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Conditioned stochastic differential equations: theory, examples and application to finance

✍ Scribed by Fabrice Baudoin


Book ID
108432886
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
276 KB
Volume
100
Category
Article
ISSN
0304-4149

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Approximation of Multiple Stochastic Int
✍ C.W. Li; X.Q. Liu πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 671 KB

As multiple stochastic integrals are not very easy to simulate, we would like to treat them as solutions of systems of stochastic differential equations and solve them successively and recursively approximated by the stochastic Taylor expansion as a Chen series in terms of a Philip Hall basis or Lyn