Papers by Vigirdas Mackevičius
Stochastic Models of Financial Mathematics, 2016
Abstract: We suppose that all random variables and processes considered are defined on one probab... more Abstract: We suppose that all random variables and processes considered are defined on one probability space (Ω, ℱ, P ).
Introduction to Stochastic Analysis, 2013
Introduction to Stochastic Analysis, 2013
An option is a contract between two parties, buyer and seller, which gives one party the right, b... more An option is a contract between two parties, buyer and seller, which gives one party the right, but not the obligation, to buy or to sell some asset until an agreed date, while the second party has the obligation to fulfill the contract if requested.
Introduction to Stochastic Analysis, 2013
Integrals and Differential Equations, 2013
Mathematics and Computers in Simulation, 1997
ABSTRACT Let Xt, t ∈ [0,T], be the solution of a stochastic differential equation, and let Xth, t... more ABSTRACT Let Xt, t ∈ [0,T], be the solution of a stochastic differential equation, and let Xth, t ∈ [0,T], be the Euler approximation with the step h = Tn. It is known that, for a wide class of functions f, the error Ef(XTh) − Ef(XT) is O(h) or, more exactly, C · h + O(h2). We propose an extension of these results to a class of functionals f depending on the trajectories of the solution on the whole time interval [0,T]. The functionals are defined on an appropriate semi-martingale space.
Journal of Mathematical Chemistry, 2015
From Rather Simple to Rather Complex, 2014
From Rather Simple to Rather Complex, 2014
From Rather Simple to Rather Complex, 2014
From Rather Simple to Rather Complex, 2014
From Rather Simple to Rather Complex, 2014
From Rather Simple to Rather Complex, 2014
From Rather Simple to Rather Complex, 2014
From Rather Simple to Rather Complex, 2014
From Rather Simple to Rather Complex, 2014
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Papers by Vigirdas Mackevičius