Error calculus for finance and physics. The language of Dirichlet forms.
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Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Error analysis and interval analysis (65G99) Financial applications of other theories (91G80) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)
Recommendations
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- Applications of the error theory using Dirichlet forms.
- Dirichlet Forms in Simulation
- On the absolute continuity of random nodal volumes
- Error structures and parameter estimation.
- Some historical aspects of error calculus by Dirichlet forms
- When and how an error yields a Dirichlet form
- Stochastic sensitivity study for optimal credit allocation
- Optimal credit allocation under regime uncertainty with sensitivity analysis
- Improving Monte Carlo simulations by Dirichlet forms
- Application of the lent particle method to Poisson-driven SDEs
- Superconvergence phenomenon in Wiener chaoses
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