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Перегляд Theory of Stochastic Processes за автором "Shevchenko, G.M."

Репозиторій DSpace/Manakin

Перегляд Theory of Stochastic Processes за автором "Shevchenko, G.M."

Сортувати за: Порядок: Результатів:

  • On differentiability of solution to stochastic differential equation with fractional Brownian motion 
    Mishura, Yu.S.; Shevchenko, G.M. (2007)
    Stochastic differential equation with pathwise integral with respect to fractional Brownian motion is considered. For solution of such equation, under different conditions, the Malliavin differentiability is proved. Under ...
  • On reselling of European option 
    Kukush, A.G.; Mishura, Yu.S.; Shevchenko, G.M. (2006)
    On Black and Scholes market investor buys a European call option. At each moment of time till the maturity, he is allowed to resell the option for the quoted market price. A model is proposed, under which there is no ...

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