Chinese | English

Search in the results

CSpace

Browse/Search Results:  1-10 of 13 Help

Selected(0)Clear Items/Page:    Sort:
DISTRIBUTED ORDER ESTIMATION OF ARX MODEL UNDER 期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2022, 卷号: 60, 期号: 3, 页码: 1519-1545
Authors:  Gan, D. I. E.;  Liu, Zhixin
Favorite  |  View/Download：10/0  |  Submit date：2023/02/07
distributed order estimation  cooperative excitation condition  distributed least squares  convergence  
Agent's Optimal Compensation Under Inflation Risk by Using Dynamic Contract Model 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2021, 卷号: 34, 期号: 6, 页码: 2291-2309
Authors:  Fei Chen;  Fei Weiyin;  Zhang Fanhong;  Yang Xiaoguang
Favorite  |  View/Download：66/0  |  Submit date：2022/04/02
Equity incentive  inflation risk  Ito formula  principal-agent problem  the martingale representation theorem  
A natural extension of Markov processes and applications to singular SDEs 期刊论文
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 2020, 卷号: 56, 期号: 4, 页码: 2480-2506
Authors:  Beznea, Lucian;  Cimpean, Iulian;  Rockner, Michael
Favorite  |  View/Download：64/0  |  Submit date：2021/01/14
Stochastic differential equation on Hilbert spaces  Stochastic PDE  Martingale problem  Not allowed starting point  Girsanov transform  Nonregular drift  Dirichlet form  Right process  Fine topology  
Optimal regularity of stochastic evolution equations in M-type 2 Banach space 期刊论文
JOURNAL OF DIFFERENTIAL EQUATIONS, 2019, 卷号: 267, 期号: 3, 页码: 1955-1971
Authors:  Hong, Jialin;  Huang, Chuying;  Liu, Zhihui
Favorite  |  View/Download：126/0  |  Submit date：2020/01/10
Stochastic evolution equation  Multiplicative noise  Well-posedness  Trajectory regularity  Factorization method  
Markov selection and W-strong Feller for 3D stochastic primitive equations 期刊论文
SCIENCE CHINA-MATHEMATICS, 2017, 卷号: 60, 期号: 10, 页码: 1873-1900
Authors:  Dong, Zhao;  Zhang, RangRang
Favorite  |  View/Download：96/0  |  Submit date：2018/07/30
primitive equations  Markov selection  W-strong Feller  
markovselectionandwstrongfellerfor3dstochasticprimitiveequations 期刊论文
sciencechinamathematics, 2017, 卷号: 60, 期号: 10, 页码: 1873
Authors:  Dong Zhao;  Zhang Rangrang
Favorite  |  View/Download：108/0  |  Submit date：2020/01/10
Reflected BSDEs with random default time and related mixed optimal stopping-control problems 期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2013, 卷号: 29, 期号: 1, 页码: 165-178
Authors:  Guo Dongmei;  Xu Xiaoming
Favorite  |  View/Download：62/0  |  Submit date：2021/01/14
STOCHASTIC DIFFERENTIAL-EQUATIONS  RISK  backward stochastic differential equation  random default time  mixed optimal stopping-control problem  
Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing 期刊论文
OPTIMIZATION, 2008, 卷号: 57, 期号: 5, 页码: 691-703
Authors:  Li, Ping;  Wang, Shou-Yang
Favorite  |  View/Download：58/0  |  Submit date：2018/07/30
martingale measure  derivative pricing  optimal consumption  incomplete market  utility maximization  
Optimal investment for an insurer: The martingale approach 期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2007, 卷号: 40, 期号: 2, 页码: 322-334
Authors:  Wang, Zengwu;  Xia, Jianming;  Zhang, Lihong
Favorite  |  View/Download：90/0  |  Submit date：2018/07/30
mean-variance efficient portfolio  martingale approach  forward-backward stochastic differential equation (FBSDE)  insurer  
Markowitz's portfolio optimization in an incomplete market 期刊论文
MATHEMATICAL FINANCE, 2006, 卷号: 16, 期号: 1, 页码: 203-216
Authors:  Xia, JM;  Yan, JA
Favorite  |  View/Download：108/0  |  Submit date：2018/07/30
mean-variance portfolios  convex duality  signed martingale measures  attainable claims  Levy processes