Numerical Solution of Stochastic Differential Equations: Diffusion and Jump-Diffusion Processes

Understanding Complex Systems - Analysis and Data-Based Reconstruction of Complex Nonlinear Dynamical Systems ◽

10.1007/978-3-030-18472-8_14 ◽

2019 ◽

pp. 129-142

Author(s):

M. Reza Rahimi Tabar

Keyword(s):

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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ADJOINT FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY JUMP DIFFUSION PROCESSES AND ITS APPLICATION TO NONLINEAR FILTERING PROBLEMS

International Journal for Uncertainty Quantification ◽

10.1615/int.j.uncertaintyquantification.2019028300 ◽

2019 ◽

Vol 9 (2) ◽

pp. 143-159

Author(s):

Feng Bao ◽

Yanzhao Cao ◽

Hongmei Chi

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Nonlinear Filtering ◽

Diffusion Processes ◽

Jump Diffusion ◽

Backward Stochastic Differential Equations ◽

Jump Diffusion Processes

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Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations

Science China Mathematics ◽

10.1007/s11425-019-1677-5 ◽

2021 ◽

Author(s):

Na Li ◽

Jie Xiong ◽

Zhiyong Yu

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Diffusion Processes ◽

Jump Diffusion ◽

Backward Stochastic Differential Equations ◽

Stackelberg Games ◽

Linear Quadratic ◽

Jump Diffusion Processes

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Stochastic transforms for jump diffusion processes combined with related backward stochastic differential equations

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2014.12.033 ◽

2015 ◽

Vol 425 (2) ◽

pp. 704-725 ◽

Author(s):

Na Li ◽

Zhen Wu

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Diffusion Processes ◽

Jump Diffusion ◽

Backward Stochastic Differential Equations ◽

Jump Diffusion Processes

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Real Options Under Jump Diffusion Processes: What Types of Jumps?

SSRN Electronic Journal ◽

10.2139/ssrn.1361576 ◽

2009 ◽

Author(s):

Xianfeng Jiang ◽

Yongdong Shi ◽

George J. Jiang

Keyword(s):

Real Options ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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Perpetual American Put with Spectrally Negative Jump - Uniform & Binomial Jump Diffusion Processes

SSRN Electronic Journal ◽

10.2139/ssrn.2543719 ◽

2014 ◽

Author(s):

Binh Thanh Dao ◽

Monique Jeanblanc ◽

Nadine Bellamy

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

American Put ◽

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Estimation of Jump-Diffusion Processes via Empirical Characteristic Functions

SSRN Electronic Journal ◽

10.2139/ssrn.675202 ◽

2005 ◽

Author(s):

Michael Rockinger ◽

Maria Semenova

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Characteristic Functions ◽

Jump Diffusion Processes

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Pricing American Options on Jump-Diffusion Processes Using Fourier Hermite Series Expansions

SSRN Electronic Journal ◽

10.2139/ssrn.893090 ◽

2005 ◽

Author(s):

Carl Chiarella ◽

Andrew Ziogas

Keyword(s):

Diffusion Processes ◽

American Options ◽

Jump Diffusion ◽

Series Expansions ◽

Jump Diffusion Processes ◽

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Jump diffusion processes and their applications in insurance and finance

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2006.09.006 ◽

2007 ◽

Vol 41 (1) ◽

pp. 62-70 ◽

Author(s):

Jiwook Jang

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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Capacity expansion with exponential jump diffusion processes

Stochastics and Stochastics Reports ◽

10.1080/1045112031000155696 ◽

2003 ◽

Vol 75 (4) ◽

pp. 259-274 ◽

Author(s):

Hui Wang

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Capacity Expansion ◽

Jump Diffusion Processes

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Comment on “Diffusion processes in composite porous media and their numerical integration by random walks: Generalized stochastic differential equations with discontinuous coefficients” by E. M. LaBolle, J. Quastel, G. E. Fogg, and J. Gravner

Water Resources Research ◽

10.1029/2005wr004091 ◽

2006 ◽

Vol 42 (2) ◽

Author(s):

Doo-Hyun Lim

Keyword(s):

Porous Media ◽

Differential Equations ◽

Random Walks ◽

Stochastic Differential Equations ◽

Numerical Integration ◽

Diffusion Processes ◽

Discontinuous Coefficients

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