Pages that link to "Item:Q1947488"
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The following pages link to Exit problems for jump processes with applications to dividend problems (Q1947488):
Displayed 50 items.
- A hyper-Erlang jump-diffusion process and applications in finance (Q328100) (← links)
- On a perturbed Sparre Andersen risk model with dividend barrier and dependence (Q488607) (← links)
- The filtering based auxiliary model generalized extended stochastic gradient identification for a multivariate output-error system with autoregressive moving average noise using the multi-innovation theory (Q776143) (← links)
- Data filtering based maximum likelihood gradient estimation algorithms for a multivariate equation-error system with ARMA noise (Q776148) (← links)
- Exit identities for diffusion processes observed at Poisson arrival times (Q777097) (← links)
- Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122) (← links)
- Occupation times of hyper-exponential jump diffusion processes with application to price step options (Q893129) (← links)
- Strong convergence in the \(p\)th-mean of an averaging principle for two-time-scales SPDEs with jumps (Q1630005) (← links)
- Adaptive gradient-based iterative algorithm for multivariable controlled autoregressive moving average systems using the data filtering technique (Q1654319) (← links)
- Recursive parameter estimation algorithm for multivariate output-error systems (Q1661829) (← links)
- State space model identification of multirate processes with time-delay using the expectation maximization (Q1717533) (← links)
- Gradient-based iterative identification method for multivariate equation-error autoregressive moving average systems using the decomposition technique (Q1717535) (← links)
- The first passage time problem for mixed-exponential jump processes with applications in insurance and finance (Q1724420) (← links)
- Exit problems for jump processes having double-sided jumps with rational Laplace transforms (Q1724885) (← links)
- Maximum likelihood recursive least squares estimation for multivariate equation-error ARMA systems (Q1797200) (← links)
- Auxiliary model based recursive generalized least squares identification algorithm for multivariate output-error autoregressive systems using the decomposition technique (Q1797205) (← links)
- Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion (Q1799152) (← links)
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes (Q2015644) (← links)
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing (Q2170289) (← links)
- Hierarchical least squares parameter estimation algorithm for two-input Hammerstein finite impulse response systems (Q2181393) (← links)
- On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy (Q2190324) (← links)
- A recursive parameter estimation algorithm for modeling signals with multi-frequencies (Q2193644) (← links)
- Hierarchical extended least squares estimation approaches for a multi-input multi-output stochastic system with colored noise from observation data (Q2205498) (← links)
- The ruin problem for a Wiener process with state-dependent jumps (Q2214225) (← links)
- Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes (Q2283669) (← links)
- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model (Q2296488) (← links)
- The exit time and the dividend value function for one-dimensional diffusion processes (Q2318956) (← links)
- Hierarchical recursive generalized extended least squares estimation algorithms for a class of nonlinear stochastic systems with colored noise (Q2334210) (← links)
- Numerical algorithms for mean exit time and escape probability of stochastic systems with asymmetric Lévy motion (Q2335686) (← links)
- Valuing equity-linked death benefits with a threshold expense strategy (Q2347060) (← links)
- The time of deducting fees for variable annuities under the state-dependent fee structure (Q2347103) (← links)
- Some explicit results on first exit times for a jump diffusion process involving semimartingale local time (Q2664543) (← links)
- Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps (Q2671877) (← links)
- First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits (Q2673386) (← links)
- Parisian options with jumps: a maturity–excursion randomization approach (Q4619530) (← links)
- Pricing dynamic fund protections for a hyperexponential jump diffusion process (Q4638697) (← links)
- Stochastic averaging principles for multi-valued stochastic differential equations driven by poisson point Processes (Q4685703) (← links)
- Combined estimation of the parameters and states for a multivariable state‐space system in presence of colored noise (Q5000698) (← links)
- Separable multi‐innovation stochastic gradient estimation algorithm for the nonlinear dynamic responses of systems (Q5003429) (← links)
- Hierarchical Newton and least squares iterative estimation algorithm for dynamic systems by transfer functions based on the impulse responses (Q5025821) (← links)
- Maximum likelihood iterative identification approaches for multivariable equation-error moving average systems (Q5026619) (← links)
- Data filtering-based parameter and state estimation algorithms for state-space systems disturbed by coloured noises (Q5026778) (← links)
- Recursive identification for multivariate autoregressive equation-error systems with autoregressive noise (Q5027843) (← links)
- The Erlang(<i>n</i>) risk model with two-sided jumps and a constant dividend barrier (Q5079181) (← links)
- ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS (Q5214827) (← links)
- Characterizations of random walks on random lattices and their ramifications (Q5216266) (← links)
- Highly computationally efficient state filter based on the delta operator (Q5240975) (← links)
- Intra‐Horizon expected shortfall and risk structure in models with jumps (Q6054364) (← links)
- The modified extended Kalman filter based recursive estimation for Wiener nonlinear systems with process noise and measurement noise (Q6073603) (← links)
- Maximum likelihood least squares‐based iterative methods for output‐error bilinear‐parameter models with colored noises (Q6078915) (← links)