scientific article; zbMATH DE number 3604245

MaRDI QIDQ4170136zbMATH OpenFDO

Authors David Siegmund

Publication date 1975

Mathematics Subject Classification ID

Renewal theory (60K05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited in

(14)

• Actuarial bridges to dynamic hedging and option pricing
• The Istanbul option: Where the standard European option becomes Asian
• Limit theorems for mixed max-sum processes with renewal stopping
• First passage times of general sequences of random vectors: A large deviations approach
• A large-deviation result for regenerative processes
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• On the typical level crossing time and path
• Central limit theorems of partial sums for large segmental values
• Statistical regularities of self-intersection counts for geodesics on negatively curved surfaces
• Uniform convergence of exact large deviations for renewal reward processes
• Brownian approximations to first passage probabilities
• Combinatorial devices for sequential analysis
• How fast do rumours spread?
• An invariance principle for the edge of the branching exclusion process

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