scientific article; zbMATH DE number 942202
From MaRDI portal
Recommendations
Cited in
(only showing first 100 items - show all)- A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion
- Stock loan with automatic termination clause, cap and margin
- Heavy-tailed fractional Pearson diffusions
- Local conformal structure of Liouville quantum gravity
- Valuation formulae for window barrier options
- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
- Absorbing boundaries and optimal stopping in a stochastic differential equation
- Estimating quadratic variation when quoted prices change by a constant increment
- Bernstein diffusions for a class of linear parabolic partial differential equations
- A new approach for open‐end sequential change point monitoring
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- Critical price near maturity for an American option on a dividend-paying stock.
- A local method for estimating change points: the “Hat-function”
- Generation of cosine families via Lord Kelvin's method of images
- The limits of Sinai's simple random walk in random environment
- A group action on increasing sequences of set-indexed Brownian motions
- Distributions of functionals of diffusions with nonstandard switching
- Asymptotics for recurrent diffusions with application to high frequency regression
- Erratum to: ``Ruin probability in the presence of risky investments [Stochastic Process Appl. 116 (2006) 267-278]
- Asymptotic behavior of small deviations for Bogoliubov's Gaussian measure in the \(L^{p}\) norm, \(2 \leq p \leq \infty\)
- Final distribution of a diffusion process with final stop
- Dynamic value at risk under optimal and suboptimal portfolio policies.
- On the local time process of a skew Brownian motion
- Optimal harvesting under stochastic fluctuations and critical depensation
- Perpetual options and Canadization through fluctuation theory
- Almost sure asymptotics for the local time of a diffusion in Brownian environment
- Small deviations for two classes of Gaussian stationary processes and \(L^p\)-functionals, \(0<p\leq\infty\)
- \(\pi \) options
- On the properties of \(r\)-excessive mappings for a class of diffusions
- Exit strategies and price uncertainty: A Greenian approach
- On the heat equation with a time-dependent singular potential
- On the densities of certain bounded diffusion processes
- A scaling analysis of a cat and mouse Markov chain
- Non-intersecting squared Bessel paths and multiple orthogonal polynomials for modified Bessel weights
- Quasistationary distributions for one-dimensional diffusions with killing
- Adaptive Multilevel Splitting for Rare Event Analysis
- Skew Ornstein-Uhlenbeck processes and their financial applications
- On extrema of stable processes
- Slowdown for time inhomogeneous branching Brownian motion
- On the transition densities for reflected diffusions
- Exact inequalities for the maximum of a skew Brownian motion
- Non-intersecting squared Bessel paths with one positive starting and ending point
- Regularity of the American put option in the Black-Scholes model with general discrete dividends
- Statistical behaviour of adaptive multilevel splitting algorithms in simple models
- The impact of delivery lags on irreversible investment under uncertainty
- Double-barrier Parisian options
- Uniform conditional ergodicity and intrinsic ultracontractivity
- Exact overflow asymptotics for queues with many Gaussian inputs
- The escape rate of favorite sites of simple random walk and Brownian motion.
- Exact asymptotics of large deviations of stationary Ornstein-Uhlenbeck processes for \(L^p\)-functionals, \(p>0\)
- Nonstationary discrete choice
- Derivative formula and gradient estimates for Gruschin type semigroups
- Tail Asymptotics of the Supremum of a Regenerative Process
- Adoption of uncertain multi-stage technology projects: a real options approach
- Non-intersecting squared Bessel paths: Critical time and double scaling limit
- Limit theorems for local and occupation times of random walks and Brownian motion on a spider
- A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
- Liouville quantum gravity and KPZ
- Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
- Rayleigh processes, real trees, and root growth with re-grafting
- Sequential Comparison ofdPopulations and Related Tables
- OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
- Optimal exit and valuation under demand uncertainty: a real options approach
- On the discrete approximation of occupation time of diffusion processes
- American Parisian options
- Statistical Inference for Student Diffusion Process
- On large deviations in testing Ornstein-Uhlenbeck-type models
- On the first hitting time density for a reducible diffusion process
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
- Periodic homogenization with an interface: the multi-dimensional case
- Law of the iterated logarithm for oscillating random walks conditioned to stay non-negative.
- Singular stochastic control in the presence of a state-dependent yield structure
- Self-similar processes with independent increments associated with Lévy and Bessel processes.
- Simulation of a space-time bounded diffusion
- An equivalent representation of the Brown-Resnick process
- Exponential moments of first passage times and related quantities for Lévy processes
- Parameter estimation for Fisher-Snedecor diffusion
- scientific article; zbMATH DE number 6870610 (Why is no real title available?)
- On the infimum attained by a reflected Lévy process
- Truncated Sequential Change‐point Detection based on Renewal Counting Processes
- On the First Passage time for Brownian Motion Subordinated by a Lévy Process
- Absolute continuity of measures in the class of Markov and semi-Markov processes of diffusion type
- The Dothan pricing model revisited
- The Brownian Fan
- Mixture representations for symmetric generalized Linnik laws
- Iterated Brownian motion in an open set.
- Volatility skews and extensions of the Libor market model
- Conditional gaugeability and subcriticality of generalized Schrödinger operators
- On the distribution of ranked heights of excursions of a Brownian bridge.
- Optimal consumption of a divisible durable good
- Optimal weak static hedging of equity and credit risk using derivatives
- Closed-form solutions to stochastic process switching problems
- On average losses in the ruin problem with fractional Brownian motion as input
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Maximum and records of random walks with stochastic resetting
- Computing the principal eigenvalue of the Laplace operator by a stochastic method
- Sojourn time in an union of intervals for diffusions
- Exact small ball asymptotics in weighted \(L_2\)-norm for some Gaussian processes
- A note on some new perpetuities
- Contract adjustment under uncertainty
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 Q4714465)