Found 2,101 Documents (Results 1–100)
Speed of extinction for continuous-state branching processes in a weakly subcritical Lévy environment. (English) Zbl 07925098
On moments of multiplicative coalescents. (English. French summary) Zbl 07923687
Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes. (English) Zbl 07923189
MSC:
60-XX
An excursion theoretic approach to Parisian ruin problem. (English) Zbl 07915297
Reviewer: Pavel Stoynov (Sofia)
Wick multiplication and its relationship with integration and stochastic differentiation on spaces of nonregular test functions in the Lévy white noise analysis. (English) Zbl 1543.60083
Cramér-Lundberg asymptotics for spectrally positive Markov additive processes. (English) Zbl 1542.91348
Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return. (English) Zbl 07887788
Asymptotics for short maturity Asian options in jump-diffusion models with local volatility. (English) Zbl 07885177
Reviewer: Tamás Mátrai (Edinburgh)
On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes. (English) Zbl 07879395
Asymptotic behavior for multi-scale SDEs with monotonicity coefficients driven by Lévy processes. (English) Zbl 07873621
Parameter estimation and random number generation for student Lévy processes. (English) Zbl 1543.62125
MSC:
62-08
Optimal stopping of BSDEs with constrained jumps and related zero-sum games. (English) Zbl 07869135
Reviewer: Krzysztof J. Szajowski (Wrocław)
Stochastic near-optimal controls for treatment and vaccination in a COVID-19 model with transmission incorporating Lévy jumps. (English) Zbl 1540.92178
Quantitative estimates for Lévy driven SDEs with different drifts and applications. (English) Zbl 07849977
Weak convergence of the extremes of branching Lévy processes with regularly varying tails. (English) Zbl 1540.60193
Reviewer: Bastien Mallein (Toulouse)
Mean value and Taylor-type results for tempered fractional derivatives. (English) Zbl 1541.26028
MSC:
26A33
An analog of local time for a class of Lévy processes. (English. Russian original) Zbl 07836010
J. Math. Sci., New York 281, No. 1, 1-9 (2024); translation from Zap. Nauchn. Semin. POMI 505, 5-16 (2021).
Reviewer: Isamu Dôku (Saitama)
A unified approach to the small-time behavior of the spectral heat content for isotropic Lévy processes. (English) Zbl 1534.60062
A regularity theory for parabolic equations with anisotropic nonlocal operators in \(L_q(L_p)\) spaces. (English) Zbl 1534.35053
Global martingale weak solutions for the three-dimensional stochastic chemotaxis-Navier-Stokes system with Lévy processes. (English) Zbl 1533.35246
A note on one-sided solutions for optimal stopping problems driven by Lévy processes. (English) Zbl 1532.60082
Estimates of Poisson kernels for symmetric Lévy processes and their applications. (English) Zbl 1536.35147
On de Finetti’s optimal impulse dividend control problem under Chapter 11 bankruptcy. (English) Zbl 07784081
On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy. (English) Zbl 1530.91605
On the distribution of the crossing number of a strip by trajectories of a stochastic process with independent increments. (Russian. English summary) Zbl 07896810
Modelling the bitcoin prices and media attention to bitcoin via the jump-type processes. (English) Zbl 07889659
MSC:
62-XX
Deep variance gamma processes. (English) Zbl 07858708
MSC:
62-XX
PH approximation of two-barrier ruin probability for Lévy risk having two-sided PH jumps. (English) Zbl 1537.60055
Gamma mixed fractional Lévy Ornstein-Uhlenbeck process. (English) Zbl 07840105
Reviewer: Ilie Valuşescu (Bucureşti)
Monte Carlo simulation for trading under a Lévy-driven mean-reverting framework. (English) Zbl 1536.91348
On the universality from interacting particle systems. (English) Zbl 1533.60177
Beliaev, Dmitry (ed.) et al., International congress of mathematicians 2022, ICM 2022, Helsinki, Finland, virtual, July 6–14, 2022. Volume 6. Sections 12–14. Berlin: European Mathematical Society (EMS). 4326-4348 (2023).
On the limit distribution for stochastic differential equations driven by cylindrical non-symmetric \(\alpha\)-stable Lévy processes. (English) Zbl 1532.60126
Joint functional convergence of partial sums and maxima for moving averages with weakly dependent heavy-tailed innovations and random coefficients. (English) Zbl 1537.60036
Reviewer: Renming Song (Urbana)
Existence of quasi-stationary distributions for spectrally positive Lévy processes on the half-line. (English) Zbl 1533.60064
MSC:
60G51
Brownian motion on involutive braided spaces. (English) Zbl 1532.18010
Reviewer: Nicolas Blanco (Birmingham)
Yaglom limit for unimodal Lévy processes. (English) Zbl 07788719
Reviewer: Alexander Schnurr (Siegen)
The Carathéodory approximation scheme for stochastic differential equations with G-Lévy process. (English) Zbl 1533.60103
The stochastic Leibniz formula for Volterra integrals under enlarged filtrations. (English) Zbl 1537.60064
Multi-population mortality modeling with Lévy processes. (English) Zbl 1531.91210
Reviewer: Andrius Grigutis (Vilnius)
Hunt’s formula for \(\mathrm{SU}_q (N)\) and \(\mathrm{U}_q (N)\). (English) Zbl 1529.46045
Reviewer: Adam Skalski (Warszawa)
Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time. (English) Zbl 1528.60022
Reviewer: Ze-Chun Hu (Chengdu)
Some definite integrals arising from selfdecomposable characteristic functions. (English) Zbl 1525.60026
Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters. (English) Zbl 1527.91158
Well-posedness of density dependent SDE driven by \(\alpha \)-stable process with Hölder drifts. (English) Zbl 1524.60137
From Markov processes to semimartingales. (English) Zbl 1525.60102
Reviewer: Arvind Ayyer (Bangalore)
Local Polya fluctuations of Riesz gravitational fields and the Cauchy problem. (English) Zbl 1519.35358
Structural credit risk model driven by Lévy process under knight uncertainty. (English) Zbl 1520.91419
Semiparametric predictive inference for failure data using first-hitting-time threshold regression. (English) Zbl 07719495
Exact simulation of Poisson-Dirichlet distribution and generalised gamma process. (English) Zbl 1517.60004
On spectral properties of stationary random processes connected by a special random time change. (English. Russian original) Zbl 1515.60085
J. Math. Sci., New York 273, No. 5, 871-883 (2023); translation from Zap. Nauchn. Semin. POMI 501, 315-334 (2021).
Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns. (English) Zbl 07710553
The stochastic nonlinear Schrödinger equations driven by pure jump noise. (English) Zbl 1518.60061
Reviewer: Alain Brillard (Riedisheim)
Scaling limit of a kinetic inhomogeneous stochastic system in the quadratic potential. (English) Zbl 1515.60179
A scale function based approach for solving integral-differential equations in insurance risk models. (English) Zbl 07701061
On the averaging principle for stochastic differential equations driven by \(G\)-Lévy process. (English) Zbl 1515.60172
Closed-form option pricing for exponential Lévy models: a residue approach. (English) Zbl 1518.91270
Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process. (English) Zbl 1538.60101
Almost sure behavior for the local time of a diffusion in a spectrally negative Lévy environment. (English) Zbl 1528.60107
Reviewer: Utkir A. Rozikov (Tashkent)
Maximal inequalities and some applications. (English) Zbl 1515.60064
Reviewer: Fraser Daly (Edinburgh)
A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model. (English) Zbl 1521.91385
On the optimality of the refraction-reflection strategies for Lévy processes. (English) Zbl 1515.60133
Filter Results by …
Document Type
- Journal Articles (1,938)
- Collection Articles (130)
- Books (33)
all
top 5
Author
- Maller, Ross Arthur (33)
- Palmowski, Zbigniew (24)
- Schilling, René Leander (24)
- Zhou, Xiaowen (24)
- Bertoin, Jean (22)
- Sato, Ken-iti (21)
- Grzywny, Tomasz (19)
- Klüppelberg, Claudia (19)
- Kella, Offer (18)
- Kyprianou, Andreas E. (18)
- Wang, Wenyuan (18)
- Applebaum, David B. (17)
- Brockwell, Peter John (15)
- Lindner, Alexander M. (15)
- Pavlyukevich, Ilya (15)
- Ren, Yong (15)
- Jurek, Zbigniew J. (14)
- Maejima, Makoto (14)
- Mijatović, Aleksandar (14)
- Vondraček, Zoran (14)
- Madan, Dilip B. (13)
- Song, Renming (13)
- Barndorff-Nielsen, Ole Eiler (12)
- Chaumont, Loïc (12)
- Kühn, Franziska (12)
- Masuda, Hiroki (12)
- Pistorius, Martijn R. (12)
- Wang, Jian (12)
- Yor, Marc (12)
- Kawai, Reiichiro (11)
- Kim, Panki (11)
- Mandjes, Michel Robertus Hendrikus (11)
- Simon, Thomas (11)
- Chen, Zhen-Qing (10)
- Kaleta, Kamil (10)
- Lambert, Amaury (10)
- Rosen, Jay S. (10)
- Shen, Guangjun (10)
- Asmussen, Søren (9)
- Behme, Anita Diana (9)
- Buchmann, Boris (9)
- Franz, Uwe (9)
- Jacod, Jean (9)
- Kulik, Alexey M. (9)
- Kwaśnicki, Mateusz (9)
- Pardo, Juan Carlos (9)
- Salminen, Paavo H. (9)
- Skalski, Adam G. (9)
- Stelzer, Robert (9)
- Watanabe, Toshiro (9)
- Xiao, Yimin (9)
- Yin, Chuancun (9)
- Bogdan, Krzysztof (8)
- Czarna, Irmina (8)
- Eberlein, Ernst W. (8)
- El Fatini, Mohamed (8)
- El Otmani, Mohamed (8)
- Griffin, Philip S. (8)
- Khoshnevisan, Davar (8)
- Kunita, Hiroshi (8)
- Resnick, Sidney Ira (8)
- Riedle, Markus (8)
- Ryznar, Michał (8)
- Szczotka, Władysław (8)
- Tankov, Peter (8)
- Avram, Florin (7)
- Becker-Kern, Peter (7)
- Boxma, Onno Johan (7)
- Dębicki, Krzysztof (7)
- Evans, Steven Neil (7)
- Fasen, Vicky (7)
- Knopova, Victoria Pavlovna (7)
- Krizmanić, Danijel (7)
- Lu, Kevin W. (7)
- Marcus, Michael B. (7)
- Umarov, Sabir R. (7)
- Wang, Dingcheng (7)
- Yamamuro, Kouji (7)
- Aurzada, Frank (6)
- Belomestny, Denis (6)
- Chen, Ping (6)
- Di Nardo, Elvira (6)
- Doney, Ronald Arthur (6)
- Grigelionis, Bronius I. (6)
- Hu, Lanying (6)
- Ivanovs, Jevgeņijs (6)
- Jakobsen, Espen Robstad (6)
- Kachanovsky, Nikolai A. (6)
- Kasahara, Yuji (6)
- Kokonendji, Célestin Clotaire (6)
- Landriault, David (6)
- Leonenko, Nikolai N. (6)
- Li, Bo (6)
- Lin, Zhengyan (6)
- Lindsay, J. Martin (6)
- Loeffen, Ronnie L. (6)
- Nane, Erkan (6)
- Øksendal, Bernt Karsten (6)
- Renaud, Jean-François (6)
- Shephard, Neil (6)
- and 1,945 more Authors
all
top 5
Serial
- Stochastic Processes Appl. (123)
- J. Appl. Probab. (102)
- Stat. Probab. Lett. (66)
- J. Theor. Probab. (52)
- Insur. Math. Econ. (50)
- Adv. Appl. Probab. (45)
- Bernoulli (44)
- Electron. J. Probab. (38)
- Ann. Probab. (37)
- Ann. Inst. Henri Poincaré, Probab. Stat. (36)
- Ann. Appl. Probab. (33)
- Potential Anal. (31)
- Quant. Finance (30)
- Probab. Math. Stat. (29)
- Probab. Theory Relat. Fields (27)
- Electron. Commun. Probab. (27)
- Stochastics (26)
- Stochastic Anal. Appl. (25)
- J. Math. Anal. Appl. (21)
- J. Comput. Appl. Math. (21)
- Commun. Stat., Theory Methods (20)
- Int. J. Theor. Appl. Finance (20)
- ALEA, Lat. Am. J. Probab. Math. Stat. (20)
- Finance Stoch. (18)
- Lith. Math. J. (15)
- Math. Finance (15)
- Trans. Am. Math. Soc. (14)
- J. Econom. (13)
- J. Funct. Anal. (13)
- Random Oper. Stoch. Equ. (13)
- Stat. Inference Stoch. Process. (13)
- Scand. Actuar. J. (13)
- Theory Probab. Appl. (12)
- Infin. Dimens. Anal. Quantum Probab. Relat. Top. (12)
- Methodol. Comput. Appl. Probab. (12)
- Physica A (11)
- Appl. Math. Comput. (10)
- Queueing Syst. (10)
- Appl. Math. Finance (10)
- Markov Process. Relat. Fields (10)
- Theory Stoch. Process. (10)
- Stoch. Dyn. (10)
- J. Ind. Manag. Optim. (10)
- Stochastics Stochastics Rep. (9)
- Fract. Calc. Appl. Anal. (8)
- Stoch. Models (8)
- Sci. China, Math. (8)
- Scand. J. Stat. (7)
- Chaos Solitons Fractals (7)
- Ann. Stat. (7)
- Appl. Math. Optim. (7)
- J. Multivariate Anal. (7)
- J. Stat. Plann. Inference (7)
- SIAM J. Control Optim. (7)
- Math. Appl. (7)
- ESAIM, Probab. Stat. (7)
- Electron. J. Stat. (7)
- Carpathian Math. Publ. (7)
- Mod. Stoch., Theory Appl. (7)
- J. Stat. Phys. (6)
- J. Korean Math. Soc. (6)
- J. Optim. Theory Appl. (6)
- Math. Oper. Res. (6)
- Proc. Am. Math. Soc. (6)
- Proc. Lond. Math. Soc. (3) (6)
- SIAM J. Numer. Anal. (6)
- Acta Math. Appl. Sin. (6)
- J. Time Ser. Anal. (6)
- Forum Math. (6)
- Int. J. Pure Appl. Math. (6)
- Asia-Pac. Financ. Mark. (6)
- J. Korean Stat. Soc. (6)
- Front. Math. China (6)
- Sci. Sin., Math. (6)
- Commun. Math. Phys. (5)
- Stud. Math. (5)
- J. Differ. Equations (5)
- Math. Nachr. (5)
- Chin. J. Appl. Probab. Stat. (5)
- Eur. J. Oper. Res. (5)
- C. R. Acad. Sci., Paris, Sér. I (5)
- Comput. Stat. Data Anal. (5)
- J. Math. Sci., New York (5)
- Stat. Sin. (5)
- Discrete Contin. Dyn. Syst., Ser. B (5)
- Rev. Deriv. Res. (5)
- Probab. Surv. (5)
- Eur. Actuar. J. (5)
- Ann. Inst. Stat. Math. (4)
- Ill. J. Math. (4)
- J. Lond. Math. Soc., II. Ser. (4)
- J. Math. Kyoto Univ. (4)
- Nagoya Math. J. (4)
- Osaka J. Math. (4)
- Z. Wahrscheinlichkeitstheor. Verw. Geb. (4)
- Acta Appl. Math. (4)
- Acta Math. Appl. Sin., Engl. Ser. (4)
- Ann. Oper. Res. (4)
- Theory Probab. Math. Stat. (4)
- Bull. Sci. Math. (4)
- and 310 more Serials
all
top 5
Year of Publication
- 2024 (38)
- 2023 (82)
- 2022 (80)
- 2021 (84)
- 2020 (107)
- 2019 (104)
- 2018 (120)
- 2017 (101)
- 2016 (104)
- 2015 (92)
- 2014 (99)
- 2013 (124)
- 2012 (82)
- 2011 (103)
- 2010 (68)
- 2009 (97)
- 2008 (75)
- 2007 (78)
- 2006 (51)
- 2005 (38)
- 2004 (49)
- 2003 (29)
- 2002 (33)
- 2001 (29)
- 2000 (27)
- 1999 (20)
- 1998 (15)
- 1997 (21)
- 1996 (20)
- 1995 (13)
- 1994 (16)
- 1993 (6)
- 1992 (17)
- 1991 (12)
- 1990 (8)
- 1989 (12)
- 1988 (10)
- 1987 (1)
- 1986 (11)
- 1985 (5)
- 1984 (3)
- 1983 (3)
- 1982 (5)
- 1981 (4)
- 1980 (2)
- 1979 (1)
- 1978 (1)
- 1976 (1)
all
top 3
Main Field
- 60-XX (1,896)
- 91-XX (544)
- 62-XX (334)
- 35-XX (140)
- 65-XX (109)
- 93-XX (92)
- 47-XX (77)
- 90-XX (48)
- 46-XX (42)
- 49-XX (35)
- 82-XX (35)
- 26-XX (34)
- 45-XX (34)
- 92-XX (33)
- 31-XX (30)
- 37-XX (30)
- 34-XX (27)
- 28-XX (25)
- 81-XX (21)
- 76-XX (16)
- 42-XX (14)
- 44-XX (14)
- 05-XX (13)
- 58-XX (13)
- 33-XX (12)
- 41-XX (9)
- 17-XX (8)
- 68-XX (8)
- 16-XX (6)
- 30-XX (5)
- 43-XX (5)
- 94-XX (5)
- 11-XX (4)
- 22-XX (4)
- 39-XX (4)
- 70-XX (4)
- 74-XX (3)
- 86-XX (3)
- 15-XX (2)
- 54-XX (2)
- 00-XX (1)
- 01-XX (1)
- 03-XX (1)
- 18-XX (1)
- 32-XX (1)
- 40-XX (1)
- 52-XX (1)
- 53-XX (1)
- 80-XX (1)
- 83-XX (1)
- 97-XX (1)
all
top 3
Software
- R (10)
- QRM (7)
- DLMF (6)
- STABLE (6)
- GitHub (5)
- Matlab (5)
- itsmr (5)
- longmemo (4)
- BENCHOP (3)
- EMpht (3)
- ITSM2000 (3)
- YUIMA (3)
- Chebfun (2)
- DEoptim (2)
- Mathematica (2)
- PricingMixedTS (2)
- Sinc-Pack (2)
- YALMIP (2)
- ghyp (2)
- AMPL (1)
- Adam (1)
- Algorithm 368 (1)
- Algorithm 858 (1)
- Algorithm 986 (1)
- AnDarl (1)
- ApproxFun (1)
- BUGS (1)
- Butools (1)
- CUDA (1)
- Cistrome (1)
- CreditRisk+ (1)
- EBayesThresh (1)
- ElemStatLearn (1)
- FFTW (1)
- FastQC (1)
- FinTS (1)
- GEIGER (1)
- GMRFLib (1)
- GNAR (1)
- JAGS (1)
- JMulTi (1)
- MEMSS (1)
- MINOS (1)
- MathOverflow (1)
- Mittag-Leffler (1)
- Multifractal (1)
- NESToolbox (1)
- NUTS (1)
- Nebula (1)
- ODoSE (1)
- PCMBase (1)
- PyTorch (1)
- RStan (1)
- Rphylopars (1)
- S-PLUS (1)
- SBG.jl (1)
- SPLIDA (1)
- SPLITT (1)
- SeDuMi (1)
- SpectrallyNegativeMarkovAdditiveProcess (1)
- SsfPack (1)
- Stan (1)
- SupStable.jl (1)
- TBSIM (1)
- TSA (1)
- VarianceGamma (1)
- Ziggurat (1)
- dclone (1)
- diversitree (1)
- invGauss (1)
- k.c (1)
- mht-likelihood (1)
- mlf (1)
- mlrnd (1)
- mvMORPH (1)
- phytools (1)
- pychebfun (1)
- ratematrix (1)
- rnorrexp (1)
- runjags (1)
- sde (1)
- t.f (1)