On explicit local solutions of Itô diffusions

DOI10.1016/j.jmaa.2018.12.067zbMath1478.60178OpenAlexW2907467494MaRDI QIDQ1733803

Michael A. Kouritzin, Bruno Rémillard

Publication date: 21 March 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2018.12.067

zbMATH Keywords

diffeomorphismexplicit solutionsItô processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items

EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic flows and Taylor series
• Higher-order implicit strong numerical schemes for stochastic differential equations
• On the gap between deterministic and stochastic ordinary differential equations
• Asymptotic expansion of stochastic flows
• VIX-linked fees for GMWBs via explicit solution simulation methods
• The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations
• Stochastic differential equations and Nilpotent Lie algebras
• On exact filters for continuous signals with discrete observations
• On explicit solutions to stochastic differential equations
• EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING
• Stochastic expansions and Hopf algebras
• BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options