Pages that link to "Item:Q363861"

The following pages link to Mimicking an Itō process by a solution of a stochastic differential equation (Q363861):

Displaying 46 items.

• A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time (Q645596) (← links)
• On the drawdowns and drawups in diffusion-type models with running maxima and minima (Q890509) (← links)
• Tensor approximation of generalized correlated diffusions and functional copula operators (Q1703029) (← links)
• Probabilistic approach to finite state mean field games (Q1987323) (← links)
• The Markov-quantile process attached to a family of marginals (Q2065092) (← links)
• From Bachelier to Dupire via optimal transport (Q2072111) (← links)
• Control and optimal stopping mean field games: a linear programming approach (Q2076633) (← links)
• \(N\)-player games and mean-field games with smooth dependence on past absorptions (Q2077351) (← links)
• Large deviations for interacting multiscale particle systems (Q2105066) (← links)
• McKean-Vlasov optimal control: the dynamic programming principle (Q2129699) (← links)
• Inverting the Markovian projection, with an application to local stochastic volatility models (Q2212591) (← links)
• Mean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market model (Q2229568) (← links)
• Path dependent optimal transport and model calibration on exotic derivatives (Q2240848) (← links)
• Non-equivalence of stochastic optimal control problems with open and closed loop controls (Q2242892) (← links)
• Mean field games via controlled martingale problems: existence of Markovian equilibria (Q2348305) (← links)
• On the Markovian projection in the Brunick-Shreve mimicking result (Q2446711) (← 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)
• Hitting Times, Occupation Times, Trivariate Laws and the Forward Kolmogorov Equation for a One-Dimensional Diffusion with Memory (Q2856040) (← links)
• On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Itô processes (Q2944909) (← links)
• Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion (Q2962132) (← links)
• Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models (Q4562237) (← links)
• Option pricing in the moderate deviations regime (Q4581294) (← links)
• Analysis of VIX Markets with a Time-Spread Portfolio (Q4585683) (← links)
• Low-Dimensional Approximations of High-Dimensional Asset Price Models (Q4990516) (← links)
• Quadratic transportation inequalities for SDEs with measurable drift (Q4992940) (← links)
• A forward equation for barrier options under the Brunick & Shreve Markovian projection (Q5001174) (← links)
• Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589) (← links)
• Stochastic Control of Optimized Certainty Equivalents (Q5097215) (← links)
• Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures (Q5112529) (← links)
• Limit Theory for Controlled McKean--Vlasov Dynamics (Q5346511) (← links)
• Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction (Q5879352) (← links)
• Volatility is (mostly) path-dependent (Q6053108) (← links)
• Calibration of local‐stochastic volatility models by optimal transport (Q6054403) (← links)
• Reconstructing volatility: Pricing of index options under rough volatility (Q6054443) (← links)
• Marginal dynamics of interacting diffusions on unimodular Galton-Watson trees (Q6070367) (← links)
• Mean field games with absorption and common noise with a model of bank run (Q6072906) (← links)
• Sharp uniform-in-time propagation of chaos (Q6095842) (← links)
• Optimal control of the Fokker-Planck equation under state constraints in the Wasserstein space (Q6105325) (← links)
• Closed-loop convergence for mean field games with common noise (Q6109922) (← links)
• Markov projection of semimartingales -- application to comparison results (Q6115255) (← links)
• ROUGH-HESTON LOCAL-VOLATILITY MODEL (Q6119773) (← links)
• Hierarchies, entropy, and quantitative propagation of chaos for mean field diffusions (Q6168067) (← links)
• Superposition and mimicking theorems for conditional McKean-Vlasov equations (Q6172698) (← links)
• Local volatility under rough volatility (Q6187367) (← links)