Stochastic Viability and Comparison Theorems for Mixed Stochastic Differential Equations
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| 024 | 7 | 0 | |a 10.1007/s11009-013-9336-9 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11009-013-9336-9 | ||
| 245 | 0 | 0 | |a Stochastic Viability and Comparison Theorems for Mixed Stochastic Differential Equations |h [Elektronische Daten] |c [Alexander Melnikov, Yuliya Mishura, Georgiy Shevchenko] |
| 520 | 3 | |a For a mixed stochastic differential equation containing both Wiener process and a Hölder continuous process with exponent γ > 1/2, we prove a stochastic viability theorem. As a consequence, we get a result about positivity of solution and a pathwise comparison theorem. An application to option price estimation is given. | |
| 540 | |a Springer Science+Business Media New York, 2013 | ||
| 690 | 7 | |a Mixed stochastic differential equation |2 nationallicence | |
| 690 | 7 | |a Pathwise integral |2 nationallicence | |
| 690 | 7 | |a Stochastic viability |2 nationallicence | |
| 690 | 7 | |a Comparison theorem |2 nationallicence | |
| 690 | 7 | |a Long-range dependence |2 nationallicence | |
| 690 | 7 | |a fractional Brownian motion |2 nationallicence | |
| 690 | 7 | |a Stochastic differential equation with random drift |2 nationallicence | |
| 700 | 1 | |a Melnikov |D Alexander |u Department of Mathematical and Statistical Sciences, University of Alberta, 632 Central Academic Building, T6G 2G1, Edmonton, AB, Canada |4 aut | |
| 700 | 1 | |a Mishura |D Yuliya |u Faculty of Mechanics and Mathematics, Department of Probability, Statistics and Actuarial Mathematics, Kyiv National Taras Shevchenko University, Volodymyrska 64, 01601, Kyiv, Ukraine |4 aut | |
| 700 | 1 | |a Shevchenko |D Georgiy |u Faculty of Mechanics and Mathematics, Department of Probability, Statistics and Actuarial Mathematics, Kyiv National Taras Shevchenko University, Volodymyrska 64, 01601, Kyiv, Ukraine |4 aut | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/1(2015-03-01), 169-188 |x 1387-5841 |q 17:1<169 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-013-9336-9 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-013-9336-9 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Melnikov |D Alexander |u Department of Mathematical and Statistical Sciences, University of Alberta, 632 Central Academic Building, T6G 2G1, Edmonton, AB, Canada |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Mishura |D Yuliya |u Faculty of Mechanics and Mathematics, Department of Probability, Statistics and Actuarial Mathematics, Kyiv National Taras Shevchenko University, Volodymyrska 64, 01601, Kyiv, Ukraine |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Shevchenko |D Georgiy |u Faculty of Mechanics and Mathematics, Department of Probability, Statistics and Actuarial Mathematics, Kyiv National Taras Shevchenko University, Volodymyrska 64, 01601, Kyiv, Ukraine |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/1(2015-03-01), 169-188 |x 1387-5841 |q 17:1<169 |1 2015 |2 17 |o 11009 | ||