52 search results - page 1 / 11 » On the Existence and the Applications of Modified Equations ... |
SIAMSC
2011
12 years 11 months ago
2011
In this paper we describe a general framework for deriving modified equations for stochastic differential equations with respect to weak convergence. Modified equations are deri...
SIAMCO
2000
13 years 4 months ago
2000
We study spectral properties of certain families of linear second-order differential operators arising from linear stochastic differential equations. We construct a basis in the Hi...
MOC
2000
13 years 4 months ago
2000
We study the pathwise (strong) approximation of scalar stochastic differential equations with respect to the global error in the L2-norm. For equations with additive noise we estab...
ICIP
2000
IEEE
14 years 6 months ago
2000
IEEE
Evolution equations have proven to be useful in tracking fine to coarse features in a single level curve and/or in an image. In this paper, we give a stochastic insight to a speci...
SIAMCO
2011
12 years 11 months ago
2011
We study properties of solutions to fully nonlinear versions of the standard Black– Scholes partial differential equation. These equations have been introduced in financial mat...