Found 34 Documents (Results 1–34)
The mean field games system: Carleman estimates, Lipschitz stability and uniqueness. (English) Zbl 1518.35677
A nonautonomous Cox-Ingersoll-Ross equation with growing initial conditions. (English) Zbl 1518.35456
An envelope method for solving continuous-time stochastic models with occasionally binding constraints. (English) Zbl 1493.91086
Probability-conservative simulation for Lévy financial model by a mixed finite element method. (English) Zbl 1538.65346
An efficient numerical method for pricing a Russian option with a finite time horizon. (English) Zbl 1480.91312
A zero sum differential game with correlated informations on the initial position. A case with a continuum of initial positions. (English) Zbl 1479.91045
Relativistic interplay between adaptive movement and mobility on biodiversity in the rock-paper-scissors game. (English) Zbl 1483.92159
A radial basis function – Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options. (English) Zbl 1437.91458
\((1+2)\)-dimensional Black-Scholes equations with mixed boundary conditions. (English) Zbl 1433.35162
Reviewer: Aleksandr D. Borisenko (Kyïv)
Finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition. (English) Zbl 1431.91434
Hamilton-Jacobi-Isaacs equations for differential games with asymmetric information on probabilistic initial condition. (English) Zbl 1415.91051
On the impact of various formulations of the boundary condition within numerical option valuation by dg method. (English) Zbl 1461.91351
Reviewer: Nikolay Kyurkchiev (Plovdiv)
Differential games with incomplete information on a continuum of initial positions and without Isaacs condition. (English) Zbl 1348.91054
An adaptive finite difference method using far-field boundary conditions for the Black-Scholes equation. (English) Zbl 1296.91282
Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures. (English) Zbl 1284.91474
MSC:
91B84
Identification and estimation of nonlinear dynamic panel data models with unobserved covariates. (English) Zbl 1283.62139
Asymptotic irrelevance of initial conditions for Skorohod reflection mapping on the nonnegative orthant. (English) Zbl 1248.90029
Reviewer: Christos E. Kountzakis (Karlovassi)
Convex regularization of local volatility models from option prices: convergence analysis and rates. (English) Zbl 1263.47086
Reviewer: Alexandra Rodkina (Kingston/Jamaica)
Finite-volume difference scheme for the Black-Scholes equation in stochastic volatility models. (English) Zbl 1318.91195
Dimov, Ivan (ed.) et al., Numerical methods and applications. 7th international conference, NMA 2010, Borovets, Bulgaria, August 20–24, 2010. Revised papers. Berlin: Springer (ISBN 978-3-642-18465-9/pbk). Lecture Notes in Computer Science 6046, 377-385 (2011).
A computational scheme for a problem in the zero-coupon bond pricing. (English) Zbl 1230.91188
Todorov, Michail D. (ed.) et al., Application of mathematics in technical and natural sciences. Proceedings of the 2nd international conference (AMiTaNS’10), Sozopol, Bulgaria, June 21–26, 2010. Melville, NY: American Institute of Physics (AIP) (ISBN 978-0-7354-0856-2/pbk). AIP Conference Proceedings 1301, 370-378 (2010).
Positive semigroups generated by degenerate second-order differential operators. (English) Zbl 1190.47047
Reviewer: Mark A. Petersen (Potchefstroom)
Improved radial basis function methods for multi-dimensional option pricing. (English) Zbl 1151.91053
A fast, stable and accurate numerical method for the Black-Scholes equation of American options. (English) Zbl 1185.91175
A fast numerical method for the Black-Scholes equation of American options. (English) Zbl 1130.91336
MSC:
91B28
65M06
The productivity factor in the scientific community evolution. (Russian. English summary) Zbl 0987.91054
A fast and highly accurate numerical method for the evaluation of American options. (English) Zbl 1108.91034
Value-functions for differential games and control systems with discontinuous terminal cost. (English) Zbl 0977.49018
Some new results on the Levy, Levy and Solomon microscopic stock market model. (English) Zbl 0972.91052
MSC:
91B26
Optimum extraction of an exhaustible resource: A mathematical analysis. (English) Zbl 0469.90020
Dynamic optimization and mathematical economics, Math. Concepts Math. Sci. Eng., Vol. 19, 157-168 (1980).
Solutions of dynamic nonlinear planning model via augmented Lagrangian. (English) Zbl 0402.90031
Systems analysis applications to complex programs, Proc. IFAC/IFORS/IIASA Workshop, Bielsko Biala 1977, 57-61 (1978).
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