نتایج جستجو برای: stochastic neutral evolution equations
تعداد نتایج: 748529 فیلتر نتایج به سال:
We consider a structural credit model for a large portfolio of credit risky assets. By considering the large portfolio limit we introduce a stochastic partial differential equation which describes the evolution of the density of asset values. The loss function of the portfolio is then a function of the evolution of this density at the default boundary. We develop numerical methods for pricing a...
In this paper linear stochastic evolution equations driven by infinite-dimensional fractional Brownian motion are studied. A necessary and sufficient condition for the existence and uniqueness of the solution is established and the spatial regularity of the solution is analyzed; separate proofs are required for the cases of Hurst parameter above and below 1/2. The particular case of the Laplaci...
A change of variables is introduced to reduce certain nonlinear stochastic evolution equations with multiplicative noise to the corresponding deterministic equation. The result is then used to investigate a stochastic porous medium equation.
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