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Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect 期刊论文
MATHEMATICAL PROBLEMS IN ENGINEERING, 2016, 页码: 8
作者:  Li, Qing;  Zhou, Yanli;  Zhao, Xinquan;  Ge, Xiangyu
收藏  |  浏览/下载：99/0  |  提交时间：2018/07/30
OPTIMAL CONTROL POLICY FOR A BROWNIAN INVENTORY SYSTEM WITH CONCAVE ORDERING COST 期刊论文
JOURNAL OF APPLIED PROBABILITY, 2015, 卷号: 52, 期号: 4, 页码: 909-925
作者:  Yao, Dacheng;  Chao, Xiuli;  Wu, Jingchen
收藏  |  浏览/下载：130/0  |  提交时间：2018/07/30
Brownian inventory system  (s, S) policy  concave ordering cost  
Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers 期刊论文
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2011, 卷号: 236, 期号: 6, 页码: 1137-1154
作者:  Xu, Mingyu
收藏  |  浏览/下载：96/0  |  提交时间：2018/07/30
Backward stochastic differential equations with two continuous barriers  Penalization method  Discrete Brownian motion  Numerical simulation  
DISCRETE GRADIENT APPROACH TO STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2011, 卷号: 49, 期号: 5, 页码: 2017-2038
作者:  Hong, Jialin;  Zhai, Shuxing;  Zhang, Jingjing
收藏  |  浏览/下载：82/0  |  提交时间：2018/07/30
stochastic differential equation in the Stratonovich sense  conserved quantity  discrete gradient  splitting technique  mean-square convergence