Error calculus for finance and physics. The language of Dirichlet forms.

DOI10.1515/9783110199291zbMath1110.60001OpenAlexW8206649MaRDI QIDQ1887348

Nicolas Bouleau

Publication date: 24 November 2004

Published in: De Gruyter Expositions in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/9783110199291

zbMATH Keywords

error structuresquare-field operator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Error analysis and interval analysis (65G99)

Related Items (4)

On the absolute continuity of random nodal volumes ⋮ Application of the lent particle method to Poisson-driven SDEs ⋮ Dirichlet Forms in Simulation ⋮ OPTIMAL CREDIT ALLOCATION UNDER REGIME UNCERTAINTY WITH SENSITIVITY ANALYSIS

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