Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion (Q2039768): Difference between revisions

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scientific article

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English	Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion	scientific article

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instance of

scholarly article

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title

Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion (English)

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Journal of Integral Equations and Applications

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publication date

5 July 2021

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full work available at URL

https://arxiv.org/abs/1709.03418

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zbMATH Keywords

estimation of ruin probability

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fundamental martingale

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Girsanov theorem

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integro-differential equation

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mixed fractional Brownian motion

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describes a project that uses

longmemo

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MaRDI profile type

MaRDI publication profile

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cites work

Q3560912

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The Numerical Solution of Integral Equations of the Second Kind

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Q4865042

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Q5560061

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Mixed Gaussian processes: a filtering approach

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Singularity preserving Galerkin methods for weakly singular Fredholm integral equations

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Hybrid collocation methods for Fredholm integral equations with weakly singular kernels

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Mixed fractional Brownian motion

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Statistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck Process

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Asymptotic behavior of mixed power variations and statistical estimation in mixed models

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Risk theory for the compound Poisson process that is perturbed by diffusion

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A simple construction of the fractional Brownian motion.

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Galerkin Methods for Second Kind Integral Equations with Singularities

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Linear integral equations

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Q4522393

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On tail probabilities and first passage times for fractional Brownian motion

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An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions

0 references

Piecewise Polynomial Collocation for Fredholm Integro-Differential Equations with Weakly Singular Kernels

0 references

Are classes of deterministic integrands for fractional Brownian motion on an interval complete?

0 references

Product Integration for Weakly Singular Integral Equations

0 references

Weak convergence to fractional brownian motion and to the rosenblatt process

0 references

A piecewise polynomial approximation to the solution of an integral equation with weakly singular kernel

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Identifiers

zbMATH Open document ID

1504.65010

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Mathematics Subject Classification ID

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10.1216/JIE.2021.33.1

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Sitelinks

Mathematics(1 entry)

mardi Publication:2039768

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+Wei-Lin Xiao
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+The Numerical Solution of Integral Equations of the Second Kind
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+Q4865042
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+Normal rank
@@ Property / cites work @@
+Q5560061
@@ Property / cites work: Q5560061 / rank @@
+Normal rank
@@ Property / cites work @@
+Mixed Gaussian processes: a filtering approach
@@ Property / cites work: Mixed Gaussian processes: a filtering approach / rank @@
+Normal rank
@@ Property / cites work @@
+Singularity preserving Galerkin methods for weakly singular Fredholm integral equations
+Normal rank
@@ Property / cites work @@
+Hybrid collocation methods for Fredholm integral equations with weakly singular kernels
+Normal rank
@@ Property / cites work @@
+Mixed fractional Brownian motion
@@ Property / cites work: Mixed fractional Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck Process
+Normal rank
@@ Property / cites work @@
+Asymptotic behavior of mixed power variations and statistical estimation in mixed models
+Normal rank
@@ Property / cites work @@
+Risk theory for the compound Poisson process that is perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+A simple construction of the fractional Brownian motion.
+Normal rank
@@ Property / cites work @@
+Galerkin Methods for Second Kind Integral Equations with Singularities
+Normal rank
@@ Property / cites work @@
+Linear integral equations
@@ Property / cites work: Linear integral equations / rank @@
+Normal rank
@@ Property / cites work @@
+Q4522393
@@ Property / cites work: Q4522393 / rank @@
+Normal rank
@@ Property / cites work @@
+Self-similar processes in collective risk theory
@@ Property / cites work: Self-similar processes in collective risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+On tail probabilities and first passage times for fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+Piecewise Polynomial Collocation for Fredholm Integro-Differential Equations with Weakly Singular Kernels
+Normal rank
@@ Property / cites work @@
+Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
+Normal rank
@@ Property / cites work @@
+Product Integration for Weakly Singular Integral Equations
+Normal rank
@@ Property / cites work @@
+Weak convergence to fractional brownian motion and to the rosenblatt process
+Normal rank
@@ Property / cites work @@
+A piecewise polynomial approximation to the solution of an integral equation with weakly singular kernel
+Normal rank
@@ Property / DOI @@
+.1216/JIE.2021.33.1
@@ Property / DOI: 10.1216/JIE.2021.33.1 / rank @@
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