Exit problems for jump processes with applications to dividend problems
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- State space model identification of multirate processes with time-delay using the expectation maximization
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- Auxiliary model based recursive generalized least squares identification algorithm for multivariate output-error autoregressive systems using the decomposition technique
- Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
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- On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
- A recursive parameter estimation algorithm for modeling signals with multi-frequencies
- Hierarchical extended least squares estimation approaches for a multi-input multi-output stochastic system with colored noise from observation data
- The ruin problem for a Wiener process with state-dependent jumps
- Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes
- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
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- Hierarchical recursive generalized extended least squares estimation algorithms for a class of nonlinear stochastic systems with colored noise
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- Some explicit results on first exit times for a jump diffusion process involving semimartingale local time
- Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps
- First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
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- Separable multi‐innovation stochastic gradient estimation algorithm for the nonlinear dynamic responses of systems
- Hierarchical Newton and least squares iterative estimation algorithm for dynamic systems by transfer functions based on the impulse responses
- Maximum likelihood iterative identification approaches for multivariable equation-error moving average systems
- Data filtering-based parameter and state estimation algorithms for state-space systems disturbed by coloured noises
- Recursive identification for multivariate autoregressive equation-error systems with autoregressive noise
- The Erlang(n) risk model with two-sided jumps and a constant dividend barrier
- ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
- Characterizations of random walks on random lattices and their ramifications
- Highly computationally efficient state filter based on the delta operator
- Intra‐Horizon expected shortfall and risk structure in models with jumps
- The modified extended Kalman filter based recursive estimation for Wiener nonlinear systems with process noise and measurement noise
- Maximum likelihood least squares‐based iterative methods for output‐error bilinear‐parameter models with colored noises
- Parameter identification of a nonlinear radial basis function‐based state‐dependent autoregressive network with autoregressive noise via the filtering technique and the multiinnovation theory
- Recursive identification of errors-in-variables systems based on the correlation analysis
- Multi-innovation gradient estimation algorithms for multivariate equation-error autoregressive moving average systems based on the filtering technique
- Hierarchical multi-innovation generalised extended stochastic gradient methods for multivariable equation-error autoregressive moving average systems
- Improved least-squares identification for multiple-output non-linear stochastic systems
- Partially-coupled gradient-based iterative algorithms for multivariable output-error-like systems with autoregressive moving average noises
- Parameter estimation for a multi-input multi-output state-space system with unmeasurable states through the data filtering technique
- Gradient-based iterative parameter estimation for bilinear-in-parameter systems using the model decomposition technique
- Discounted densities of overshoot and undershoot for Lévy processes with applications in finance
- Spectrally negative Lévy risk model under mixed ratcheting-periodic dividend strategies
- On the optimality of double barrier strategies for Lévy processes
- State filtering-based least squares parameter estimation for bilinear systems using the hierarchical identification principle
- The first hitting times and first exit times for the exponential Ornstein–Uhlenbeck process
- A note on first passage functionals for hyper-exponential jump-diffusion processes
- 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
- Data filtering based maximum likelihood gradient estimation algorithms for a multivariate equation-error system with ARMA noise
- Exit identities for diffusion processes observed at Poisson arrival times
- Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
- Occupation times of hyper-exponential jump diffusion processes with application to price step options
- A hyper-exponential jump-diffusion model under the barrier dividend strategy
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