Found 903 Documents (Results 1–100)
Information-based approach: pricing of a credit risky asset in the presence of default time. (English) Zbl 07920277
On the rate of convergence of ergodic averages for functions of Gordin space. (English) Zbl 07896377
A general framework to quantify deviations from structural assumptions in the analysis of nonstationary function-valued processes. (English) Zbl 1539.62277
Pathwise large deviations for the pure jump \(k\)-nary interacting particle systems. (English) Zbl 1536.60031
Reviewer: Pavel Stoynov (Sofia)
Quantitative estimates for bounded holomorphic semigroups. (English) Zbl 07825705
Reviewer: Christian Budde (Bloemfontein)
Stability and rate of decay for solutions to stochastic differential equations with Markov switching. (English) Zbl 07823654
Reviewer: Feng Chen (Changchun)
The central limit theorem for Markov processes that are exponentially ergodic in the bounded-Lipschitz norm. (English) Zbl 1540.60174
Reviewer: Fraser Daly (Edinburgh)
Three-dimensional stochastic Navier-Stokes equations with Markov switching. (English) Zbl 1534.35295
Diffusion of binary opinions in a growing population with heterogeneous behaviour and external influence. (English) Zbl 1532.91080
Existence, uniqueness and ergodicity for the centered Fleming-Viot process. (English) Zbl 1535.37012
Empirical-process-based specification tests for diffusion models. (English. French summary) Zbl 1538.62249
Low Mach number limit of solutions to the stochastic compressible magnetohydrodynamic equations. (English) Zbl 1522.35415
On the sum of Gaussian martingale and an independent fractional Brownian motion. (English) Zbl 1533.60038
Theory Probab. Appl. 68, No. 2, 316-323 (2023) and Teor. Veroyatn. Primen. 68, No. 2, 383-392 (2023).
A Markov process for a continuum infinite particle system with attraction. (English) Zbl 1522.60065
Reviewer: Yuliya S. Mishura (Kyïv)
Diffusion approximation of an infinite-server queue under Markovian environment with rapid switching. (English) Zbl 1529.60064
Reviewer: Sergei V. Rogosin (Minsk)
Extended generator and associated martingales for \(M/G/1\) retrial queue with classical retrial policy and general retrial times. (English) Zbl 1516.90016
Reaction-diffusion models for a class of infinite-dimensional nonlinear stochastic differential equations. (English) Zbl 1516.60043
Reviewer: Alexandra Rodkina (College Station)
Maximal inequalities and some applications. (English) Zbl 1515.60064
Reviewer: Fraser Daly (Edinburgh)
Large deviation principle for additive functionals of semi-Markov processes. (English) Zbl 1522.60040
Reviewer: Fraser Daly (Edinburgh)
Diffusivity of a walk on fractures of a hypertorus. (English. French summary) Zbl 1508.60076
From the Littlewood-Paley-Stein inequality to the Burkholder-Gundy inequality. (English) Zbl 07618834
Reviewer: Heinrich Hering (Rockenberg)
Martingales in Japan. (English) Zbl 1523.60015
Mazliak, Laurent (ed.) et al., The splendors and miseries of martingales. Their history from the casino to mathematics. Cham: Birkhäuser. Trends Hist. Sci., 203-214 (2022).
Limit behaviour of random walks on \(\mathbb{Z}^m\) with two-sided membrane. (English) Zbl 1520.60036
Stochastic properties of dynamical systems. (English) Zbl 1520.37001
Cours Spécialisés (Paris) 30. Paris: Société Mathématique de France (SMF) (ISBN 978-2-85629-967-8/hbk). xxii, 249 p. (2022).
Reviewer: Julia García Cabello (Granada)
Strong laws of large numbers for a growth-fragmentation process with bounded cell sizes. (English) Zbl 1505.60080
Exact solutions of the two-side exit time problems for the Vasicek model. (English) Zbl 07633421
MSC:
62P20
91B30
Brownian bridge with random length and pinning point for modelling of financial information. (English) Zbl 1502.60045
Ambiguity tube MPC. (English) Zbl 1505.93059
A multiscale stochastic criminal behavior model and the convergence to a piecewise-deterministic-Markov-process limit. (English) Zbl 1502.60064
Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions. (English) Zbl 1484.62001
Variance reduction for additive functionals of Markov chains via martingale representations. (English) Zbl 1482.62003
MSC:
62-08
The Markov-quantile process attached to a family of marginals. (Le processus Markov-quantile attaché à une famille de marges.) (English. French summary) Zbl 1494.60045
Reviewer: Ismael Bailleul (Rennes)
On the continuous dual Hahn process. (English) Zbl 1483.60107
Reviewer: Nasir N. Ganikhodjaev (Tashkent)
Joint estimation of the offspring mean and offspring variance of a second order branching process. (English) Zbl 07532950
Periodic homogenization of nonsymmetric Lévy-type processes. (English) Zbl 1486.60061
Reviewer: Dongsheng Tu (Kingston)
Backward stochastic differential equations with no driving martingale, Markov processes and associated pseudo-partial differential equations. II: Decoupled mild solutions and examples. (English) Zbl 1484.60060
A Markov process for an infinite interacting particle system in the continuum. (English) Zbl 1479.60154
Conditional propagation of chaos for mean field systems of interacting neurons. (English) Zbl 1480.60081
Langevin dynamics for adaptive inverse reinforcement learning of stochastic gradient algorithms. (English) Zbl 1541.68317
Concentration inequalities for additive functionals: a martingale approach. (English) Zbl 1469.60250
On strong Feller property, exponential ergodicity and large deviations principle for stochastic damping Hamiltonian systems with state-dependent switching. (English) Zbl 1476.60142
Locally Feller processes and martingale local problems. (English) Zbl 1466.60148
Reviewer: Oleg K. Zakusilo (Kyïv)
Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations. (English) Zbl 1456.35198
A probabilistic approach to the \(\varPhi \)-variation of classical fractal functions with critical roughness. (English) Zbl 1455.60039
Exact solutions of some exit times for the diffusion risk model with liquid reserves, credit and debit interest. (English) Zbl 1489.62328
Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling. (English) Zbl 1485.91235
Stochastic invariance for hybrid stochastic differential equation with non-Lipschitz coefficients. (English) Zbl 1491.60132
Reviewer: Anna Karczewska (Zielona Gora)
MSC:
60J27
A strong limit theorem about Poisson distribution for Markov chains indexed by a tree. (Chinese. English summary) Zbl 1488.60066
A strong limit theorem for the transition matrix of \(m\)-ordered Markov chains indexed by a tree. (Chinese. English summary) Zbl 1488.60053
A natural extension of Markov processes and applications to singular SDEs. (English. French summary) Zbl 1465.60056
A strong limit property for double Markov chains indexed by a non-homogeneous tree. (Chinese. English summary) Zbl 1474.60074
A strong law of large numbers for \(m\)-ordered non-homogeneous Markov information source indexed by a tree. (Chinese. English summary) Zbl 1474.60073
MSC:
60F15
A strong deviation theorem about sample divergence for double Markov chains indexed by trees. (Chinese. English summary) Zbl 1474.60072
The strong Malthusian behavior of growth-fragmentation processes. (Comportement Malthusien fort des processus de croissance-fragmentation.) (English. French summary) Zbl 1451.35229
The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures. (English) Zbl 1456.60224
A strong limit property for the transition matrix of double Markov chains indexed by a non-homogeneous tree. (Chinese. English summary) Zbl 1463.60044
A small deviation theorem for double Markov chains indexed by a non-homogeneous tree. (Chinese. English summary) Zbl 1463.60036
On uniqueness of solutions to martingale problems – counterexamples and sufficient criteria. (English) Zbl 07252727
Correction to: “Cylindrical martingale problems associated with Lévy generators”. (English) Zbl 1517.60090
Reviewer: Martin Ondreját (Praha)
Regression analysis of stochastic fatigue crack growth model in a martingale difference framework. (English) Zbl 1443.62125
Existence of (Markovian) solutions to martingale problems associated with Lévy-type operators. (English) Zbl 1448.60162
Reviewer: Ze-Chun Hu (Chengdu)
Limit theorems for cylindrical martingale problems associated with Lévy generators. (English) Zbl 1434.60193
Limit theorems for generalized density-dependent Markov chains and bursty stochastic gene regulatory networks. (English) Zbl 1431.60083
On the informativeness of measurements in Shiryaev’s Bayesian quickest change detection. (English) Zbl 1432.62053
A class of strong deviation theorems for \(m\)-ordered nonhomogeneous Markov chains indexed by a tree. (English) Zbl 1463.60045
A strong limit theorem of \(m\)-ordered non-homogeneous Markov chains on a non-homogeneous tree. (Chinese. English summary) Zbl 1449.60052
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