scientific article; zbMATH DE number 1232408
From MaRDI portal
Publication:4223075
Cited in
(only showing first 100 items - show all)- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- Information technology: the Lie groups defining the filter banks of the compact disc
- A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms
- Maximum loss and maximum gain of spectrally negative Lévy processes
- Time fractional equations and probabilistic representation
- Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
- Assessment of the maintenance cost and analysis of availability measures in a finite life cycle for a system subject to competing failures
- On fair reinsurance premiums; capital injections in a perturbed risk model
- Numerical aspects of shot noise representation of infinitely divisible laws and related processes
- Approximation of CVaR minimization for hedging under exponential-Lévy models
- The domain of definition of the Lévy white noise
- Discretization of the Lamperti representation of a positive self-similar Markov process
- A free boundary characterisation of the root barrier for Markov processes
- Lévy-Ito models in finance
- Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes
- Wavelet analysis of the Besov regularity of Lévy white noise
- Strong stochastic persistence of some Lévy-driven Lotka-Volterra systems
- Moment estimates in the first Borel-Cantelli lemma with applications to mean deviation frequencies
- Coupled system of second-order stochastic neutral differential inclusions driven by Wiener process and Poisson jumps
- Isoperimetric inequalities in the Brownian plane
- A priori bounds and existence of positive solutions for fractional Kirchhoff equations
- Fokker-Planck equation for Feynman-Kac transform of anomalous processes
- An averaging principle for stochastic evolution equations with jumps and random time delays
- Linnik Lévy process and some extensions
- Lévy noise induced escape in the Morris-Lecar model
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- Existence of infinitely many solutions for a nonlocal elliptic PDE involving singularity
- On the divergence and vorticity of vector ambit fields
- Malliavin calculus for subordinated Lévy process
- Averaging principles for nonautonomous two-time-scale stochastic reaction-diffusion equations with jump
- Growth and fluctuation in perturbed nonlinear Volterra equations
- Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
- Estimation of the characteristics of a Lévy process
- The critical price for the American put in an exponential Lévy model
- Multiscale stochastic optimization: modeling aspects and scenario generation
- Fractal-dimensional properties of subordinators
- Effects of Lévy noise on the Fitzhugh-Nagumo model: a perspective on the maximal likely trajectories
- The vertex-cut-tree of Galton-Watson trees converging to a stable tree
- Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient
- On future drawdowns of Lévy processes
- Splitting and time reversal for Markov additive processes
- On conformally invariant CLE explorations
- Discrete and continuous time modulated random walks with heavy-tailed increments
- A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
- On taxed spectrally negative Lévy processes with draw-down stopping
- Semirings of continuous functions
- Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
- Heat kernel asymptotics of the subordinator and subordinate Brownian motion
- Transient analysis of reflected Lévy processes
- Numerical techniques in Lévy fluctuation theory
- Weak convergence of subordinators to extremal processes
- Point potential for the generator of a stable process
- On multifractality and time subordination for continuous functions
- Heat trace asymptotics of subordinate Brownian motion in Euclidean space
- Intermittency in the small-time behavior of Lévy processes
- Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process
- Limit theorems for discounted convergent perpetuities. II
- Learning for infinitely divisible GARCH models in option pricing
- Saddlepoint approximations for continuous-time Markov processes
- A structural jump threshold framework for credit risk
- Quantifying Model Uncertainties in Complex Systems
- An analytical valuation framework for financial assets with trading suspensions
- Lévy noise-induced escape in an excitable system
- Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
- Two-time-scales hyperbolic-parabolic equations driven by Poisson random measures: existence, uniqueness and averaging principles
- Decay rate of harmonic functions for non-symmetric strictly \alpha -stable Lévy processes
- Lévy processes conditioned on having a large height process
- Large deviations for Markov bridges with jumps
- On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications
- Ratchet consumption over finite and infinite planning horizons
- Stochastic averaging principles for multi-valued stochastic differential equations driven by Poisson point processes
- Multi-scaling of moments in stochastic volatility models
- BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES
- Precise asymptotics for a random walker’s maximum
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- On the finiteness and tails of perpetuities under a Lamperti-Kiu map
- General drawdown of general tax model in a time-homogeneous Markov framework
- Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
- Strategies for dividend distribution: a review
- On some Markov processes related to a symmetric -stable process
- An existence result for singular nonlocal fractional Kirchhoff–Schrödinger–Poisson system
- TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
- Metaplex networks: influence of the exo-endo structure of complex systems on diffusion
- Series representations for multivariate time-changed Lévy models
- Multiplicity and Hölder regularity of solutions for a nonlocal elliptic PDE involving singularity
- Ten equivalent definitions of the fractional Laplace operator
- On the central management of risk networks
- A Pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time
- Superprocesses as models for information dissemination in the future Internet
- Skewness premium with Lévy processes
- Convex rearrangements of Lévy processes
- A Lévy Process Reflected at a Poisson Age Process
- A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
- Lévy-driven CARMA processes
- On q-scale functions of spectrally negative Lévy processes
- Multifractal analysis of sums of random pulses
- Spectral design of anomalous diffusion
- First exit times of non-linear dynamical systems in \(\mathbb R^{d}\) perturbed by multifractal Lévy noise
- Predicting the last zero before an exponential time of a spectrally negative Lévy process
- State transitions in the Morris-Lecar model under stable Lévy noise
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4223075)
