Asymptotic solutions of diffusion models for risk reserves

DOI10.1155/S0161171203208231zbMath1028.60062MaRDI QIDQ1415076

D. Massart

Publication date: 3 December 2003

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/50488

zbMATH Keywords

stochastic differential equation; asymptotic solutions; conditional probability

Mathematics Subject Classification ID

35B25: Singular perturbations in context of PDEs

35K20: Initial-boundary value problems for second-order parabolic equations

60H15: Stochastic partial differential equations (aspects of stochastic analysis)