What | With | Where | Gratis | |
53 | On mild solutions to some dissipative SPDEs on $L^p$ spaces with additive noise | arXiv:2312.17651 | ||
52 | On some semiparametric estimates for European option prices | J. Appl. Probab. (in press) | arXiv:2306.10929 | |
51 | Nonparametric estimates of option prices via Hermite basis functions
DOI • Zbl • MR |
Stefano d'Addona | Ann. Finance 19 (2023), 477–522 | arXiv:2209.09656 |
50 | On pointwise Malliavin differentiability of solutions to semilinear parabolic SPDEs | arXiv:2201.00053 | ||
49 | On certain representations of pricing functionals | arXiv:2109.05564 | ||
48 | On the differentiability of solutions to singularly perturbed SPDEs | arXiv:2012.15338 | ||
47 | Singular perturbations and asymptotic expansions for SPDEs with an
application to term structure models
DOI • Zbl • MR |
Sergio Albeverio, Elisa Mastrogiacomo | J. Differential Equations 342 (2023), 282-324 | arXiv:2012.14510 |
46 | An alternative proof of well-posedness of stochastic evolution
equations in the variational setting
URL • Zbl • MR |
Luca Scarpa, Ulisse Stefanelli | Rev. Roumaine Math. Pures Appl. 66 (2021), 209-221 | arXiv:2009.09700 |
45 | On the positivity of local mild solutions to stochastic evolution equations
DOI • Zbl • MR |
Luca Scarpa | Geometry and Invariance in Stochastic Dynamics, S. Ugolini et al. eds. (2022), 231-245 | arXiv:1912.13259 |
44 | Positivity of mild solution to stochastic evolution equations with an application to forward rates | arXiv:1912.12472 | ||
43 | Absolute continuity of solutions to reaction-diffusion equations
with multiplicative noise
DOI • Zbl • MR |
Lluís Quer i Sardanyons | Potential Anal. 57 (2022), no. 2, 243-261 | arXiv:1905.08739 |
42 | Fréchet differentiability of mild solutions to SPDEs with
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DOI • Zbl • MR |
Luca Scarpa | J. Evol. Equ. 20 (2020), no. 3, 1093–1130 | arXiv:1812.09949 |
41 | Well-posedness of monotone semilinear SPDEs with semimartingale noise
DOI • Zbl • MR |
Luca Scarpa | Séminaire de Probabilités LI (2022), 259-301 | arXiv:1805.07562 |
40 | A note on doubly nonlinear SPDEs with singular drift in divergence
form
DOI • Zbl • MR |
Luca Scarpa | Atti Accad. Naz. Lincei Rend. Lincei Mat. Appl. 29 (2018), no. 4, 619–633 | arXiv:1712.05595 |
39 | Refined existence and regularity results for a class of semilinear
dissipative SPDEs
DOI • Zbl • MR |
Luca Scarpa | Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23 (2020), no. 2, 2050014, 34 pp. | arXiv:1711.11091 |
38 | Ergodicity and Kolmogorov equations for dissipative SPDEs with singular drift: a variational approach
DOI • Zbl • MR |
Luca Scarpa | Potential Anal. 52 (2020), no. 1, 69–103 | arXiv:1710.05612 |
37 | On the well-posedness of SPDEs with singular drift in divergence form
DOI • Zbl • MR |
Luca Scarpa | Stochastic Partial Differential Equations and Related Fields, A. Eberle et al. eds. (2018), 225-235 | arXiv:1701.08326 |
36 | Strong solutions to SPDEs with monotone drift in divergence form
DOI • Zbl • MR |
Luca Scarpa | Stoch. Partial Differ. Equ. Anal. Comput. 6 (2018), no. 3, 364–396 | arXiv:1612.08260 |
35 | A variational approach to dissipative SPDEs with singular drift
DOI • Zbl • MR |
Luca Scarpa | Ann. Probab. 46 (2018), no. 3, 1455-1497 | arXiv:1604.08808 |
34 | On well-posedness of semilinear stochastic evolution equations on $L_p$ spaces
DOI • Zbl • MR |
SIAM J. Math. Anal. 50 (2018), no. 2, 2111–2143 | arXiv:1512.04323 | |
33 | Nonparametric estimates of pricing functionals
DOI |
Stefano d'Addona | J. of Empirical Finance 44 (2017), 19-35 | arXiv:1506.06568 |
32 | On maximal inequalities for purely discontinuous $L_q$-valued martingales | arXiv:1311.7120 | ||
31 | On maximal inequalities for purely discontinuous martingales in infinite dimensions
DOI • Zbl • MR |
Michael Röckner | Séminaire de Probabilités XLVI (2014), 293-315 | arXiv:1308.2648 |
30 | On the maximal inequalities of Burkholder, Davis and Gundy
DOI • Zbl • MR |
Michael Röckner | Expo. Math. 34 (2016), no. 1, 1-26 | arXiv:1308.2418 |
29 | On the relation between forecast precision and trading profitability of financial analysts
DOI |
Alex Weissensteiner | J. Financial Markets 20 (2014), 39-60 | arXiv:1301.6638 |
28 | On smoothing properties of transition semigroups associated to a class of SDEs with jumps
DOI • Zbl • MR |
Seiichiro Kusuoka | Ann. Inst. H. Poincaré Probab. Statist. 50 (2014), no. 4, 1347-1370 | arXiv:1208.2860 |
27 | Approximation and convergence of solutions to semilinear stochastic evolution equations with jumps
DOI • Zbl • MR |
J. Funct. Anal. 264 (2013), no. 12, 2784-2816 | arXiv:1205.5875 | |
26 | Existence and regularity of the density for solutions to semilinear dissipative parabolic SPDEs
DOI • Zbl • MR |
Eulàlia Nualart, Lluís Quer i Sardanyons | Potential Anal. 39 (2013), no. 3, 287-311 | arXiv:1202.4610 |
25 | Well-posedness for a class of dissipative stochastic evolution equations with Wiener and Poisson noise
DOI • Zbl • MR |
Seminar on Stochastic Analysis, Random Fields and Applications VII (2013) | arXiv:1110.4100 | |
24 | Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
DOI • Zbl • MR |
Andreas Eberle | Probab. Theory Related Fields 155 (2013), no. 3, 665-701 | arXiv:1010.1696 |
23 | Multivariate heavy-tailed models for Value-at-Risk estimation
DOI • Zbl • MR |
Stefano d'Addona, Svetlozar T. Rachev | Int. J. Theor. Appl. Finance 15 (2012), no. 4, 1250029 | arXiv:1005.2862 |
22 | Existence of weak solutions for a class of semilinear stochastic wave equations
DOI • Zbl • MR |
Lluís Quer i Sardanyons | SIAM J. Math. Anal. 44 (2012), no. 2, 906-925 | arXiv:1003:1024 |
21 | On uniqueness of mild solutions for dissipative stochastic evolution equations
DOI • Zbl • MR |
Michael Röckner | Inf. Dim. Anal. Quantum Probab. 13 (2010), no. 3, 363-376 | arXiv:1001.5413 |
20 | Ergodicity for nonlinear stochastic evolution equations with multiplicative Poisson noise
DOI • Zbl • MR |
Giacomo Ziglio | Dyn. Partial Differ. Equ. 7 (2010), no. 1, 1-24 | arXiv:0909.3725 |
19 | $L^p$ estimates for Feynman-Kac propagators with time-dependent reference measures
DOI • Zbl • MR |
Andreas Eberle | J. Math. Anal. Appl. 365 (2010), no. 1, 120-134 | arXiv:0905.4411 |
18 | Well-posedness and asymptotic behavior for stochastic reaction-diffusion equ
ations with multiplicative Poisson noise
DOI • Zbl • MR |
Michael Röckner | Electron. J. Probab. 15 (2010), 1529-1555 | arXiv:0903.3299
|
17 | Regular dependence on initial data for stochastic evolution equations with multiplicative Poisson noise
DOI • Zbl • MR |
Claudia Prévôt, Michael Röckner | J. Funct. Anal. 258 (2010), no. 2, 616-649 | arXiv:0808.1509 |
16 | Strong solutions for stochastic porous media equations with jumps
DOI • Zbl • MR |
Viorel Barbu | Inf. Dim. Anal. Quantum Probab. 12 (2009), no. 3, 413-426 | arXiv:0802.3594 |
15 | Stochastic FitzHugh-Nagumo equations on networks with impulsive noise
DOI • Zbl • MR |
Stefano Bonaccorsi, Giacomo Ziglio | Electron. J. Probab. 13 (2008), 1362-1379 | arXiv:0712.0580 |
14 | Local well-posedness of Musiela's SPDE with Lévy noise
DOI • Zbl • MR |
Math. Finance 20 (2010), no. 3, 341-363 | arXiv:0704.2380 | |
13 | Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
DOI • Zbl • MR |
Quant. Finance 10 (2010), no. 1, 39-47 | math/0702622 | |
12 | On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects
DOI • Zbl • MR |
Fausto Gozzi, Sergei Savin | J. Optim. Theory Appl. 142 (2009), no. 2, 291-321 | math/0701580 |
11. | Convergence of sequential Markov Chain Monte Carlo methods: I. Nonlinear flow of probability measures | Andreas Eberle | math/0612074 | |
10 | Stability of sequential Markov Chain Monte Carlo methods
DOI • Zbl • MR |
Andreas Eberle | ESAIM: Proc. 19 (2007), 22-31. | SFB611 310 |
9 | A comparison of some univariate models for Value-at-Risk and Expected Shortfall
DOI • Zbl • MR |
Stefano d'Addona, Svetlozar T. Rachev | Int. J. Theor. Appl. Finance 10 (2007), no. 6, 1043-1075 | SSRN 958609 |
8 | Variational inequalities in Hilbert spaces with measures and optimal stopping problems
DOI • Zbl • MR |
Viorel Barbu | Appl. Math. Optim. 57 (2008), no. 1, 237-262 | math/0608379 |
7 | A class of stochastic games with infinitely many interacting agents related to Glauber dynamics on random graphs
DOI • Zbl • MR |
Emilio De Santis | J. Phys. A: Math. Theor. 40 (2007), 11777-11790 | math/0505608 |
6 | Stochastic optimal control of delay equations arising in advertising models
DOI • Zbl • MR |
Fausto Gozzi | SPDE and applications VII (G. Da Prato and L. Tubaro eds.), 133-148, 2006 | math/0412403 |
5 | Reconstructing the drift of a diffusion from partially observed transition probabilities
DOI • Zbl • MR |
Sergio Albeverio | Stoch. Proc. Appl. 115 (2005), no. 9, 1487-1502 | math/0411008 |
4. | Optimal distributed dynamic advertising
DOI • Zbl • MR |
Sergei Savin | J. Optim. Theory Appl. 137 (2008), no. 3, 569-591 | math/0406435 |
3. | The Stochastic Goodwill Problem
DOI • Zbl • MR |
European J. Oper. Res. 176 (2007), no. 1, 389-404 | math/0310316 | |
2. | Computational Issues in Stable Financial Modeling
DOI • Zbl • MR |
Svetlozar T. Rachev | Applied Mathematics Review, vol. 1, World Sci. Publ., 285-327, 2000 | SSRN 603601 |
1b. | Subordinated Stock Price Models: Heavy Tails and
Long-range Dependence in the High Frequency Deutsche Bank Price
Record
DOI |
Svetlozar T. Rachev, Richard Roll, H. Göppl | G. Bol (ed.), Data Mining and Computational Finance, Springer, 1999 | ps.gz |
1a. | Subordinated Exchange Rate Models: Evidence for Heavy Tailed
Distributions and Long-range Dependence
DOI • Zbl • MR |
Svetlozar T. Rachev, Richard Roll | Math. Comp. Modelling 34 (2001), no. 9-11, 955-1001 | SSRN 603524 |