation of American options. Our...
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Why Forrester Wished to Replace Both Differential Equations and Economics?
Saeed, Khalid - 2020
While many eminent economists have expressed disdain about the abstract nature of contemporary economic theory and how it is removed from reality, few offer a cogent solution to this problem. Jay Forrester, a control engineer turned economist proposed replacing the abstract economic model with a...
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From Reflecting Brownian Motion to Reflected Stochastic Differential Equations : A Systematic Survey and Complementary Study
Wang, Yunwen - 2020
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is further conducted on the existence of solutions for a few...
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Efficient Simulation of Stochastic Differential Equations Based on Markov Chain Approximations With Applications
Cui, Zhenyu - 2020
We propose a novel Monte Carlo simulation method for two-dimensional stochastic differential equation (SDE) systems based on approximation through continuous-time Markov chains (CTMCs). Specifically, we propose an efficient simulation framework for asset prices under general stochastic local...
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Linear stochastic models in discrete and continuous time
Pollock, David Stephen G. - In: Econometrics : open access journal 8 (2020) 3/35, pp. 1-22
The econometric data to which autoregressive moving-average models are commonly applied are liable to contain elements from a limited range of frequencies. If the data do not cover the full Nyquist frequency range of [0,π] radians, then severe biases can occur in estimating their parameters....
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The fractional step method versus the radial basis functions for option pricing with correlated stochastic processes
Kagraoka, Yusho - In: International Journal of Financial Studies : open … 8 (2020) 4/77, pp. 1-13
In option pricing models with correlated stochastic processes, an option premium is commonly a solution to a partial differential equation (PDE) with mixed derivatives in more than two space dimensions. Alternating direction implicit (ADI) finite difference methods are popular for solving a PDE...
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Effect of variance swap in hedging volatility risk
Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34
This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the financial market is complete and contains three primitive...
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Numerical algorithms for reflected anticipated backward stochastic differential equations with two obstacles and default risk
Wang, Jingnan; Korn, Ralf - In: Risks : open access journal 8 (2020) 3/72, pp. 1-30
We study numerical algorithms for reflected anticipated backward stochastic differential equations (RABSDEs) driven by a Brownian motion and a mutually independent martingale in a defaultable setting. The generator of a RABSDE includes the present and future values of the solution. We introduce...
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Mathematical analysis as a source of mainstream economic ideology
Missos, Vlassis - In: Economic thought 9 (2020) 1, pp. 72-95
The paper contends that neoclassical ideology stems, to a great extent, from mathematical analysis. It is suggested that mainstream economic thought can be comprehensively revisited if both histories of mathematical and economic thought are to be taken collaboratively into account. Ideology is...
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Solving Nonlinear Integral Equations and Nonlinear Integro – Differential Equations Using Laplace Adomian Decomposition Method Through Sagemath
Kaliyappan, M. - 2020
Adomain decomposition method is a powerful technique to solve nonlinear differential equations and nonlinear Integro - differential equations. This paper presents a novel way of computing Adomian polynomials for nonlinear terms occur in nonlinear differential equations through partial Bell...
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Backward Stochastic Differential Equations under Enlarged Filtrations
Hess, Markus - 2020
We provide solution formulas for (linear and non-linear) jump-diffusion backward stochastic differential equations (BSDEs) under diverse enlarged filtration approaches. We also derive a comparison theorem for BSDEs in an enlarged filtration framework and present several applications of our...
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A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics
Kremsner, Stefan; Steinicke, Alexander; Szölgyenyi, … - In: Risks : open access journal 8 (2020) 4/136, pp. 1-18
In insurance mathematics, optimal control problems over an infinite time horizon arise when computing risk measures. An example of such a risk measure is the expected discounted future dividend payments. In models which take multiple economic factors into account, this problem is...
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All symmetric equilibria in differential games with public goods
Jaakkola, Niko; Wagener, Florian Oskar Ottokar - 2020
We characterise the entire set of symmetric stationary Markov-perfect Nash equilibria (MPE) in a differential game of public good investment, using the canonical problem of climate change as an example. We provide a sufficient and necessary condition for MPE and show how the entire set of MPE is...
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Mehrdimensionale Analysis und nichtlineare Optimierung
Dietz, Hans M. - 2022 - 3. Auflage
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Konstruktion, Berechnung und Eigenschaften des deutschen Einkommensteuertarifs : praktische Beispiele mit Excel
Pfeifer, Andreas - 2022
Das Buch gibt einen Überblick über alle wichtigen Begriffe rund um den Einkommensteuertarif, wie Grenzsteuersatz oder kalte Progression, um nur zwei zu nennen. Die Begriffe werden nicht nur erklärt, sondern auch mit genauen Berechnungen und Beispielen dargelegt. Das Buch eignet sich für...
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The inequities of global adaptation to climate change
Edmonds, H. K.; Lovell, C. A. Knox; Lovell, J. E. - 2022
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Maximum principle for general partial information nonzero sum stochastic differential games and applications
Nie, Tianyang; Wang, Falei; Yu, Zhiyong - In: Dynamic games and applications : DGA 12 (2022) 2, pp. 608-631
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Generalized separability and integrability : consumer demand with a price aggregator
Fally, Thibault - 2022
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Generalized Separability and Integrability : Consumer Demand with a Price Aggregator
Fally, Thibault - National Bureau of Economic Research - 2022
This paper examines demand systems where the demand for a good depends on other prices only through a common price aggregator (a scalar function of all prices). We refer to this property as ``generalized separability'' and provide the functional forms of demand that this property implies when...
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