MAPLE for Jump-Diffusion Stochastic Differential Equations in Finance

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Location: Deutsche Nationalbibliothek Frankfurt am Main

Extent: Online-Ressource

Language: Englisch

Notes: In: Nielsen, Søren S. (Hrsg.): Programming Languages and Systems in Computational Economics and Finance. - Boston : Kluwer Academic Publ. , 2002 . - S. 441-460

Event: Veröffentlichung

(where): Bayreuth

(who): Universität Bayreuth

(when): 2002

Creator: Cyganowski, Sasha
Grüne, Lars
Kloeden, Peter E.

DOI: 10.15495/EPub_UBT_00005493

URN: urn:nbn:de:bvb:703-epub-5493-9

Rights: Der Zugriff auf das Objekt ist unbeschränkt möglich.

Last update: 14.08.2025, 10:58 AM CEST

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Associated

Cyganowski, Sasha
Grüne, Lars
Kloeden, Peter E.
Universität Bayreuth

Time of origin

2002

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MAPLE for Stochastic Differential Equations

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MAPLE for Stochastic Differential Equations

Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation

Characterizing attraction probabilities via the stochastic Zubov equation

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Robust asymptotic controllability under time-varying perturbations

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MAPLE for Jump-Diffusion Stochastic Differential Equations in Finance

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Time of origin

Other Objects (12)

MAPLE for Stochastic Differential Equations

Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation

Characterizing attraction probabilities via the stochastic Zubov equation

A spectral condition for asymptotic controllability and stabilization at singular points

Robust asymptotic controllability under time-varying perturbations

Optimization Based Stabilization of Nonlinear Control Systems

NMPC without terminal constraints

Subdivision techniques for the computation of domains of attraction and reachable sets

Computing stability and performance bounds for unconstrained NMPC schemes

A uniform exponential spectrum for linear flows on vector bundles

Adaptive grid generation for evolutive Hamilton-Jacobi-Bellman equations

Convergence Rates of Perturbed Attracting Sets with Vanishing Perturbation

MAPLE for Stochastic Differential Equations

Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation

Characterizing attraction probabilities via the stochastic Zubov equation

A spectral condition for asymptotic controllability and stabilization at singular points

Robust asymptotic controllability under time-varying perturbations

Optimization Based Stabilization of Nonlinear Control Systems

NMPC without terminal constraints

Subdivision techniques for the computation of domains of attraction and reachable sets

Computing stability and performance bounds for unconstrained NMPC schemes

A uniform exponential spectrum for linear flows on vector bundles

Adaptive grid generation for evolutive Hamilton-Jacobi-Bellman equations

Convergence Rates of Perturbed Attracting Sets with Vanishing Perturbation

MAPLE for Stochastic Differential Equations

Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation

Characterizing attraction probabilities via the stochastic Zubov equation

A spectral condition for asymptotic controllability and stabilization at singular points

Robust asymptotic controllability under time-varying perturbations

Optimization Based Stabilization of Nonlinear Control Systems

NMPC without terminal constraints

Subdivision techniques for the computation of domains of attraction and reachable sets

Computing stability and performance bounds for unconstrained NMPC schemes

A uniform exponential spectrum for linear flows on vector bundles

Adaptive grid generation for evolutive Hamilton-Jacobi-Bellman equations

Convergence Rates of Perturbed Attracting Sets with Vanishing Perturbation

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