scientific article; zbMATH DE number 2134060

MaRDI QIDQ3159200zbMATH OpenFDO

Authors Shige Peng

Publication date 15 February 2005

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(4)

• A random Laplace transform method for solving random mixed parabolic differential problems
• Stochastic transforms for jump diffusion processes combined with related backward stochastic differential equations
• Stochastic Laplace transform with applications
• Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions

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