AbstractThis work studies the analytical expressions of the expectations of the forms Eg∫0Tƒ(t, w(t)) dtw(T) ∈ B and Eg∫0Tƒ(t, w(t)) dt; w(T) ∈ B with {w(t), t ≥ 0} being a d-dimensional Brownian motion. Its application in obtaining solutions of Fokker-Planck equations is studied. Finally, a generalization from Brownian motion to diffusion processes is given in a one-dimensional setting
Let (Bt; t ≥ 0) be a Brownian motion process starting from B0 = ν and define Xν(t) = ∫ t 0 Bs ds. Fo...
Using simple kinematical arguments, we derive the Fokker-Planck equation for diffusion processes in ...
Abstract. Pricing a path-dependent financial derivative, such as an Asian option, requires the compu...
AbstractThis work studies the analytical expressions of the expectations of the forms Eg∫0Tƒ(t, w(t)...
We study multidimensional diffusion processes and give an explicit representation for their conditio...
A direct solution to the Fokker-Planck equation for exponential Brownian functionals
AbstractWe develop a notion of nonlinear expectation–G-expectation–generated by a nonlinear heat equ...
We develop a notion of nonlinear expectation-G-expectation-generated by a nonlinear heat equation wi...
PARIS7-Bibliothèque centrale (751132105) / SudocPARIS-BIUSJ-Mathématiques rech (751052111) / SudocSu...
We introduce a notion of nonlinear expectation — G-expectation — generated by a nonlinear heat equat...
We study the general solution of the Fokker-Planck equation in d dimensions with arbitrary space and...
Abstract. For Wiener spaces conditional expectations and L2-martingales w.r.t. the natural ¯ltration...
We consider exponential functionals of a Brownian motion with drift in Rn, defined via a collection ...
An asymptotic expansion scheme in finance initiated by Kunitomo and Takahashi [15] and Yoshida[68] i...
For Wiener spaces conditional expectations and L2-martingales w.r.t. the natural ¯ltration have a na...
Let (Bt; t ≥ 0) be a Brownian motion process starting from B0 = ν and define Xν(t) = ∫ t 0 Bs ds. Fo...
Using simple kinematical arguments, we derive the Fokker-Planck equation for diffusion processes in ...
Abstract. Pricing a path-dependent financial derivative, such as an Asian option, requires the compu...
AbstractThis work studies the analytical expressions of the expectations of the forms Eg∫0Tƒ(t, w(t)...
We study multidimensional diffusion processes and give an explicit representation for their conditio...
A direct solution to the Fokker-Planck equation for exponential Brownian functionals
AbstractWe develop a notion of nonlinear expectation–G-expectation–generated by a nonlinear heat equ...
We develop a notion of nonlinear expectation-G-expectation-generated by a nonlinear heat equation wi...
PARIS7-Bibliothèque centrale (751132105) / SudocPARIS-BIUSJ-Mathématiques rech (751052111) / SudocSu...
We introduce a notion of nonlinear expectation — G-expectation — generated by a nonlinear heat equat...
We study the general solution of the Fokker-Planck equation in d dimensions with arbitrary space and...
Abstract. For Wiener spaces conditional expectations and L2-martingales w.r.t. the natural ¯ltration...
We consider exponential functionals of a Brownian motion with drift in Rn, defined via a collection ...
An asymptotic expansion scheme in finance initiated by Kunitomo and Takahashi [15] and Yoshida[68] i...
For Wiener spaces conditional expectations and L2-martingales w.r.t. the natural ¯ltration have a na...
Let (Bt; t ≥ 0) be a Brownian motion process starting from B0 = ν and define Xν(t) = ∫ t 0 Bs ds. Fo...
Using simple kinematical arguments, we derive the Fokker-Planck equation for diffusion processes in ...
Abstract. Pricing a path-dependent financial derivative, such as an Asian option, requires the compu...
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