[BOOK][B] Stochastic partial differential equations
In this chapter we will apply the general theory developed in Chapter 2 to solve various
stochastic partial differential equations (SPDEs). In fact, as pointed out in Chapter 1, our …
stochastic partial differential equations (SPDEs). In fact, as pointed out in Chapter 1, our …
[BOOK][B] Malliavin calculus for Lévy processes with applications to finance
GD Nunno, B Øksendal, F Proske - 2008 - Springer
The purpose of this chapter is to present an overview of recent results on stochastic control,
in particular, portfolio optimization, achieved via techniques of Malliavin calculus and …
in particular, portfolio optimization, achieved via techniques of Malliavin calculus and …
White noise analysis for Lévy processes
We construct a white noise theory for Lévy processes. The starting point of this theory is a
chaos expansion for square integrable random variables. We use this approach to Malliavin …
chaos expansion for square integrable random variables. We use this approach to Malliavin …
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
We use a white noise approach to Malliavin calculus to prove the following white noise
generalization of the Clark-Haussmann-Ocone formula F(ω)=EF+\int_0^TED_tF|\F_t …
generalization of the Clark-Haussmann-Ocone formula F(ω)=EF+\int_0^TED_tF|\F_t …
Exact solutions for stochastic KdV equations
Y **e - Physics Letters A, 2003 - Elsevier
Exact solutions for stochastic KdV equations - ScienceDirect Skip to main contentSkip to
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article Elsevier logo Journals & Books Search RegisterSign in View PDF Download full …
Malliavin calculus and anticipative Itô formulae for Lévy processes
We introduce the forward integral with respect to a pure jump Lévy process and prove an Itô
formula for this integral. Then we use Mallivin calculus to establish a relationship between …
formula for this integral. Then we use Mallivin calculus to establish a relationship between …
Traveling wave solutions of some important Wick-type fractional stochastic nonlinear partial differential equations
In this article, exact traveling wave solutions of a Wick-type stochastic nonlinear Schrödinger
equation and of a Wick-type stochastic fractional Regularized Long Wave-Burgers (RLW …
equation and of a Wick-type stochastic fractional Regularized Long Wave-Burgers (RLW …
[PDF][PDF] White noise functional solutions for Wick-type stochastic fractional KdV-Burgers-Kuramoto equations
This paper is devoted to give white noise functional solutions for the Wick-type stochastic
generalized fractional KdV-Burgers-Kuramoto equations with space-fractional derivatives …
generalized fractional KdV-Burgers-Kuramoto equations with space-fractional derivatives …
Abundant solutions of Wick-type stochastic fractional 2D KdV equations
A modified fractional sub-equation method is applied to Wick-type stochastic fractional two-
dimensional (2D) KdV equations. With the help of a Hermit transform, we obtain a new set of …
dimensional (2D) KdV equations. With the help of a Hermit transform, we obtain a new set of …
The fractional coupled KdV equations: Exact solutions and white noise functional approach
HA Ghany, ASO El Bab, AM Zabel… - Chinese Physics B, 2013 - iopscience.iop.org
Variable coefficients and Wick-type stochastic fractional coupled KdV equations are
investigated. By using the modified fractional sub-equation method, Hermite transform, and …
investigated. By using the modified fractional sub-equation method, Hermite transform, and …