Introduction To Stochastic Calculus With Applications

By A. Walter. 2016

601 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/9297f361c502ed6b505eddc0419a9cd581b47e33

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1. Peng-Weng Chen

Citations in the corpus

• ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS (2013, unknown): “If σ > 0, then applying Itô’s formula for semimartingales (cf. Klebaner, 2008, p. 234) one has Ex [ e−q(t∧T)V(Ub(t ∧ T), b) ] = V(x, b) + Ex ∫ t∧T 0 e−qs [(A − q)V(Ub(s), b) − α1{Ub(s)>b}V′(Ub(s), b)]ds. Letting t → ∞ and noting that V(0, b) = 0 (since Ub always creeps downward and hence Ub(T) = 0…”
• Modelling the Stochastic Correlation (2016, background): “This section is based on [9] and we will talk about the existence and uniqueness of the solutions for stochastic differential equations.”