Pages that link to "Item:Q1067301"

The following pages link to Mimicking the one-dimensional marginal distributions of processes having an Ito differential (Q1067301):

Displaying 50 items.

• Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation (Q330697) (← links)
• Mimicking an Itō process by a solution of a stochastic differential equation (Q363861) (← links)
• A Schauder approach to degenerate-parabolic partial differential equations with unbounded coefficients (Q389738) (← links)
• On the Markov property of some Brownian martingales (Q449234) (← links)
• Absolute continuity for some one-dimensional processes (Q453264) (← links)
• On the calibration of local jump-diffusion asset price models (Q484208) (← links)
• Iterated stochastic processes: simulation and relationship with high order partial differential equations (Q518860) (← links)
• A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time (Q645596) (← links)
• Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (Q661267) (← links)
• On the drawdowns and drawups in diffusion-type models with running maxima and minima (Q890509) (← links)
• Identification of the local speed function in a Lévy model for option pricing (Q935180) (← links)
• Mimicking finite dimensional marginals of a controlled diffusion by simpler controls (Q1118906) (← links)
• A strong approximation theorem for stochastic recursive algorithms (Q1289391) (← links)
• On the regularization effect of space-time white noise on quasi-linear parabolic partial differential equations (Q1326249) (← links)
• Tensor approximation of generalized correlated diffusions and functional copula operators (Q1703029) (← links)
• Tangent Lévy market models (Q1761433) (← links)
• A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs (Q1998126) (← links)
• Pricing variable annuity guarantees in a local volatility framework (Q2015631) (← links)
• The Markov-quantile process attached to a family of marginals (Q2065092) (← links)
• From Bachelier to Dupire via optimal transport (Q2072111) (← links)
• Shadow martingales -- a stochastic mass transport approach to the peacock problem (Q2082703) (← links)
• Large deviations for interacting multiscale particle systems (Q2105066) (← links)
• Extended mean field control problem: a propagation of chaos result (Q2119694) (← links)
• A new class of multidimensional Wishart-based hybrid models (Q2145697) (← links)
• Expectation of local times and the Dupire formula (Q2145798) (← links)
• The mean field Schrödinger problem: ergodic behavior, entropy estimates and functional inequalities (Q2200503) (← links)
• The calibration of stochastic local-volatility models: an inverse problem perspective (Q2204027) (← links)
• Inverting the Markovian projection, with an application to local stochastic volatility models (Q2212591) (← links)
• The multivariate mixture dynamics model: shifted dynamics and correlation skew (Q2241131) (← links)
• Non-equivalence of stochastic optimal control problems with open and closed loop controls (Q2242892) (← links)
• Extreme at-the-money skew in a local volatility model (Q2274223) (← links)
• Volatility and volatility-linked derivatives: estimation, modeling, and pricing (Q2292042) (← links)
• Jarzynski's equality, fluctuation theorems, and variance reduction: mathematical analysis and numerical algorithms (Q2315152) (← links)
• Mean field games via controlled martingale problems: existence of Markovian equilibria (Q2348305) (← links)
• On extremal solutions to stochastic control problems. II (Q2366883) (← links)
• Pathwise estimates for an effective dynamics (Q2402426) (← links)
• Fake exponential Brownian motion (Q2435766) (← links)
• On the Markovian projection in the Brunick-Shreve mimicking result (Q2446711) (← links)
• Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme (Q2454403) (← links)
• Risk aggregation and stochastic claims reserving in disability insurance (Q2514610) (← links)
• Forward equations for option prices in semimartingale models (Q2516772) (← links)
• Dynamic programming for ergodic control with partial observations. (Q2574544) (← links)
• On the convergence of closed-loop Nash equilibria to the mean field game limit (Q2657922) (← links)
• Stationary solutions and local equations for interacting diffusions on regular trees (Q2679701) (← links)
• Renegotiation and dynamic inconsistency: contracting with non-exponential discounting (Q2685861) (← links)
• STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS (Q2799999) (← links)
• Coupling index and stocks (Q2869971) (← links)
• REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY (Q2939925) (← links)
• THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION (Q2941062) (← links)
• On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Itô processes (Q2944909) (← links)