<--- Back to Details
First PageDocument Content
Mathematical analysis / Control theory / Multivariable calculus / Partial differential equation / Polynomial chaos / State space / Mathematical optimization / Interval finite element / Feynman–Kac formula / Calculus / Stochastic processes / Differential equations
Date: 2012-05-04 09:32:48
Mathematical analysis
Control theory
Multivariable calculus
Partial differential equation
Polynomial chaos
State space
Mathematical optimization
Interval finite element
Feynman–Kac formula
Calculus
Stochastic processes
Differential equations

Add to Reading List

Source URL: www.samsi.info

Download Document from Source Website

File Size: 1,75 MB

Share Document on Facebook

Similar Documents

Feynman…Kac formula for heat equation driven by fractional white noise

DocID: 1mGG1 - View Document

Martingale / Brownian motion / Quadratic variation / Feynman–Kac formula / Stopping time / Risk-neutral measure / Local martingale / Wiener process / Itō diffusion / Statistics / Stochastic processes / Black–Scholes

Stochastic Calculus and Financial Applications Final Take Home Exam (Steele: Fall[removed]Instructions. You may consult any books or articles that you find useful. If you use a result that is not from our text, attach a co

DocID: RYag - View Document

Finance / Black–Scholes / Equations / Stock market / Futures contract / Financial economics / Mathematical finance / Options

A new Feynman-Kac-formula for option pricing in L´evy models Kathrin Glau Department of Mathematical Stochastics, Universtity of Freiburg (Joint work with E. Eberlein)

DocID: Ryzq - View Document

Statistics / Equations / Differential equations / Feynman–Kac formula / Heat equation / Ordinary differential equations / Partial differential equation / Black–Scholes / Itō diffusion / Calculus / Mathematical analysis / Stochastic processes

Forward is backward for time-homogeneous diffusions or Why worry about boundary conditions? Johan Tysk ¨

DocID: Rlyq - View Document

Stochastic processes / Stochastic calculus / Differential equations / Stochastic differential equations / Equations / Partial differential equation / Feynman–Kac formula / Black–Scholes / Infinitesimal generator / Mathematical analysis / Calculus / Statistics

PDE for Finance Notes, Spring 2011 – Section 1. Notes by Robert V. Kohn, Courant Institute of Mathematical Sciences. For use in connection with the NYU course PDE for Finance, G63[removed]Prepared in 2003, minor updates

DocID: RdMH - View Document