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

Latest revision as of 20:45, 16 December 2024

scientific article

Language	Label	Description	Also known as
English	Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion	scientific article

Statements

instance of

scholarly article

0 references

title

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

0 references

0 references

0 references

Journal of Integral Equations and Applications

0 references

publication date

5 July 2021

0 references

full work available at URL

https://arxiv.org/abs/1709.03418

0 references

zbMATH Keywords

estimation of ruin probability

0 references

fundamental martingale

0 references

Girsanov theorem

0 references

integro-differential equation

0 references

mixed fractional Brownian motion

0 references

describes a project that uses

longmemo

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Q3560912

0 references

The Numerical Solution of Integral Equations of the Second Kind

0 references

Q4865042

0 references

Q5560061

0 references

Mixed Gaussian processes: a filtering approach

0 references

Singularity preserving Galerkin methods for weakly singular Fredholm integral equations

0 references

Hybrid collocation methods for Fredholm integral equations with weakly singular kernels

0 references

Mixed fractional Brownian motion

0 references

Statistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck Process

0 references

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

0 references

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

0 references

A simple construction of the fractional Brownian motion.

0 references

Galerkin Methods for Second Kind Integral Equations with Singularities

0 references

Linear integral equations

0 references

Q4522393

0 references

On tail probabilities and first passage times for fractional Brownian motion

0 references

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

0 references

Identifiers

zbMATH Open document ID

1504.65010

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

10.1216/JIE.2021.33.1

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2039768

@@ Property / DOI @@
-.1216/jie.2021.33.1
@@ Property / DOI: 10.1216/jie.2021.33.1 / rank @@
-Normal rank
@@ Property / describes a project that uses @@
+longmemo
@@ Property / describes a project that uses: longmemo / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3172361757
@@ Property / OpenAlex ID: W3172361757 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.03418
@@ Property / arXiv ID: 1709.03418 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3560912
@@ Property / cites work: Q3560912 / rank @@
+Normal rank
@@ Property / cites work @@
+The Numerical Solution of Integral Equations of the Second Kind
+Normal rank
@@ Property / cites work @@
+Q4865042
@@ Property / cites work: Q4865042 / rank @@
+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 @@
+Normal rank