Zobrazeno 1 - 10
of 61
pro vyhledávání: '"ROZOVSKII, BORIS"'
Publikováno v:
SIAM J. Numer. Anal., 53(1): 153-183, 2015
We compare Wiener chaos and stochastic collocation methods for linear advection-reaction-diffusion equations with multiplicative white noise. Both methods are constructed based on a recursive multi-stage algorithm for long-time integration. We derive
Externí odkaz:
http://arxiv.org/abs/1505.03771
Publikováno v:
Annals of Applied Probability 2006, Vol. 16, No. 3, 1633-1652
This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $S=(S_{t})_{t\geq0}$ is given by \[ dS_{t}=m(\theta_{t})S_{t} dt+v(\theta
Externí odkaz:
http://arxiv.org/abs/math/0612212
Explicit conditions are presented for the existence, uniqueness and ergodicity of the strong solution to a class of generalized stochastic porous media equations. Our estimate of the convergence rate is sharp according to the known optimal decay for
Externí odkaz:
http://arxiv.org/abs/math/0512259
This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $ S=(S_{t})_{t\geq0} $ is given by \[ dS_{t}=r(\theta_{t})S_{t}dt+v(\thet
Externí odkaz:
http://arxiv.org/abs/math/0509503
Publikováno v:
SIAM Journal on Numerical Analysis, 2015 Jan 01. 53(1), 153-183.
Externí odkaz:
http://www.jstor.org/stable/24512246
Publikováno v:
Proceedings of the National Academy of Sciences of the United States of America, 2009 Aug . 106(34), 14189-14194.
Externí odkaz:
https://www.jstor.org/stable/40484396
Publikováno v:
In Statistical Methodology 2006 3(3):329-340
Publikováno v:
In Statistical Methodology 2006 3(3):252-293
Publikováno v:
In Journal of Computational Physics 2006 216(2):687-706
Autor:
Bohacek, Stephan *, Rozovskii, Boris
Publikováno v:
In Computational Statistics and Data Analysis 2004 45(1):25-50