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武汉大学 [20]
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期刊论文 [19]
会议论文 [1]
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2018 [1]
2017 [2]
2016 [2]
2015 [3]
2014 [4]
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专题:武汉大学
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Numerical solution stability of general stochastic differential equation
期刊论文
Journal of Interdisciplinary Mathematics, 2018, 卷号: 21, 期号: 6
作者:
Xiao, Yong
;
Zhang, Leping
;
Fang, Yanjun
收藏
  |  
浏览/下载:2/0
  |  
提交时间:2019/12/05
Harnack inequalities for SDEs driven by time-changed fractional Brownian motions
期刊论文
ELECTRONIC JOURNAL OF PROBABILITY, 2017, 卷号: 22
作者:
Deng, Chang-Song
;
Schilling, Rene L.
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/12/05
Harnack inequality
fractional Brownian motion
random time-change
stochastic differential equation
epsilon-STRONG SIMULATION FOR MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS VIA ROUGH PATH ANALYSIS
期刊论文
ANNALS OF APPLIED PROBABILITY, 2017, 卷号: 27, 期号: 1
作者:
Blanchet, Jose
;
Chen, Xinyun
;
Dong, Jing
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  |  
浏览/下载:7/0
  |  
提交时间:2019/12/05
Stochastic differential equation
Monte Carlo method
Brownian motion
Levy area
rough path
Heat kernels and analyticity of non-symmetric jump diffusion semigroups
期刊论文
PROBABILITY THEORY AND RELATED FIELDS, 2016, 卷号: 165, 期号: 1-2
作者:
Chen, Zhen-Qing
;
Zhang, Xicheng
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  |  
浏览/下载:11/0
  |  
提交时间:2019/12/05
Heat kernel estimate
Fractional derivative estimate
Non-symmetric stable-like operator
Levi's method
Martingale problem
Discontinuous Markov process
Levy system
Stable process
Stochastic differential equation
Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching
期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2016, 卷号: 32, 期号: 3
作者:
Peng, Xing-chun
;
Hu, Yi-jun
收藏
  |  
浏览/下载:14/0
  |  
提交时间:2019/12/05
investment
reinsurance
hidden Markov chain
convex risk measure
backward stochastic differential equation
Projection Filter Method Based on State Estimation to Nonlinear Systems
会议论文
作者:
Chen, Junyu
;
Du, Jianli
;
Sang, Jizhang
;
Chen, Lijuan
收藏
  |  
浏览/下载:6/0
  |  
提交时间:2019/12/05
component
projection filter method
stochastic differential model
Kohnogorov's forward equation
NASH EQUILIBRIUM PAYOFFS FOR STOCHASTIC DIFFERENTIAL GAMES WITH TWO REFLECTING BARRIERS
期刊论文
ADVANCES IN APPLIED PROBABILITY, 2015, 卷号: 47, 期号: 2
作者:
Lin, Qian
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  |  
浏览/下载:7/0
  |  
提交时间:2019/12/05
Nash equilibrium payoff
stochastic differential game
backward stochastic differential equation
Large deviations of mean-field stochastic differential equations with jumps
期刊论文
STATISTICS & PROBABILITY LETTERS, 2015, 卷号: 96
作者:
Cai, Yujie
;
Huang, Jianhui
;
Maroulas, Vasileios
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/05
Mean-field stochastic differential equation
Poisson random measure
Jump-diffusions
Weak convergence method
Uniform large deviation principle
Harnack inequalities for SDEs driven by subordinate Brownian motions
期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2014, 卷号: 417, 期号: 2
作者:
Deng, Chang-Song
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  |  
浏览/下载:2/0
  |  
提交时间:2019/12/05
Harnack inequality
Gradient estimate
Subordinate Brownian motion
Time-change
Stochastic differential equation
Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff
期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2014, 卷号: 59
作者:
Peng, Xingchun
;
Wei, Linxiao
;
Hu, Yijun
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/12/05
Investment
Consumption
Reinsurance
Backward stochastic differential equation
Malliavin calculus
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