A storage system with jump-driven uncertainty and its performance implications
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Cites work
- A jump-diffusion model for option pricing
- A unified framework for numerically inverting Laplace transforms
- An approximation of small-time probability density functions in a general jump diffusion model
- Differentiation Under the Expectation Sign in the Fundamental Identity of Sequential Analysis
- Exact simulation of the first passage time through a given level of jump diffusions
- Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
- First exit times and diffusion approximations for storage models with Poisson inputs, Poisson outputs and deterministic release rule
- First passage time problems for a class of master equations with separable kernels
- First passage times of a jump diffusion process
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- Non parametric estimation of the diffusion coefficients of a diffusion with jumps
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- On a first-passage problem for a cumulative process with exponential decay
- Pricing and hedging foreign equity options under Hawkes jump-diffusion processes
- Pricing equity warrants in Merton jump-diffusion model with credit risk
- Pricing of spread and exchange options in a rough jump-diffusion market
- Probability flow approach to the Onsager-Machlup functional for jump-diffusion processes
- Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions
- Stochastic Models for the Amount of Overflow in a Finite Dam with Random Inputs, Random Outputs, and Exponential Release Policy
- Storage problems in continuous time with random inputs, random outputs, and deterministic release
- The First Passage Time Density for Homogeneous Skip-free Walks on the Continuum
- The Monte Carlo Method
- Weak Euler approximation for Itô diffusion and jump processes
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