Journal article

Stochastic Viability And Comparison Theorems For Mixed Stochastic Differential Equations

Year:

2013

Published in:

Methodology and Computing in Applied Probability

Authors:

, ,

Mixed stochastic differential equation

Pathwise integral

Stochastic viability

Comparison theorem

Long-range dependence fractional

Brownian motion

Stochastic differential equation with random drift

For a mixed stochastic differential equation containing both Wiener process and a Hölder continuous process with exponent

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2015

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Publisher: Applied Mathematics and Computation

Authors: Georgiy Shevchenko, Yulia Mishura, Taras Shalaiko

2011

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Publisher: Stochastic Processes and their Applications

Authors: Georgiy Shevchenko, Volodymyr Korolyuk, Yuriy Kozachenko, Yulia Mishura, Halyna Syta

2015

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Integral Representation With Respect To Fractional Brownian Motion Under A Log‑Hölder Assumption

Publisher: Modern Stochastics: Theory and Applications

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2016

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2006

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On Reselling Of European Option

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