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(Research report / Forskningsrapport, 2014)
(Research report / Forskningsrapport, 2014)
(Research report / Forskningsrapport, 2014)
In this paper we show that solutions of stochastic partial differ- ential equations driven by Brownian motion can be approximated by stochastic partial differential equations forced by pure jump noise/random kicks. ...
(Research report / Forskningsrapport, 2013)
We consider a backward stochastic di erential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the ...
(Research report / Forskningsrapport, 2013)
A general market model with memory is considered. The formulation is given in terms of stochastic functional di erential equations, which allow for exibility in the modeling of market memory and delays. We focus on the ...