Found 15 Documents (Results 1–15)
Strong convergence in averaging principle for stochastic hyperbolic-parabolic equations with two time-scales. (English) Zbl 1322.60111
A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes. (English) Zbl 1334.60064
Multivalued backward stochastic differential equations with oblique subgradients. (English) Zbl 1328.60137
Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching. (English) Zbl 1321.65014
BSDEs of counterparty risk. (English) Zbl 1317.60068
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data. (English) Zbl 1362.62106
Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes. (English) Zbl 1322.60058
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