Stochastic Delay Differential Equations and TheirApplications to Finance



Stochastic modeling in computational electromagnetics by coordinate transformations
Özgün, Özlem; Kuzuoğlu, Mustafa (null; 2015-09-04)
Computational Electromagnetics (CEM) involves the process of modeling the interaction of electromagnetic fields with physical objects and environment through numerical solutions of Maxwell’s equations. The study of such interactions is crucial in the analysis and design of electromagnetic systems or devices. For example, in electromagnetic compatibility (EMC) applications, it is essential to characterize the immunity of devices to parasitic or intentional ele...
Stochastic optimal control theory: new applications to finance and insurance
Akdoğan, Emre; Yolcu Okur, Yeliz; Weber, Gerhard Wilhelm; Department of Financial Mathematics (2017)
In this study, the literature, recent developments and new achievements in stochastic optimal control theory are studied. Stochastic optimal control theory is an important direction of mathematical optimization for deriving control policies subject to timedependent processes whose dynamics follow stochastic differential equations. In this study, this methodology is used to deal with those infinite-dimensional optimization programs for problems from finance and insurance that are indeed motivated by the real l...
Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
Savku, E.; Weber, Gerhard Wilhelm (Springer Science and Business Media LLC, 2020-08-01)
We apply dynamic programming principle to discuss two optimal investment problems by using zero-sum and nonzero-sum stochastic game approaches in a continuous-time Markov regime-switching environment within the frame work of behavioral finance. We represent different states of an economy and, consequently, investors' floating levels of psychological reactions by aD-state Markov chain. The first application is a zero-sum game between an investor and the market, and the second one formulates a nonzero-sum sto...
Stochastic assembly line balancing problems involving robots and reliability restriction
Şahin, Muhammet Ceyhan; Tural, Mustafa Kemal; Department of Industrial Engineering (2022-7-1)
When considering assembly processes in the manufacturing ecosystem, the task times may vary from cycle to cycle, especially in assembly lines where manual operations are abundant. Line stops, defective products, and off-line tasks caused by the uncertainty in assembly processes can be highly costly for companies. Stochastic assembly line balancing problems (SALBPs) consider the task processing times as random variables to deal with uncertainty in real-life assembly operations. The difficulties faced due to...
Stochastic Models Forpricing And Hedging Derivatives İn Incomplete Makets: Structure, Calibration, Dynamical Programming, Risk Optimization
Tezcan, Cihangir(2009-09-30)
THE PURPOSE AND THE RATIONALE (AMAÇ VE GEREKÇE) The common standard pricing methods of financial assets and derivative instruments determine the price as the fair value. The latter is defined as a unique arbitrage free price in a complete market. It is determined as expected value of the corresponding discounted payoff w.r.t. to a unique equivalent martingale measure (EMM). This method essentially relies on the assumption that that the market is complete, such that the buyer price and seller price match exa...
Citation Formats
E. E. Aladağlı and C. Vardar Acar, “Stochastic Delay Differential Equations and TheirApplications to Finance,” 2017, Accessed: 00, 2021. [Online]. Available: