| Publication | Date of Publication | Type |
|---|
Estimation in a general mixture of Markov jump processes
The Canadian Journal of Statistics | 2024-11-24 | Paper |
Maximum likelihood recursive state estimation: an incomplete-information based approach
Automatica | 2024-09-16 | Paper |
Profile likelihood estimation for the cox proportional hazards (PH) cure model and standard errors
Statistical Papers | 2024-04-30 | Paper |
Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
Scandinavian Actuarial Journal | 2023-03-13 | Paper |
Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path
Journal of Multivariate Analysis | 2022-06-16 | Paper |
The Leland-Toft optimal capital structure model under Poisson observations
Finance and Stochastics | 2020-11-11 | Paper |
Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Distributional properties of the mixture of continuous-time absorbing Markov chains moving at different speeds
Stochastic Systems | 2020-06-18 | Paper |
Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process
(available as arXiv preprint) | 2019-07-02 | Paper |
Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution
Asia-Pacific Financial Markets | 2018-12-03 | Paper |
Discounted penalty function at Parisian ruin for Lévy insurance risk process
Insurance Mathematics & Economics | 2018-11-19 | Paper |
Discounted penalty function at Parisian ruin for Lévy insurance risk process
Insurance Mathematics & Economics | 2018-11-19 | Paper |
| Conditional Joint Probability Distributions of First Exit Times to Overlapping Absorbing Sets of the Mixture of Markov Jump Processes | 2018-09-15 | Paper |
| On the conditional joint probability distributions of phase-type under the mixture of finite-state absorbing Markov jump processes | 2018-07-12 | Paper |
Optimal double stopping of a Brownian bridge
Advances in Applied Probability | 2016-02-12 | Paper |
Optimal double stopping of a Brownian bridge
Advances in Applied Probability | 2016-02-12 | Paper |
Optimal double stopping of a Brownian bridge
Advances in Applied Probability | 2016-02-12 | Paper |
Optimal capital structure with scale effects under spectrally negative Lévy models
International Journal of Theoretical and Applied Finance | 2014-06-19 | Paper |
Evaluating Scale Functions of Spectrally Negative Lévy Processes
Journal of Applied Probability | 2008-04-30 | Paper |
Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
Finance and Stochastics | 2007-12-16 | Paper |
A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation
Lecture Notes in Mathematics | 2007-10-31 | Paper |
An approach for solving perpetual optimal stopping problems driven by Lévy processes
Stochastics | 2007-03-30 | Paper |
On the Novikov-Shiryaev optimal stopping problems in continuous time
Electronic Communications in Probability | 2006-11-03 | Paper |
