SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Properties of solutions of stochastic differential equations with continuous-state-dependent switching
5 references·1 citing·15 second hop
Properties of solutions of stochastic differential equations with continuous-state-dependent switching (2010)Properties of solutions of stochastic dif…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Stochastic differential equations and applications (2008)Stochastic differential equat…Stochastic Differential Equations—An Introduction With Applications (2006)Stochastic Differential Equat…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations (2013)Feynman-Kac formula for switc…Stochastic Differential Equations and Applications (1976)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Modeling Term Structures of Defaultable Bonds (1999)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Solving elliptic boundary value problems with uncertain coefficients by the finite element method: the stochastic formulation (2004)An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations (2009)
this work references cited by second hop

References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2008Stochastic differential equations and applications4,595 cited
  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 2006Stochastic Differential Equations—An Introduction With Applications1,648 cited

Cited by

  • 2013Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations27 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work