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scientific article; zbMATH DE number 7049505

Language	Label	Description	Also known as
English	No label defined	scientific article; zbMATH DE number 7049505

Statements

scholarly article

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Didier Alain Njamen Njomen

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Louis Aimé Fono

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publication date

30 April 2019

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full work available at URL

https://www.ejpam.com/index.php/ejpam/article/view/3395

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zbMATH Keywords

Brownian motion

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fractional processes

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mixed fractional Brownian

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Heston mode

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Monte Carlo algorithm

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MaRDI profile type

MaRDI publication profile

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Existence of global solutions and invariant measures for stochastic differential equations driven by Poisson type noise with non-Lipschitz coefficients

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Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\)

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Stochastic integration with respect to the fractional Brownian motion

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Approximations to mild solutions of stochastic semilinear equations with non-Lipschitz coefficients

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One Dimensional Stochastic Differential Equations with No Strong Solution

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Numerical Valuation of High Dimensional Multivariate European Securities

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Stochastic Calculus for Fractional Brownian Motion and Applications

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Stochastic integration with respect to fractional Brownian motion

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Mixed fractional Brownian motion

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Mixed stochastic differential equations: existence and uniqueness result

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Stochastic Calculus for Fractional Brownian Motion I. Theory

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

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THE LAW OF A STOCHASTIC INTEGRAL WITH TWO INDEPENDENT BIFRACTIONAL BROWNIAN MOTIONS

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Fractional Brownian Motions, Fractional Noises and Applications

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Mixed fractional Heston model and the pricing of American options

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Stochastic calculus for fractional Brownian motion and related processes.

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Forward, backward and symmetric stochastic integration

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The existence and uniqueness of energy solutions to local non-Lipschitz stochastic evolution equations

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Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion

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On a comparison theorem for solutions of stochastic differential equations and its applications

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On the successive approximation of solutions of stochastic differential equations

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On the uniqueness of solutions of stochastic differential equations

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

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