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Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations
8 references·0 citing·22 second hop
Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations (2013)Feynman-Kac formula for switching diffusi…Stochastic Differential Equations and Applications (2010)Stochastic Differential Equat…Properties of solutions of stochastic differential equations with continuous-state-dependent switching (2010)Properties of solutions of st…Hybrid Switching Diffusions: Properties and Applications (2010)Hybrid Switching Diffusions: …Hybrid Switching Diffusions (2009)Hybrid Switching DiffusionsStochastic differential equations and applications (2008)Stochastic differential equat…Stochastic differential equations and their applications (1997)Stochastic differential equat…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…Numerical solution of stochastic differential equations (2016)BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients (2010)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)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)Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods (2013)Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space (2015)Certain properties related to well posedness of switching diffusions (2017)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)REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING (2010)Positive recurrence of piecewise Ornstein–Uhlenbeck processes and common quadratic Lyapunov functions (2013)Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems (2020)Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency (2013)Boundary conditions for the single-factor term structure equation (2016)An overview on uncertainty quantification and probabilistic learning on manifolds in multiscale mechanics of materials (2023)
this work references cited by second hop

References

  • 2008Stochastic differential equations and applications4,595 cited
  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 1997Stochastic differential equations and their applications1,351 cited
  • 2009Hybrid Switching Diffusions434 cited
  • 2010Hybrid Switching Diffusions: Properties and Applications383 cited
  • 2010Stochastic Differential Equations and Applications348 cited
  • 2010Properties of solutions of stochastic differential equations with continuous-state-dependent switching40 cited

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