Corrected diffusion approximations in certain random walk problems
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(53)- Conjugate processes and the simulation of ruin problems
- Large deviations for the maxima of some random fields
- Ruin theory with compounding assets -- a survey
- Ladder heights, Gaussian random walks and the Riemann zeta function
- The Istanbul option: Where the standard European option becomes Asian
- A lower confidence bound for the change point after a sequential CUSUM test
- SPRT and CUSUM in hidden Markov models
- New and refined bounds for expected maxima of fractional Brownian motion
- Local information and the design of sequential hypothesis tests
- An upper bound for the accuracy of the Wiener process approximation of the error probabilities of the SPRT
- Uniform Markov renewal theory and ruin probabilities in Markov random walks.
- Bias of estimator of change point detected by a CUSUM procedure
- Improving Brownian approximations for boundary crossing problems
- Stopped diffusion processes: boundary corrections and overshoot
- Change-point problems: bibliography and review
- Multiple changepoint detection in categorical data streams
- On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk
- On Lerch's transcendent and the Gaussian random walk
- Cumulants of the maximum of the Gaussian random walk
- Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
- On the biases of change point and change magnitude estimation after CUSUM test
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- On the moments of a semi-Markovian random walk with Gaussian distribution of summands
- Inference after truncated one-sided sequential test
- Finite horizon ruin probabilities for random walks with heavy tailed increments
- Bounds for expected maxima of Gaussian processes and their discrete approximations
- A Corrected wiener process approximation for cusum arls
- An estimate for the sum of the Spitzer series and its generalization
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- Approximations for the probability of ruin within finite time
- On the bayes risk incurred by using asymptotic shapes
- Brownian approximations to first passage probabilities
- An approximation method for the characteristics of the sequential probability ratio test
- Approximations for Finite Horizon Ruin Probabilities in the Renewal Model
- Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics
- Risk theory in a Markovian environment
- Asymptotic expansions and saddlepoint approximations using the analytic continuation of moment generating functions
- Approximation formulas for the moments of the boundary functional of a Gaussian random walk with positive drift by using Siegmund's formula
- Precise large deviations for the first passage time of a random walk with negative drift
- Asymptotic equivalence between boundary perturbations and discrete exit times: application to simulation schemes
- Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift
- Uniform renewal theory with applications to expansions of random geometric sums
- Inference for Change-Point and Post-Change Mean with Possible Change in Variance
- The SPRT control chart for the process mean with samples starting at fixed times
- Asymptotic expansions of defective renewal equations with applications to perturbed risk models and processor sharing queues
- Heavy-traffic single-server queues and the transform method
- Continuity correction: on the pricing of discrete double barrier options
- Sequential change diagnosis revisited and the Adaptive Matrix CuSum
- The high-order corrections of discrete harmonic measures and their correction constants
- Clarifying the asymptotic behavior of the overshoot in random walks
- Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
- Corrected asymptotics for a multi-server queue in the Halfin-Whitt regime
- Complete corrected diffusion approximations for the maximum of a random walk
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