Found 221 Documents (Results 1–100)
\(L^2\) convergence of smooth approximations of stochastic differential equations with unbounded coefficients. (English) Zbl 1535.60104
High order splitting methods for SDEs satisfying a commutativity condition. (English) Zbl 1532.60152
Mortensen observer for a class of variational inequalities – lost equivalence with stochastic filtering approaches. (English. French summary) Zbl 1541.37105
Orientation-dependent chord length distribution in a convex quadrilateral. (English) Zbl 1536.60016
J. Contemp. Math. Anal., Armen. Acad. Sci. 58, No. 6, 416-430 (2023); and Izv. Nats. Akad. Nauk Armen., Mat. 58, No. 6, 36-53 (2023).
Reviewer: Rolf Schneider (Freiburg im Breisgau)
Residues of manifolds. (English) Zbl 1525.53010
Log-concave posterior densities arising in continuous filtering and a maximum a posteriori algorithm. (English) Zbl 1520.93568
Hedging problem for Asian call options with transaction costs. (English. Russian original) Zbl 1520.91406
Theory Probab. Appl. 68, No. 2, 211-230 (2023); translation from Teor. Veroyatn. Primen. 68, No. 2, 253-276 (2023).
MSC:
91G20
Bang-bang control for a class of optimal stochastic control problems with symmetric cost functional. (English) Zbl 1507.93251
\(\Gamma\)-limit for a sharp interface model related to pattern formation on biomembranes. (English) Zbl 1506.49006
Distance distributions and inverse problems for metric measure spaces. (English) Zbl 1530.60016
Reviewer: Michael Voit (Dortmund)
Encounters with martingales in statistics and stochastic optimization. (English) Zbl 1523.60076
Mazliak, Laurent (ed.) et al., The splendors and miseries of martingales. Their history from the casino to mathematics. Cham: Birkhäuser. Trends Hist. Sci., 265-293 (2022).
Stochastic processes in the decades after 1950. (English) Zbl 1523.60013
Mazliak, Laurent (ed.) et al., The splendors and miseries of martingales. Their history from the casino to mathematics. Cham: Birkhäuser. Trends Hist. Sci., 169-202 (2022).
Matrices – compensating the loss of Anschauung. (English) Zbl 1508.00023
Friedman, Michael (ed.) et al., Model and mathematics: from the 19th to the 21st century. Cham: Birkhäuser. Trends Hist. Sci., 363-377 (2022).
MSC:
00A71
The dialectics archetypes/types (universal categorical constructions/concrete models) in the work of Alexander Grothendieck. (English) Zbl 1508.00025
Friedman, Michael (ed.) et al., Model and mathematics: from the 19th to the 21st century. Cham: Birkhäuser. Trends Hist. Sci., 267-275 (2022).
MSC:
00A71
Pathwise approximations for the solution of the non-linear filtering problem. (English) Zbl 1503.93044
Yin, George (ed.) et al., Stochastic analysis, filtering, and stochastic optimization. A commemorative volume to honor Mark H. A. Davis’s contributions. Cham: Springer. 79-99 (2022).
Covariogram and orientation-dependent chord lenght distribution function for oblique prism. (English) Zbl 1504.60079
J. Contemp. Math. Anal., Armen. Acad. Sci. 57, No. 3, 157-171 (2022) and Izv. Nats. Akad. Nauk Armen., Mat. 57, No. 3, 32-47 (2022).
Reviewer: Viktor Ohanyan (Erevan)
A \(\mathbb{C}^{0, 1}\)-functional Itô’s formula and its applications in mathematical finance. (English) Zbl 1491.60074
A structured coagulation-fragmentation equation in the space of Radon measures: unifying discrete and continuous models. (English) Zbl 1487.45011
Reviewer: Philippe Laurençot (Toulouse)
Model predictive control for drift counteraction of stochastic constrained linear systems. (English) Zbl 1461.93142
A particle filter for stochastic advection by Lie transport: a case study for the damped and forced incompressible two-dimensional Euler equation. (English) Zbl 1454.62528
Finite dimensional estimation algebras with state dimension 3 and rank 2, Mitter conjecture. (English) Zbl 1498.93746
Mass-conserving solutions to the Smoluchowski coagulation equation with singular kernel. (English) Zbl 1474.45061
Existence of mass-conserving weak solutions to the singular coagulation equation with multiple fragmentation. (English) Zbl 1463.45043
Linearized filtering of affine processes using stochastic Riccati equations. (English) Zbl 1441.60032
Clark representation for local times of self-intersection of Gaussian integrators. (English. Russian original) Zbl 1461.60055
Ukr. Math. J. 70, No. 12, 1829-1860 (2019); translation from Ukr. Mat. Zh. 70, No. 12, 1587-1614 (2018).
A second order equation for Schrödinger bridges with applications to the hot gas experiment and entropic transportation cost. (English) Zbl 1481.60152
Wong-Zakai approximation for the stochastic Landau-Lifshitz-Gilbert equations. (English) Zbl 1447.60090
Hedging of the European option with nonsmooth payment function. (English. Russian original) Zbl 1426.91266
Ukr. Math. J. 70, No. 6, 890-905 (2018); translation from Ukr. Mat. Zh. 70, No. 6, 773-787 (2018).
The full replica symmetry breaking in the Ising spin glass on random regular graph. (English) Zbl 1405.82035
Couplings, gradient estimates and logarithmic Sobolev inequalitiy for Langevin bridges. (English) Zbl 1464.28011
Fluctuations of bridges, reciprocal characteristics and concentration of measure. (English. French summary) Zbl 1404.60106
Uniqueness of mass-conserving self-similar solutions to Smoluchowski’s coagulation equation with inverse power law kernels. (English) Zbl 1394.35506
Optimal portfolio positioning within generalized Johnson distributions. (English) Zbl 1402.91721
MSC:
91G10
Finite dimensional estimation algebras with state dimension 3 and rank 2. I: Linear structure of Wong matrix. (English) Zbl 1430.17042
A discrete-time Clark-Ocone formula and its application to an error analysis. (English) Zbl 1390.60195
Reviewer: Nicolas Privault (Singapore)
The scaling limit of superreplication prices with small transaction costs in the multivariate case. (English) Zbl 1378.91132
Reviewer: Pedro A. Morettin (São Paulo)
On one integral representation of functionals of Brownian motion. (English. Russian original) Zbl 1386.60283
Theory Probab. Appl. 61, No. 1, 133-139 (2017); translation from Teor. Veroyatn. Primen. 61, No. 1, 158-164 (2016).
Weitzenböck and Clark-Ocone decompositions for differential forms on the space of normal martingales. (English) Zbl 1367.60063
Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités XLVIII. Cham: Springer (ISBN 978-3-319-44464-2/pbk; 978-3-319-44465-9/ebook). Lecture Notes in Mathematics 2168. Séminaire de Probabilités, 231-265 (2016).
De Rham-Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space. (English) Zbl 1342.60084
The predictable representation property of compensated-covariation stable families of martingales. (English) Zbl 1337.60080
Theory Probab. Appl. 60, No. 1, 19-44 (2016) and Teor. Veroyatn. Primen. 60, No. 1, 99-130 (2015).
On the predictable representation property of martingales associated with Lévy processes. (English) Zbl 1320.60104
Parameter estimation: the proper way to use Bayesian posterior processes with Brownian noise. (English) Zbl 1314.62190
Kusuoka-Stroock gradient bounds for the solution of the filtering equation. (English) Zbl 1333.60147
The filtering equations revisited. (English) Zbl 1391.60081
Crisan, Dan (ed.) et al., Stochastic analysis and applications 2014. In honour of Terry Lyons. Selected articles based on the presentations at the conference, Oxford, UK, September 23–27, 2013. Cham: Springer (ISBN 978-3-319-11291-6/hbk; 978-3-319-11292-3/ebook). Springer Proceedings in Mathematics & Statistics 100, 129-162 (2014).
Reciprocal processes: a stochastic analysis approach. (English) Zbl 1338.60192
Korolyuk, Volodymyr (ed.) et al., Modern stochastics and applications. Selected papers based on the presentations at the international conference “Modern stochastics: theory and applications III”, dedicated to B. V. Gnedenko on the occasion of his 100th birthday and to M. I. Yadrenko on the occasion of his 80th birthday, Kyiv, Ukraine, September 10–14, 2012. Cham: Springer (ISBN 978-3-319-03511-6/hbk; 978-3-319-03512-3/ebook). Springer Optimization and Its Applications 90, 53-67 (2014).
Reciprocal processes. A measure-theoretical point of view. (English) Zbl 1317.60004
Reviewer: Gabriel V. Orman (Braşov)
Numerical solution for a class of SPDEs over bounded domains. (English) Zbl 1329.60209
Reviewer: Maria Christina Mariani (El Paso)
Recognition of triangles by covariogram. (English. Russian original) Zbl 1296.60020
J. Contemp. Math. Anal., Armen. Acad. Sci. 48, No. 3, 110-122 (2013); translation from Izv. Nats. Akad. Nauk Armen., Mat. 48, No. 3, 25-42 (2013).
Reviewer: Wolfgang Weil (Karlsruhe)
An endogenous volatility approach to pricing and hedging call options with transaction costs. (English) Zbl 1281.91168
MSC:
91G20
Robust filtering: correlated noise and multidimensional observation. (English) Zbl 1296.60097
Reviewer: Mikhail P. Moklyachuk (Kyïv)
Cubature methods and applications. (English) Zbl 1273.65011
Henderson, Vicky (ed.) et al., Paris-Princeton lectures on mathematical finance 2013. Cham: Springer (ISBN 978-3-319-00412-9/pbk; 978-3-319-00413-6/ebook). Lecture Notes in Mathematics 2081, 203-316 (2013).
Functional Itō calculus and stochastic integral representation of martingales. (English) Zbl 1272.60031
Reviewer: Jacques Franchi (Strasbourg)
Practical stability of approximating discrete-time filters with respect to model mismatch. (English) Zbl 1252.93128
An extension of the Clark-Ocone formula under benchmark measure for Lévy processes. (English) Zbl 1262.60050
Reviewer: Jean Picard (Aubière)
Book review of: A. Bain and D. Crisan, Fundamentals of stochastic filtering. (English) Zbl 1321.00021
Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem. (English) Zbl 1265.91048
Applications of the quadratic covariation differentiation theory: variants of the Clark-Ocone and Stroock’s formulas. (English) Zbl 1246.60080
Reviewer: Pavel Gapeev (London)
Lack of strong completeness for stochastic flows. (English) Zbl 1235.60066
Reviewer: Hans Crauel (Frankfurt am Main)
Martingale representation for Poisson processes with applications to minimal variance hedging. (English) Zbl 1219.60050
Phase retrieval for characteristic functions of convex bodies and reconstruction from covariograms. (English) Zbl 1283.42014
White noise generalization of the Clark-Ocone formula under change of measure. (English) Zbl 1215.60038
Reviewer: Nicolas Privault (Singapore)
Approximate McKean-Vlasov representations for a class of SPDEs. (English) Zbl 1211.60022
Reviewer: Nicolas Perkowski (Berlin)
A functional extension of the Ito formula. (English. Abridged French version) Zbl 1202.60082
Reviewer: Nicolas Perkowski (Berlin)
Confirmation of Matheron’s conjecture on the covariogram of a planar convex body. (English) Zbl 1185.52002
Reviewer: Viktor Oganyan (Erevan)
A new approach to the martingale representation theorem. (English) Zbl 1186.60046
Reviewer: Nicko G. Gamkrelidze (Moskva)
The stability of conditional Markov processes and Markov chains in random environments. (English) Zbl 1178.93142
Optimal consumption and investment under partial information. (English) Zbl 1165.91410
MSC:
91B28
60H30
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