Error calculus for finance and physics. The language of Dirichlet forms.
From MaRDI portal
(Redirected from Publication:1887348)
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
- Some historical aspects of error calculus by Dirichlet forms
- When and how an error yields a Dirichlet form
- Dirichlet forms methods: an application to the propagation of the error due to the Euler scheme
- Lipschitzian complete error calculus and Dirichlet forms
- Error structures and parameter estimation.
Cited in
(13)- Dirichlet Forms in Simulation
- Superconvergence phenomenon in Wiener chaoses
- Optimal credit allocation under regime uncertainty with sensitivity analysis
- Error structures and parameter estimation.
- Stochastic sensitivity study for optimal credit allocation
- When and how an error yields a Dirichlet form
- Error Calculus and Path Sensitivity in Financial Models
- Improving Monte Carlo simulations by Dirichlet forms
- Application of the lent particle method to Poisson-driven SDEs
- Applications of the error theory using Dirichlet forms.
- On the absolute continuity of random nodal volumes
- Dirichlet forms methods: an application to the propagation of the error due to the Euler scheme
- Some historical aspects of error calculus by Dirichlet forms
This page was built for publication: Error calculus for finance and physics. The language of Dirichlet forms.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1887348)