Numerical Solution of Stochastic Differential Equations with Jumps in Finance docx

... x i j ∈ d and t i j ∈T determines its probability law. E. Platen, N. Bruti-Liberati, Numerical Solution of Stochastic Differential Equations with Jumps in Finance, Stochastic Modelling and Applied Probability ... uniqueness of solutions of SDEs. These tools and results provide the basis for the application and numerical solution of stochastic differential equati...

Ngày tải lên: 28/06/2014, 17:20

... approximation of SDEs with jumps represents the focus of the monograph. The reader learns about powerful numerical methods for the solution of SDEs with jumps. These need to be implemented with care. ... Engineers, quantitative analysts and others with a more technical back- ground in mathematical and quantitative methods who are interested in applying stochastic di...

Ngày tải lên: 19/02/2014, 22:20

... asymptotic stability of the non- linear impulsive stochastic differential equations and the impulsive stochastic partial differential equations with infinite delays by means of the fixed point theory. ... Fixed point and exponential p-stability of neutral stochastic differential equations with multiple delays. Proceedings of the 2010 IEEE International Conference...

Ngày tải lên: 20/06/2014, 22:20

... [10–12]. In [13], the authors discusses the existence of univalent solutions for fractional integral equations with maxima in complex domain, by using technique associated with measures of non-compactness. In ... exciting new mathematical method of solution of diverse problems in mathematics, science, and engineering. Indeed, recent advances of fractional cal- culus...

Ngày tải lên: 21/06/2014, 17:20

... stability of stochastic linear systems with nonincreasing delays,” Functional Differential Equations, vol. 4, no. 3-4, pp. 279–293, 1997. 9 K. Liu, Stability of In nite Dimensional Stochastic ... Stochastic Differential Equations with Variable Delays Meng Wu, 1 Nan-jing Huang, 1 and Chang-Wen Zhao 2 1 Department of Mathematics, Sichuan University, Chengdu, Sichuan 61006...

Ngày tải lên: 21/06/2014, 23:20

... point of G in X if x = Gx and x ≤ y, whenever y ∈ X and y = Gy. The greatest fixed point of G in X is defined similarly by reversing the inequality. If both least and greatest fixed points of G in ... any other integral solution x of IVP (1.1)-(1.2)onJ, one has that x(t) ≤ x M (t)foreacht ∈ J. Similarly, a minimal integral solution of IVP (1.1)-(1.2) is defined by reversing th...

Ngày tải lên: 22/06/2014, 22:20

... Statement of Main Theorem We begin this section with a definition of the solution of 1.1. Definition 2.1. A continuous function x : R → R is called a solution of 1.1 if the following conditions ... Spectrum of Almost Periodic Solution of Second-Order Neutral Delay Differential Equations with Piecewise Constant of Argument Li Wang and Chuanyi Zhang Department of...

Ngày tải lên: 21/06/2014, 20:20

... section, we are interested in finding conditions such that the solution of Eq.(4) in the case µ = 0 will be asymptotic equivalence to the solution of Eq.(4) in the case µ = 0 (in the following we will ... conditions of stable and asymptotic equivalence (see [1-5]) of linear delay differential equations under nonlinear perturbation in Banach space. The obtained result...

Ngày tải lên: 22/03/2014, 11:20

... integro -differential equations with deviating arguments. J Comput Appl Math 2009, 225:602-611. 45. Wang G: Boundary value problems for systems of nonlinear integro -differential equations with deviating arguments. ... for non-linear differential equations of fractional order. Nonlinear Anal 2011, 74:792-804. 34. Zhang L, Wang G: Existence of solutions for nonlinear fracti...

Ngày tải lên: 21/06/2014, 03:20

... unique solution on 0, 1. 4. Conclusions This paper studies the existence and uniqueness of solutions for nonlinear integro-differential equations of fractional order q ∈ 1, 2 with three-point ... and reproduction in any medium, provided the original work is properly cited. We prove the existence and uniqueness of solutions for nonlinear integro-differential equations of fr...

Ngày tải lên: 21/06/2014, 16:20