Error calculus for finance and physics. The language of Dirichlet forms.
DOI10.1515/9783110199291zbMATH Open1110.60001OpenAlexW8206649MaRDI QIDQ1887348FDOQ1887348
Authors: Nicolas Bouleau 
Publication date: 24 November 2004
Published in: De Gruyter Expositions in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/9783110199291
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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)
Cited In (13)
- Error Calculus and Path Sensitivity in Financial Models
- Dirichlet forms methods: an application to the propagation of the error due to the Euler scheme
- 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
- Optimal credit allocation under regime uncertainty with sensitivity analysis
- Stochastic sensitivity study for optimal credit allocation
- 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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