scientific article

zbMath0469.60001MaRDI QIDQ3923307

Samuel Karlin, Howard M. Taylor

Publication date: 1981

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

branching processesBrownian motiondiffusion processesrenewal processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Queueing theory (aspects of probability theory) (60K25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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with target zones, Computation of solutions to linear difference and differential equations with a prescribed asymptotic behavior, Population dynamic models generating the lognormal species abundance distribution, Computing hitting probabilities of Markov chains: structural results with regard to the solution space of the corresponding system of equations, The density of bounded diffusions, SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions, Re-weighted functional estimation of second-order diffusion processes, Numerical investigation of flow field effects on fuel-air mixing in a non-reacting trapped vortex combustor with different injection arrangements, The hitting time density for a reflected Brownian motion, Almost sure multifractal spectrum for the tip of an SLE curve, Microfoundations for diffusion price processes, Diffusions with holding and jumping boundary, A new non-linear \(AR(1)\) time series model having approximate beta marginals, Stochastic modeling of nonlinear epidemiology, Brownian meanders, importance sampling and unbiased simulation of diffusion extremes, Multisource Bayesian sequential binary hypothesis testing problem, A stochastic model in tumor growth, Alpha-diversity processes and normalized inverse-Gaussian diffusions, Alignment-free phylogenetic reconstruction: Sample complexity via a branching process analysis, High host density favors greater virulence: a model of parasite-host dynamics based on multi-type branching processes, Computation of invariant measures and stationary expectations for Markov chains with block-band transition matrix, Transient dynamics of Pearson diffusions facilitates estimation of rate parameters, A stochastic diffusion process for the Dirichlet distribution, Harvesting in a random environment: Itô or Stratonovich calculus?, Stochastic von Bertalanffy models, with applications to fish recruitment, Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance, Conditional processes induced by birth and death processes, A time-dependent Poisson random field model for polymorphism within and between two related biological species, Many-server diffusion limits for \(G/Ph/n+GI\) queues, Heterogeneous communities with lognormal species abundance distribution: species-area curves and sustainability, An extended stochastic Allee model with harvesting and the risk of extinction of the herring population, Parameter estimation for non-stationary Fisher-Snedecor diffusion, On firm size distribution: statistical models, mechanisms, and empirical evidence, Invariant measure for stochastic Schrödinger equations, Optimal policies for a controlled queueing system with removable server under a random vacation circumstance, A broad view of queueing theory through one issue, An escape time interpretation of robust control, Quasistationary distributions for one-dimensional diffusions with singular boundary points, Polynomial processes in stochastic portfolio theory, On random stable partitions, Cross hedging with stochastic correlation, Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints, An asymptotic maximum principle for essentially linear evolution models, Estimators of diffusions with randomly spaced discrete observations: a general theory, Moderate deviations for diffusions with Brownian potentials, Diffusion-type models with given marginal distribution and autocorrelation function, A functional limit theorem for coin tossing Markov chains, Time-inhomogeneous Feller-type diffusion process with absorbing boundary condition, Time-changed spectrally positive Lévy processes started from infinity, Gradient flow formulations of discrete and continuous evolutionary models: a unifying perspective, Hamilton's rule, gradual evolution, and the optimal (feedback) control of phenotypically plastic traits, Some remarks on compound nonhomogeneous Poisson processes, Hoeffding's inequality for Markov processes via solution of Poisson's equation, Stochastic bifurcation models, Variable effort fishing models in random environments, Structure of the \(\boldsymbol{G}\)-matrix in relation to phenotypic contributions to fitness, On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation, Calculating tumor incidence rates in stochastic models of carcinogenesis, A tame sequence of transitive Boolean functions, Efficient estimation for the volatility of stochastic interest rate models, Diffusion analysis and stationary distribution of the two-species lottery competition model, Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion, Fundamental solution to 1D degenerate diffusion equation with locally bounded coefficients, Inclusive fitness and Hamilton's rule in a stochastic environment, Shot noise, weak convergence and diffusion approximations, A stage structured demographic model with ``no-regression growth: the case of constant development rate, The diffusion process approach to one-compartmental stochastic models: a mathematical note, Fixation time of the rock-paper-scissors model: rigorous results in the well-mixed setting, Genealogies in bistable waves, Continuous approximations of stochastic evolutionary game dynamics, A martingale formulation for stochastic compartmental susceptible-infected-recovered (SIR) models to analyze finite size effects in COVID-19 case studies, Escape probabilities from an interval for compound Poisson processes with drift, Multiple hypotheses testing and expected number of type I errors, Asymptotic equivalence of estimating a Poisson intensity and a positive diffusion drift, Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball, Lyapunov coupled equations for continuous-time infinite Markov jump linear systems, The fluctuations of insurers' risk appetite, Large and moderate deviations for record numbers in some non-nearest neighbor random walks, How temporal environmental stochasticity affects species richness: destabilization, neutralization and the storage effect, Conditioning diffusion processes with killing rates, High moments of two optimal rules of detecting a change in distributions, Characterizations of the Beta Distribution, Conditioning two diffusion processes with respect to their first-encounter properties, Conditioning diffusion processes with respect to the local time at the origin, Exact solutions to two-dimensional homing problems, A stochastic-statistical residential burglary model with independent Poisson clocks, Velocity-scalar filtered mass density function for large eddy simulation of turbulent reacting flows, Spectral expansions of non-self-adjoint generalized Laguerre semigroups, PREDICTION OF STOCK RETURNS MAY BE FALLACIOUS: A STOCHASTIC CONFIRMATION OF MALKIEL’S ASSERTION ON DARTBOARD INVESTMENTS, A finite-time ruin probability formula for continuous claim severities, Doob: A Half-Century on, Optimal Ergodic Harvesting under Ambiguity, Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities, Simulated Likelihood Approximations for Stochastic Volatility Models, Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator, Reward distributions associated with some block tridiagonal transition matrices with applications to identity by descent, PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY, The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes, Efficient Steady-State Simulation of High-Dimensional Stochastic Networks, Non parametric bias reduction of diffusion coefficient in integrated diffusion processes, Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model, Existence, uniqueness and the strong Markov property of solutions to Kimura diffusions with singular drift, UNIFORM CONVERGENCE RATES OF KERNEL-BASED NONPARAMETRIC ESTIMATORS FOR CONTINUOUS TIME DIFFUSION PROCESSES: A DAMPING FUNCTION APPROACH, Extinction time of logistic branching processes in a Brownian environment, Constraint Ornstein-Uhlenbeck bridges, Parameter estimation in differential equations, using random time transformations, Interlacing Diffusions, Dynamic Volunteer Staffing in Multicrop Gleaning Operations, Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior, A Stochastic-Statistical Residential Burglary Model with Finite Size Effects, Models for network dynamics: A Markovian framework*, Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints, On the transition densities for reflected diffusions, Random walk Green kernels in the neutral Moran model conditioned on survivors at a random time to origin, Diffusion approximations for the maximum of a perturbed random walk, Method for simulating non-linear stochastic differential equations in ℝ¹, Unnamed Item, Strongly constrained stochastic processes: the multi-ends Brownian bridge, Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index, Universal excursion and bridge shapes in ABBM/CIR/Bessel processes, Parameter estimation for Fisher–Snedecor diffusion, Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods, Competition versus Cooperation: A Class of Solvable Mean Field Impulse Control Problems, ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL, Fluctuation theorem and extended thermodynamics of turbulence, Spectral representation of transition density of Fisher–Snedecor diffusion, MODELING PRIVATE EQUITY FUNDS AND PRIVATE EQUITY COLLATERALISED FUND OBLIGATIONS, THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE, Epidemic modeling: Diffusion approximation vs. stochastic differential equations allowing reflection, Fractional Discrete Processes: Compound and Mixed Poisson Representations, Species Dynamics in the Two-Parameter Poisson-Dirichlet Diffusion Model, Semi-Static Hedging for GMWB in Variable Annuities, On Optimal Retirement, Estimation in Discretely Observed Diffusions Killed at a Threshold, Option Pricing in Some Non-Lévy Jump Models, The Error in Steady-State Approximations for the Time-Dependent Waiting Time Distribution, Interbank Clearing in Financial Networks with Multiple Maturities, Burn-in and covariates, Adaptive simulation using perfect control variates, Behavior of the Euler scheme with decreasing step in a degenerate situation, The Continuous-Time Ehrenfest Process in Term Structure Modelling, On a reflected Ornstein-Uhlenbeck process with an application, Processes with volatility‐induced stationarity: an application for interest rates, Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures, Bayesian Analysis of Single-Molecule Experimental Data, Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function, D-distribution and its applications, Some results for multidimensional stationary independent increment processes, A weak convergence approach to inventory control using a long-term average criterion, Sticky Brownian Motion and Its Numerical Solution, Online control using integrated moving average model for manufacturing errors, Ehrenfest–Brillouin-type correlated continuous time random walk and fractional Jacobi diffusion, A Lagrangian fluctuation–dissipation relation for scalar turbulence. Part II. Wall-bounded flows, CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM, Some explicit results on one kind of sticky diffusion, A unifying diffusion model for state-dependent queues, First-Passage Distributions of Bidimensional Processes, A Method for Computing Double Band Policies for Switching between Two Diffusions, Asset management with endogenous withdrawals under a drawdown constraint, STOCHASTIC DYNAMIC PROGRAMMING FOR ELECTION TIMING: A GAME THEORY APPROACH, PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING, Market Based Tools for Managing the Life Insurance Company, Theoretical and experimental study of a pendulum excited by random loads, Stochastic Control Liaisons: Richard Sinkhorn Meets Gaspard Monge on a Schrödinger Bridge, Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions, A Measure Approach for Continuous Inventory Models: Discounted Cost Criterion, Optimal pricing barriers in a regulated market using reflected diffusion processes, Ross recovery with recurrent and transient processes, Derivative estimates for eigenfunctions with accessible boundaries and application to diffustions, Filtering the Wright-Fisher diffusion, Asymptotics of Forward Implied Volatility, Stochastic deformation of integrable dynamical systems and random time symmetry, On Suboptimality of Delta Hedging for Asian Options, Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections, Unnamed Item, Generating stochastic trajectories with global dynamical constraints, Markov chain approximation of one-dimensional sticky diffusions, Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models, Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes, Costly defense traits in structured populations, Joint distribution of two local times for diffusion processes with the application to the construction of various conditioned processes, Pendulum energy converter excited by random loads, On Bollobás‐Riordan random pairing model of preferential attachment graph, Noncoercive parabolic obstacle problems, Life history and deleterious mutation rate coevolution, On the boundary classification of \(\Lambda\)-Wright-Fisher processes with frequency-dependent selection, MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES, Narrow escape in composite domains forming heterogeneous networks, Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model, Skew-product decomposition of Brownian motion on an ellipsoid, Spiking and collapsing in large noise limits of SDEs, Exact solutions for the probability density of various conditioned processes with an entrance boundary, Exact solution of interacting particle systems related to random matrices, Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps, Nested pseudo likelihood estimation of continuous-time dynamic discrete games, On short-term loan interest rate models: a first passage time approach, Nadaraya-Watson estimators for reflected stochastic processes, Continuous-state branching processes with collisions: first passage times and duality, Approximate filtering via discrete dual processes, A first-passage-place problem for integrated diffusion processes, Stochastic differential equations in mathematical demography: A review, Stochastic differential equations in mathematical demography: A review, Orthogonal polynomials in Stein's method, Statistics of dwell times in a reaction with randomly fluctuating rates, Minimal quasi-stationary distributions under null \(R\)-recurrence, Conditional investment policy under uncertainty and irreversibility, A different class of homing problems, A stochastic modeling of early HIV-1 population dynamics, Parametric dynamics of level spacings in quantum chaos, A dynamic and spatial model with migration generating the log-Gaussian field of population densities, The price of anarchy is independent of the network topology, Large-maturity regimes of the Heston forward smile, A multifactor transformed diffusion model with applications to VIX and VIX futures, Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients, An algorithm for simulating Brownian increments on a sphere, The stationary and quasi-stationary properties of neutral multi-type branching process diffusions