The main aim of this paper is to develop some basic theories of neutral stochastic functional differential equations (NSFDEs). Firstly, we establish a local existenceuniqueness theorem under the local ...
Mathematics of Computation, Vol. 49, No. 180 (Oct., 1987), pp. 523-542 (20 pages) We present Runge-Kutta methods of high accuracy for stochastic differential ...
Brownian motion and Langevin's equation. Ito and Stratonovich Stochastic integrals. Stochastic calculus and Ito's formula. SDEs and PDEs of Kolmogorov. Fokker-Planck, and Dynkin. Boundary conditions, ...
This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic ...
The Royal Society awarded Imperial Professor Sir Martin Hairer, FRS, the Sylvester Medal for “outstanding contributions in ...
In this paper we examine the capacity of arbitrage-free neural stochastic differential equation market models to produce realistic scenarios for the joint dynamics of multiple European options on a ...
This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics, BSc in Financial Mathematics and Statistics, BSc in Mathematics ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback