Consider the

stochastic differential equations in the sense of Stratonovich:

Among the topics are option pricing in a nutshell, examples of nonlinear problems in finance, backward

stochastic differential equations, calibrating local correlation models to market smiles, and marked branching diffusions.

One of the main topics of this proposal is to investigate how separation of time scales can cause a fast-slow deterministic system to converge to a

stochastic differential equation (SDE).

Consideration of heterogeneity with respect to mortality via a

stochastic differential mortality factor enables an investigation of adverse exercise behavior.

Inspired by [5, 10,13], we introduce time-varying consensus gains in the followers control protocol to attenuate the measurement noises, which lead to a time-varying

stochastic differential equation of the system.

of Hyderabad, India), but he looks instead at the statistical inference for stochastic processes, modeled by

stochastic differential equations driven by fractional Brownian motion, which he calls fractional diffusion processes.

We called the equality above

stochastic differential [theta]-equality.

Supposing that the dynamics of neutral risk assessment is given by the following

stochastic differential equation:

4 ] there exists a weak solution [xi](t) of diffusion type

stochastic differential equation

On the other hand, when unknown disturbances and mismatch cause significant discrepancies, it is appropriate to use

stochastic differential equation (SDE) models that explicitly account for unmeasured process disturbances in the states (Jazwinski, 1970; Maybeck, 1979).

Ouerdiane, Convolution calculus and applications to

stochastic differential equations, Soochow J.

The paper calibrates

stochastic differential equation (SDE) models for the mean and volatility of the Nordic forward electric power market.