Density analysis of non-Markovian BSDEs and applications to biology and finance
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Publication:681991
DOI10.1016/j.spa.2017.06.009zbMath1390.60218arXiv1602.06101OpenAlexW2963431033MaRDI QIDQ681991
Publication date: 13 February 2018
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.06101
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Protein sequences, DNA sequences (92D20) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (4)
BSDEs and Enlargement of Filtration ⋮ Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes ⋮ A computational method for solving stochastic Itô-Volterra integral equation with multi-stochastic terms ⋮ Gaussian-type density bounds for solutions to multidimensional backward SDEs and application to gene expression
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