Mean stochastic comparison of diffusions
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Publication:3322949
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- Liapunov criteria for weak stochastic stability
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(28)- A comparison principle for certain convex functionals of a diffusion process without drift
- Volatility time and properties of option prices
- Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
- Pricing European passport option with radial basis function
- Monotone convex order for the McKean-Vlasov processes
- Dynamics of observables in rank-based models and performance of functionally generated portfolios
- Comparison results for stochastic volatility models via coupling
- Fake exponential Brownian motion
- On stochastic ordering for diffusion with jumps and applications
- Comparison theorems for neutral stochastic functional differential equations
- A note on applications of stochastic ordering to control problems in insurance and finance
- Stochastic ordering of diffusion process and application on partial differential equations
- Polynomial diffusions and applications in finance
- The mean comparison theorem cannot be extended to the Poisson case
- On a class of diverse market models
- Comparison of solutions of stochastic equations and applications
- Generalisation of Hajek's stochastic comparison results to stochastic sums
- Options on a traded account: symmetric treatment of the underlying assets
- Comparison theorem for stochastic functional differential equations and applications
- CLA's, PLA's and a new method for pricing general passport options
- Convex order for path-dependent derivatives: a dynamic programming approach
- Linear stochastic dividend model
- A maximum a posteriori estimator for trajectories of diffusion processes
- A maximum a posteriori estimator for trajectories of diffusion processes
- Functional convex order for the scaled McKean-Vlasov processes
- Measure-valued affine and polynomial diffusions
- Mean field systems on networks, with singular interaction through hitting times
- A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
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