Stochastic processes defined from a Lagrangian

DOI10.1016/0167-6687(92)90088-SMaRDI QIDQ1199965zbMATH OpenOpenAlexFDO

Authors M. J. Goonvaerts, Floriaen E. C. De Vylder, Rob Kaas

Publication date 17 January 1993

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6687(92)90088-s

zbMATH Keywords

actuarial applicationsBrownian motionproblem of solvency

Mathematics Subject Classification ID

Markov processes (60J99) Special processes (60K99)

Recommendations

• Evaluation techniques for distributions arising from stochastic processes defined from a lagrangian
• scientific article; zbMATH DE number 3980165
• A stochastic approach to insurance cycles
• A stochastic Noether theorem.
• Getting a stochastic process from a conservative Lagrangian: a first approach

Cites work

• A stochastic approach to insurance cycles
• scientific article; zbMATH DE number 3282537 (Why is no real title available?)
• The analytical evaluation of one-dimensional Gaussian path-integrals

Cited in

(6)

• The distributions of annuities
• Closed-form approximations for diffusion densities: A path integral approach.
• Getting a stochastic process from a conservative Lagrangian: a first approach
• Variational principles and Lagrangian functions for stochastic processes and their dissipative statistical descriptions
• A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results
• Evaluation techniques for distributions arising from stochastic processes defined from a lagrangian

This page was built for publication: Stochastic processes defined from a Lagrangian

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1199965)