Zobrazeno 1 - 10
of 483
pro vyhledávání: '"Nicolas Privault"'
Autor:
Veraart, Luitgard A. M.
Publikováno v:
Journal of the American Statistical Association, 2015 Mar 01. 110(509), 455-456.
Externí odkaz:
http://www.jstor.org/stable/24739322
Autor:
Uwe Franz, Nicolas Privault
This monograph is a progressive introduction to non-commutativity in probability theory, summarizing and synthesizing recent results about classical and quantum stochastic processes on Lie algebras. In the early chapters, focus is placed on concrete
Autor:
Nicolas Privault
Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of conce
Autor:
Greg M. Gupton
Publikováno v:
Quantitative Finance. 12:691-692
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bb9fd6261d4c0722a5a833b2a0b6e987
https://doi.org/10.1080/14697688.2012.662595
https://doi.org/10.1080/14697688.2012.662595
Publikováno v:
Journal of Evolution Equations. 23
We present an algorithm for the numerical solution of nonlinear parabolic partial differential equations. This algorithm extends the classical Feynman–Kac formula to fully nonlinear partial differential equations, by using random trees that carry i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::22fd343f0c2342ca07e42b9bb40ad008
https://doi.org/10.1007/s00028-023-00873-3
https://doi.org/10.1007/s00028-023-00873-3
Autor:
Nicolas Privault, Guillaume Penent
Publikováno v:
Stochastics and Partial Differential Equations: Analysis and Computations. 10:446-474
We obtain existence results for the solution u of nonlocal semilinear parabolic PDEs on $\mathbb{R}^d$ with polynomial nonlinearities in $(u, \nabla u)$, using a tree-based probabilistic representation. This probabilistic representation applies to th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cf46070483ab177489ded27c4c26405f
https://doi.org/10.1007/s40072-021-00220-y
https://doi.org/10.1007/s40072-021-00220-y
Autor:
Nicolas Privault
Publikováno v:
Introduction to Stochastic Finance with Market Examples ISBN: 9781003298670
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a2c0388724a685b505de18b14af78677
https://doi.org/10.1201/9781003298670-21
https://doi.org/10.1201/9781003298670-21
Autor:
Nicolas Privault
Publikováno v:
Introduction to Stochastic Finance with Market Examples ISBN: 9781003298670
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1fc51e3379fb689725ca33256415f3ce
https://doi.org/10.1201/9781003298670-6
https://doi.org/10.1201/9781003298670-6
Autor:
Nicolas Privault
Publikováno v:
Introduction to Stochastic Finance with Market Examples ISBN: 9781003298670
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8a3db4f7153f370a10cc43b4b518309e
https://doi.org/10.1201/9781003298670-18
https://doi.org/10.1201/9781003298670-18
Autor:
Nicolas Privault
Publikováno v:
Introduction to Stochastic Finance with Market Examples ISBN: 9781003298670
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a06664b10d4701a1670546959d5d85ac
https://doi.org/10.1201/9781003298670-17
https://doi.org/10.1201/9781003298670-17