scientific article; zbMATH DE number 1515832

From MaRDI portal
Revision as of 09:17, 7 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:4508926

zbMath0977.60005MaRDI QIDQ4508926

David Williams, L. C. G. Rogers

Publication date: 10 October 2000


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items

Branching Brownian motion in a strip: survival near criticalityTransient one-dimensional diffusions conditioned to converge to a different limit pointMinimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsuranceScale effects in dynamic contractingPathwise differentiability for SDEs in a convex polyhedron with oblique reflectionRadner equilibrium in incomplete Lévy modelsSecond order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibrationIntegration with respect to local time and Itô's formula for smooth nondegenerate martingalesRegular subspaces of skew product diffusionsOn the distribution of Brownian areasMarkov mortality models: implications of quasistationarity and varying initial distributionsBrownian excursions, critical random graphs and the multiplicative coalescentMaximum likelihood estimation for Wishart processesKolmogorov forward equation and explosiveness in countable state Markov processesA new firing paradigm for integrate and fire stochastic neuronal modelsAsymptotics for recurrent diffusions with application to high frequency regressionNonlinear reserving in life insurance: aggregation and mean-field approximationStochastic covariance and dimension reduction in the pricing of basket optionsErgodicity of truncated stochastic Navier Stokes with deterministic forcing and dispersionPositive recurrence of piecewise Ornstein-Uhlenbeck processes and common quadratic Lyapunov functionsRepresentation formula for the entropy and functional inequalitiesRepresentation theorems, set-valued and fuzzy set-valued Itô integralStrong solution of Itô type set-valued stochastic differential equationDirichlet forms associated with linear diffusionsPerformance of CSMA in multi-channel wireless networksNon-equilibrium theory of the allele frequency spectrumA formal view on level 2.5 large deviations and fluctuation relationsAn SDE approach to leafwise diffusions on foliated spaces and its applicationsDynamic programming for a Markov-switching jump-diffusionHarmonic functions on Walsh's Brownian motionDiffusivity bounds for 1D Brownian polymersEmpirical likelihood inference for diffusion processes with jumpsStochastically symplectic maps and their applications to the Navier-Stokes equationA scaling analysis of a cat and mouse Markov chainOccupation and local times for skew Brownian motion with applications to dispersion across an interfaceDiffusion phenomena and thermodynamicsParticle filters with random resampling timesMean-field limit for the stochastic Vicsek modelExponential change of measure applied to term structures of interest rates and exchange ratesWeak convergence and fluid limits in optimal time-to-empty queueing control problemsQuasi Ornstein-Uhlenbeck processesLocal \(M\)-estimation for jump-diffusion processesTotal progeny in killed branching random walkRobust maximization of asymptotic growthLatent diffusion models for survival analysisSufficient stochastic maximum principle in a regime-switching diffusion modelA direct proof of the Bichteler-Dellacherie theorem and connections to arbitrageOn the optimal control method in quaternionic analysisGeneralized volatility-stabilized processesOn changes of measure in stochastic volatility modelsVariance reduction for diffusionsOn matching diffusions, Laplace transforms and partial differential equationsAsymptotic arbitrage and large deviationsMartingale approach to stochastic differential games of control and stoppingAlmost sure asymptotic stabilization of differential equations with time-varying delay by Lévy noiseNonequilibrium Markov processes conditioned on large deviationsHedging with small uncertainty aversionStationary Gaussian Markov processes as limits of stationary autoregressive time seriesA singular control model with application to the goodwill problemConditioning subordinators embedded in Markov processesAn explicit solution for an optimal stopping/optimal control problem which models an asset saleSkew Brownian diffusions across Koch interfacesAffine processes on positive semidefinite matricesHybrid Atlas modelsAn integral test for the transience of a Brownian path with limited local timeRecovering a time-homogeneous stock price process from perpetual option pricesLong-term behaviour of a cyclic catalytic branching systemBessel processes and hyperbolic Brownian motions stopped at different random timesFiltration consistent nonlinear expectations and evaluations of contingent claimsLarge scale behavior of semiflexible heteropolymersAn equivalent representation of the Brown-Resnick processHaar-based multiresolution stochastic processesBehavior near the extinction time in self-similar fragmentations. I: The stable caseDegenerate stochastic differential equations for catalytic branching networksRiesz transforms on forms and \(L^p\)-Hodge decomposition on complete Riemannian manifoldsUnconstrained recursive importance samplingA unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systemsOn the path structure of a semimartingale arising from monotone probability theoryUniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusionsOptimal exercise of executive stock optionsDiscretely sampled signals and the rough Hoff processA martingale approach for testing diffusion models based on infinitesimal operatorSimulation of forward-reverse stochastic representations for conditional diffusionsSkew disperson and continuity of local timeTowards a generalization of Dupire's equation for several assetsThe alternating marked point process of \(h\)-slopes of drifted Brownian motionMultifractional, multistable, and other processes with Prescribed local formNearest neighbor conditional estimation for Harris recurrent Markov chainsStein's method for rough pathsRuelle-Pollicott resonances of stochastic systems in reduced state space. Part I: TheoryOn the topological boundary of the range of super-Brownian motionApproximating exit times of continuous Markov processesNonlinear reserving and multiple contract modifications in life insuranceStochastic modelling of thermal effects on a ferromagnetic nano particleVolatility misspecification, option pricing and superreplication via couplingSaddlepoint approximations to option pricesWindings of Brownian motion and random walks in the planeThe limits of Sinai's simple random walk in random environmentRandom Brownian scaling identities and splicing of Bessel processesBinary sequential representations of random partitionsUniqueness in Cauchy problems for diffusive real-valued strict local martingalesCauchy Theory for General Kinetic Vicsek Models in Collective Dynamics and Mean-Field Limit ApproximationsOperator level limit of the circular Jacobi β-ensembleConditioning diffusion processes with killing ratesA unifying approach to non-minimal quasi-stationary distributions for one-dimensional diffusionsConditioning diffusion processes with respect to the local time at the originThe Minimal Entropy Martingale Measure for Exponential Markov ChainsA model of invariant control system using mean curvature drift from Brownian motion under submersionsSymmetries of stochastic differential equations using Girsanov transformationsDiffusion Bridges for Stochastic Hamiltonian Systems and Shape EvolutionsSome harmonic functions for killed Markov branching processes with immigration and cullingCostly defense traits in structured populationsThe density evolution of the killed McKean–Vlasov processOptimal Control of Diffusion Coefficients via Decoupling FieldsLong Time Asymptotics of Heat Kernels and Brownian Winding Numbers on Manifolds with BoundaryMilstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian SwitchingStochastic models of regulation of transcription in biological cellsOptimal anytime regret with two expertsMarginal dynamics of interacting diffusions on unimodular Galton-Watson treesOn the relation of one-dimensional diffusions on natural scale and their speed measuresStochastic Linear-Quadratic Optimal Control with Partial ObservationDiffusion approximation of an infinite-server queue under Markovian environment with rapid switchingOptimal stopping with signaturesOn the Feller-Dynkin and the martingale property of one-dimensional diffusionsMixing time and cutoff for one-dimensional particle systemsInput-to-state stability for switched stochastic nonlinear systems with mode-dependent random impulsesNetwork Effects in Default Clustering for Large SystemsA non‐conservative Harris ergodic theoremConcatenation of Nonhonest Feller Processes, Exit Laws, and Limit Theorems on GraphsGlobal exponential stabilization of quantum spin-\(\frac{1}{2}\) systems via improved feedback controlThe existence of the least favorable noiseProjections of SDEs onto submanifoldsThe Langevin Monte Carlo algorithm in the non-smooth log-concave caseMultilevel Particle FiltersConvergence to closed-form distribution for the backward \(SLE_\kappa\) at some random times and the phase transition at \(\kappa = 8\)One-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficientsStochastic Volterra equations with Hölder diffusion coefficientsHedging error as generalized timing riskStandard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processesNotes on a certain local time and excursions of simple symmetric random walksFunctional convergence to the local time of a sticky diffusionSequential testing problems for Bessel processesNonlinear independent component analysis for discrete-time and continuous-time signalsNonparametric conditional local independence testingContinuous-state branching processes with collisions: first passage times and dualityA palm space approach to non-linear Hawkes processesThree-point correlation functions in the \(\mathfrak{sl}_3\) Toda theory. I: Reflection coefficientsGeneral diffusion processes as limit of time-space Markov chainsStationary local random countable sets over the Wiener noiseStochastic Evolution Equations for Large Portfolios of Stochastic Volatility ModelsDETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETSSteady-State Sensitivity Analysis of Continuous Time Markov ChainsDouble-Barrier Parisian OptionsExecutive Stock Option Exercise with Full and Partial Information on a Drift Change PointConstrained Dynamic Optimality and Binomial Terminal WealthInformation thermodynamics for interacting stochastic systems without bipartite structureStationary Distributions of Continuous-Time Markov Chains: A Review of Theory and Truncation-Based ApproximationsConstruction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional DiffusionsUndiscounted Markov Chain BSDEs to Stopping TimesParameter Dependent Optimal Thresholds, Indifference Levels and Inverse Optimal Stopping ProblemsCredit portfolio selection with decaying contagion intensitiesA continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviourOn the martingale property of stochastic exponentialsStochastic Integrals and Conditional Full SupportDiscretionary stopping of one-dimensional Itô diffusions with a staircase reward functionA note on chaotic and predictable representations for Itô–Markov additive processesMultiscale Modelling of Complex Fluids: A Mathematical InitiationOn Exponential Stabilization of $N$-Level Quantum Angular Momentum SystemsRegime-switching diffusion processes: strong solutions and strong Feller propertyRobust Feedback Stabilization of N-Level Quantum Spin SystemsSome explicit results on one kind of sticky diffusionUnnamed ItemUnnamed ItemUnnamed ItemOn the Compensator in the Doob--Meyer Decomposition of the Snell EnvelopeExit Problems as the Generalized Solutions of Dirichlet ProblemsAn Optimal Dividend Problem with Capital Injections over a Finite HorizonStability Analysis of Stochastic Impulsive Switched Systems with Deterministic State-Dependent Impulses and SwitchesStability of Dirichlet heat kernel estimates for non-local operators under Feynman-Kac perturbationA Measure Approach for Continuous Inventory Models: Discounted Cost CriterionA Stochastic Volatility Alternative to SABROPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODELA probabilistic view on singularitiesOn Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable RegimesLimit properties of Lévy walksLarge deviations of currents in diffusions with reflective boundariesReduction and reconstruction of SDEs via Girsanov and quasi Doob symmetriesCycle symmetry, limit theorems, and fluctuation theorems for diffusion processes on the circleApproximating a diffusion by a finite-state hidden Markov modelOn the Transient Behavior of Ehrenfest and Engset ProcessesSymmetries of stochastic differential equations: A geometric approachEfficiency of the Girsanov Transformation Approach for Parametric Sensitivity Analysis of Stochastic Chemical KineticsRetrospective exact simulation of diffusion sample paths with applicationsGenealogy of catalytic branching modelsGlobal \(C^1\) regularity of the value function in optimal stopping problemsOptimal real-time detection of a drifting Brownian coordinateParameter and dimension dependence of convergence rates to stationarity for reflecting Brownian motionsOn dynamics of the maximum likelihood states in nonequilibrium systemsMixing properties of stochastic quantum HamiltoniansOn Large Deviations for Small Noise Itô ProcessesA novel multi-agent model for chemical self-assemblyFeynman-Kac theorem in random environments and partial integro-differential equationsDividend optimisation: a behaviouristic approachTime-consistent evaluation of credit risk with contagionOne-dimensional diffusion and stochastic differential equationOn Itô's formula for semimartingales with jumps and non-\(\mathcal{C}^2\) functionsModel uncertainty, recalibration, and the emergence of delta-vega hedgingUtility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit SolutionsThreshold reweighted Nadaraya-Watson estimation of jump-diffusion modelsClosed-form formula for conditional moments of generalized nonlinear drift CEV processMean-field risk sensitive control and zero-sum games for Markov chainsGraphical modeling of stochastic processes driven by correlated noiseExcursions of the Brox diffusionNash equilibrium premium strategies for push-pull competition in a frictional non-life insurance marketConformal invariance of boundary touching loops of FK Ising modelContinuum limit of random matrix products in statistical mechanics of disordered systemsWiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatilityThe continuum limit of critical random graphsComparison results for stochastic volatility models via couplingProbabilistic representations of fragmentation equationsBrownian Bridges on Random IntervalsExistence of geometric ergodic periodic measures of stochastic differential equationsHitting distributions of \(\alpha\)-stable processes via path censoring and self-similarityA path integral formulation of the Wright-Fisher process with genic selectionAsymptotic behavior of a Feller evolution family involved in the Fisher-Wright modelLiquidity and the marginal value of informationThe frequency-dependent Wright-Fisher model: diffusive and non-diffusive approximationsOn the tail asymptotics of the area swept under the Brownian storage graphErgodic behavior of locally regulated branching populationsModel robustness of finite state nonlinear filtering over the infinite time horizonBoundary driven zero-range processes in random mediaVariational and optimal control representations of conditioned and driven processesEffective Langevin equations for constrained stochastic processesNegative Libor rates in the swap market modelInsider trading in an equilibrium model with default: a passage from reduced-form to structural modellingThe Laguerre process and generalized Hartman-Watson lawExit problems in regime-switching modelsIntensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theoremAlmost sure convergence of solutions of linear stochastic Volterra equations to nonequilibrium limitsStochastic equations on compact groups in discrete negative timeMartingale transforms and \(L^p\)-norm estimates of Riesz transforms on complete Riemannian manifoldsPeriodic homogenization for inertial particlesOn the first passage problem for correlated Brownian motionA scheme for simulating one-dimensional diffusion processes with discontinuous coefficientsA random walk on \(\mathbb Z\) with drift driven by its occupation time at zeroSubtree prune and regraft: a reversible real tree-valued Markov processHedging of the European option with nonsmooth payment functionUniform approximation of the Cox-Ingersoll-Ross processLong-time behavior for a class of Feller processesInteracting branching processes and linear file-sharing networksProgressive enlargements of filtrations with pseudo-honest timesA Pseudo-Markov Property for Controlled Diffusion ProcessesBayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methodsMathematical foundation of nonequilibrium fluctuation-dissipation theorems for inhomogeneous diffusion processes with unbounded coefficientsOn laws of large numbers for systems with mean-field interactions and Markovian switchingRandom walk Metropolis algorithm in high dimension with non-Gaussian target distributionsTime reversal of some stationary jump diffusion processes from population geneticsMarkov-modulated Ornstein–Uhlenbeck processesIsomorphism Theorems: Markov Processes, Gaussian Processes and BeyondOn the compensator of the default process in an information-based modelLimit theorems for generalized density-dependent Markov chains and bursty stochastic gene regulatory networksThe Value of InsightOptimal Control of Capital Injections by Reinsurance with a Constant Rate of InterestStopping with expectation constraints: 3 points sufficeOptimal Stopping for Processes with Independent Increments, and ApplicationsFinite-Horizon Optimal Multiple Switching with Signed Switching CostsCondensation of a self-attracting random walkObserving a Lévy process up to a stopping timeIntrinsic metric and one-dimensional diffusionsDecreasing sequences of \(\sigma\)-fields and a measure change for Brownian motion. IExistence and uniqueness of quasi-stationary distributions for symmetric Markov processes with tightness propertyThe hydrodynamic limit of a randomized load balancing networkOn Skorokhod embeddings and Poisson equationsSliced Inverse Regression and Independence in Random Marked Sets with CovariatesHitting Times, Occupation Times, Trivariate Laws and the Forward Kolmogorov Equation for a One-Dimensional Diffusion with MemoryPathwise differentiability of reflected diffusions in convex polyhedral domainsGlobal stability and stabilization of more general stochastic nonlinear systemsWeak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion modelsResolvent-techniques for multiple exercise problemsGambling in contests modelled with diffusionsProof techniques in quasi-Monte Carlo theoryApproximate analysis of biological systems by hybrid switching jump diffusionA remark on the heat equation with a point perturbation, the Feynman-Kac formula with local time and derivative pricingRandomized and backward SDE representation for optimal control of non-Markovian SDEsProtected polymorphisms and evolutionary stability of patch-selection strategies in stochastic environmentsMaximum principles for jump diffusion processes with infinite horizonOptimal transport and Skorokhod embeddingOn the distribution of ranked heights of excursions of a Brownian bridge.A cyclically catalytic super-Brownian motionThe first exit time of planar Brownian motion from the interior of a parabolaEccentric behaviors of the Brownian sheet along linesRight inverses of nonsymmetric Lévy processes.Pinching and twisting Markov processesAvoiding the origin: A finite-fuel stochastic control problemOn uniqueness of solutions for the stochastic differential equations of nonlinear filteringLarge deviations of Jackson networks.An analytical study of participating policies with minimum rate guarantee and surrender optionOn path-dependent SDEs involving distributional driftsA Koopman framework for rare event simulation in stochastic differential equationsDetecting the presence of a random drift in Brownian motionOn a first hit distribution of the running maximum of Brownian motionStrong convergence rate of Euler-Maruyama approximations in temporal-spatial Hölder-normsStochastic integral equations for Walsh semimartingalesRobust pricing-hedging dualities in continuous timeCapacity expansion games with application to competition in power generation investmentsSome Brownian functionals and their lawsExit time asymptotics for small noise stochastic delay differential equationsBackward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approachStabilization for uncertain stochastic T-S fuzzy system driven by Lévy noiseOn the value of non-Markovian Dynkin games with partial and asymmetric informationWhen is it best to follow the leader?Mean-field-type games with jump and regime switchingBrownian motion in a wedge with variable reflection: Existence and uniquenessOn the existence of universal functional solutions to classical SDE'sThe value of foresightNonuniqueness for nonnegative solutions of parabolic stochastic partial differential equationsStationary points in coalescing stochastic flows on \(\mathbb{R}\)New perspectives on Ray's theorem for the local times of diffusionsCongestion-based leadtime quotation and pricing for revenue maximization with heterogeneous customersReweighted Nadaraya-Watson estimation of jump-diffusion modelsRandom periodic processes, periodic measures and ergodicityNo arbitrage in continuous financial marketsConsumption-portfolio optimization with recursive utility in incomplete marketsConsistent nonparametric Bayesian inference for discretely observed scalar diffusionsA test for a parametric form of the volatility in second-order diffusion modelsOn uniqueness of solutions to martingale problems -- counterexamples and sufficient criteriaError distributions for random grid approximations of multidimensional stochastic integralsImproved bridge constructs for stochastic differential equationsRoot's barrier: construction, optimality and applications to variance optionsSingular forward-backward stochastic differential equations and emissions derivativesSubordination by conformal martingales in \(L^{p}\) and zeros of Laguerre polynomialsA degenerate central limit theorem for single resource loss systemsConvergence of clock processes in random environments and ageing in the \(p\)-spin SK modelWasserstein convergence rates for random bit approximations of continuous Markov processesMultilevel particle filters for the non-linear filtering problem in continuous timeNuméraire-invariant preferences in financial modelingMany-server diffusion limits for \(G/Ph/n+GI\) queuesOn sub-geometric ergodicity of diffusion processesExistence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equationsStochastically globally exponential stability of stochastic impulsive differential systems with discrete and infinite distributed delays based on vector Lyapunov functionMartingale solutions of nematic liquid crystals driven by pure jump noise in the Marcus canonical formCanonical RDEs and general semimartingales as rough pathsGeneralized \(\Gamma\) calculus and application to interacting particles on a graphPenalizing fractional Brownian motion for being negativeMarkov chain approximations for one dimensional diffusionsLocally interacting diffusions as Markov random fields on path spaceNear-optimal asset allocation in financial markets with trading constraintsSquared Bessel processes of positive and negative dimension embedded in Brownian local timesA nonclassical solution to a classical SDE and a converse to Kolmogorov's zero-one lawJump-diffusion processes in random environmentsStochastic impulse control with regime-switching dynamicsLong time behaviour of a stochastic nanoparticleAsymptotic expansion of a nonlinear oscillator with a jump-diffusion processMarkov processes conditioned on their location at large exponential timesGeneralized refracted Lévy process and its application to exit problemAlgorithmic estimation of risk factors in financial markets with stochastic driftUtility indifference pricing and hedging for structured contracts in energy marketsEmbedding of Walsh Brownian motionLyapunov criteria for uniform convergence of conditional distributions of absorbed Markov processesContinuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solutionChange of drift in one-dimensional diffusionsA functional limit theorem for coin tossing Markov chainsAveraging principles for Markovian models of plasticityStochastic PDEs on graphs as scaling limits of discrete interacting systemsLocal times and Tanaka-Meyer formulae for càdlàg pathsHedging options for a large investor and forward-backward SDE'sShrinkage estimators, Skorokhod's problem and stochastic integration by partsCartan connections for stochastic developments on sub-Riemannian manifoldsFokker-Planck equations with terminal condition and related McKean probabilistic representationPricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methodsIntegrated Brownian motion, conditioned to be positiveA mean-field matrix-analytic method for bike sharing systems under Markovian environmentSuperposition principles for the Zakai equations and the Fokker-Planck equations on measure spacesEvent-triggered consensus control of continuous-time stochastic multi-agent systemsRandom observations of marked Cox processes. Time insensitive functionalsStopping spikes, continuation bays and other features of optimal stopping with finite-time horizonSpatial populations with seed-bank: well-posedness, duality and equilibriumThe random walk penalised by its range in dimensions \(d\geqslant 3\)Stochastic processes on surfaces in three-dimensional contact sub-Riemannian manifoldsOn a theorem by A.S. Cherny for semilinear stochastic partial differential equationsThe Doob-McKean identity for stable Lévy processesSimulation of a space-time bounded diffusionApproximating the magnetization in the Curie-Weiss modelQuickest real-time detection of a Brownian coordinate driftRobust classical-impulse stochastic control problems in an infinite horizonA generalisation of the Burkholder-Davis-Gundy inequalitiesSticky PDMP samplers for sparse and local inference problems