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of 259
pro vyhledávání: '"Bismut–Elworthy–Li formula"'
Optimal control theory aims to find an optimal protocol to steer a system between assigned boundary conditions while minimizing a given cost functional in finite time. Equations arising from these types of problems are often non-linear and difficult
Externí odkaz:
http://arxiv.org/abs/2411.08518
Autor:
Tahmasebi, M.
In this work, we will show the existence, uniqueness, and weak differentiability of the solution to semi-linear mean-field stochastic differential equations driven by fractional Brownian motion. We prove an extension of the Bismut-Elworthy-Li formula
Externí odkaz:
http://arxiv.org/abs/2209.05586
In this paper, we show the existence of unique Malliavin differentiable solutions to SDE`s driven by a fractional Brownian motion with Hurst parameter H<1/2 and singular, unbounded drift vector fields, for which we also prove a stability result. Furt
Externí odkaz:
http://arxiv.org/abs/2107.06022
Publikováno v:
In Stochastic Processes and their Applications February 2023 156:156-195
In this paper we derive a Bismut-Elworthy-Li type formula with respect to strong solutions to singular stochastic differential equations (SDE's) with additive noise given by a multi-dimensional fractional Brownian motion with Hurst parameter $H<1/2$.
Externí odkaz:
http://arxiv.org/abs/1805.11435
Autor:
Baños, David R.
We generalise the so-called Bismut-Elworthy-Li formula to a class of stochastic differential equations whose coefficients might depend on the law of the solution. We give some examples of where this formula can be applied to in the context of finance
Externí odkaz:
http://arxiv.org/abs/1510.06961
Autor:
Cass, T. R., Friz, P. K.
We extend the Bismut-Elworthy-Li formula to non-degenerate jump diffusions and "payoff" functions depending on the process at multiple future times. In the spirit of Fournie et al [13] and Davis and Johansson [9] this can improve Monte Carlo numerics
Externí odkaz:
http://arxiv.org/abs/math/0604311
Akademický článek
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Bismut–Elworthy–Li formula for subordinated Brownian motion applied to hedging financial derivatives
Publikováno v:
Cogent Economics & Finance, Vol 5, Iss 1 (2017)
The objective of the paper is to extend the results in Fournié, Lasry, Lions, Lebuchoux, and Touzi (1999), Cass and Fritz (2007) for continuous processes to jump processes based on the Bismut–Elworthy–Li (BEL) formula in Elworthy and Li (1994).
Externí odkaz:
https://doaj.org/article/90b70433691f4fb9ba0360ecd741202d
Akademický článek
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