Bibliografías temáticas / Pathwise approach

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Literatura académica sobre el tema "Pathwise approach"

Autor: Grafiati
Publicado: 10 de marzo de 2023

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Artículos de revistas sobre el tema "Pathwise approach"

1

Kühn, C., A. E. Kyprianou, and K. van Schaik. "Pricing Israeli options: a pathwise approach." Stochastics 79, no. 1-2 (2007): 117–37. http://dx.doi.org/10.1080/17442500600976442.

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Willinger, Walter. "A pathwise approach to stochastic integration." Stochastic Processes and their Applications 26 (1987): 236. http://dx.doi.org/10.1016/0304-4149(87)90177-3.

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Cattiaux, Patrick. "A Pathwise Approach of Some Classical Inequalities." Potential Analysis 20, no. 4 (2004): 361–94. http://dx.doi.org/10.1023/b:pota.0000009847.84908.6f.

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Abdullin, Marat Airatovich, Niyaz Salavatovich Ismagilov, and Farit Sagitovich Nasyrov. "One dimensional stochastic differential equations: pathwise approach." Ufimskii Matematicheskii Zhurnal 5, no. 4 (2013): 3–15. http://dx.doi.org/10.13108/2013-5-4-3.

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Korytowski, Adam, and Maciej Szymkat. "Necessary Optimality Conditions for a Class of Control Problems with State Constraint." Games 12, no. 1 (2021): 9. http://dx.doi.org/10.3390/g12010009.

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An elementary approach to a class of optimal control problems with pathwise state constraint is proposed. Based on spike variations of control, it yields simple proofs and constructive necessary conditions, including some new characterizations of optimal control. Two examples are discussed.
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6

Jin, Xing, Dan Luo, and Xudong Zeng. "Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach." Mathematics of Operations Research 43, no. 2 (2018): 347–76. http://dx.doi.org/10.1287/moor.2017.0854.

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BOUHADOU, S., and Y. OUKNINE. "STOCHASTIC EQUATIONS OF PROCESSES WITH JUMPS." Stochastics and Dynamics 14, no. 01 (2013): 1350006. http://dx.doi.org/10.1142/s0219493713500068.

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We consider one-dimensional stochastic differential equations driven by white noises and Poisson random measure. We introduce new techniques based on local time prove new results on pathwise uniqueness and comparison theorems. Our approach is very easy to handle and do not need any approximation approach. Similar equations without jumps were studied in the same context by [8, 12] and other authors.
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8

Catuogno, Pedro, and Christian Olivera. "Renormalized-generalized solutions for the KPZ equation." Infinite Dimensional Analysis, Quantum Probability and Related Topics 17, no. 04 (2014): 1450027. http://dx.doi.org/10.1142/s0219025714500271.

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This work introduces a new notion of solution for the KPZ equation, in particular, our approach encompasses the Cole–Hopf solution. We set in the context of the distribution theory the proposed results by Bertini and Giacomin from the mid '90s. This new approach provides a pathwise notion of solution as well as a structured approximation theory. The developments are based on regularization arguments from the theory of distributions.
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9

Bianchi, A., A. Gaudillière, and P. Milanesi. "On Soft Capacities, Quasi-stationary Distributions and the Pathwise Approach to Metastability." Journal of Statistical Physics 181, no. 3 (2020): 1052–86. http://dx.doi.org/10.1007/s10955-020-02618-9.

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10

Westphal, U., and T. Schwartz. "Farthest points and monotone operators." Bulletin of the Australian Mathematical Society 58, no. 1 (1998): 75–92. http://dx.doi.org/10.1017/s0004972700032019.

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We apply the theory of monotone operators to study farthest points in closed bounded subsets of real Banach spaces. This new approach reveals the intimate connection between the farthest point mapping and the subdifferential of the farthest distance function. Moreover, we prove that a typical exception set in the Baire category sense is pathwise connected. Stronger results are obtained in Hilbert spaces.
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