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Numerical solution of stochastic differential equations · Study

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ArticleNumerical solution of stochastic differential equations

Denis Talay1994

Article1994

Numerical solution of stochastic differential equations

395 citations·0/0 files stored·Stochastics and stochastics reports

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Stochastic processes and financial applications Numerical methods for differential equations Fuzzy Systems and Optimization

Abstract

Numerical solution of stochastic differential equations, P. E. Kioeden and E. Platen, Springer-Verlag (1992). 632 pp. $59.00 ISBN 0-386-54062-8

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2009NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH 2005Portfolio optimization with unobservable Markov-modulated drift process 2002GARCH vs. stochastic volatility: Option pricing and risk management 2010On mean-variance portfolio selection under a hidden Markovian regime-switching model 2004The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps 2001The Optimal Discretization of Stochastic Differential Equations 2003SOLVING STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS BASED ON THE EXPERIMENTAL DATA 2006Structure preserving stochastic integration schemes in interest rate derivative modeling

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Year1994

Typearticle

Published1994-03-01

VenueStochastics and stochastics reports

ISSN-L1026-7794

Languageen

Citations395

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1080/17442509408833885

openalex_workW2072964096

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