Found 922 Documents (Results 1–100)
On moments of multiplicative coalescents. (English. French summary) Zbl 07923687
Asymptotic behaviors of a heroin epidemic model with nonlinear incidence rate influenced by stochastic perturbations. (English) Zbl 07923032
Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations. (English) Zbl 07909962
Asymptotics for short maturity Asian options in jump-diffusion models with local volatility. (English) Zbl 07885177
Reviewer: Tamás Mátrai (Edinburgh)
Optimal portfolio strategy of wealth process: a Lévy process model-based method. (English) Zbl 1537.91290
Quantitative estimates for Lévy driven SDEs with different drifts and applications. (English) Zbl 07849977
Wasserstein convergence for conditional empirical measures of subordinated Dirichlet diffusions on Riemannian manifolds. (English) Zbl 1540.60183
Reviewer: Michael Voit (Dortmund)
Exponential ergodicity of Lévy driven Langevin dynamics with singular potentials. (English) Zbl 07842657
Irreducibility of stochastic complex Ginzburg-Landau equations driven by pure jump noise and its applications. (English) Zbl 1535.60118
Reviewer: Yuliya S. Mishura (Kyïv)
Long time behavior of jump-diffusion processes on Riemannian manifolds. (English) Zbl 07818445
Reviewer: Athanasios Yannacopoulos (Athína)
Singular integrals and Feller semigroups with jump phenomena. (English) Zbl 1541.60068
Rend. Circ. Mat. Palermo (2) 73, No. 1, 299-413 (2024); correction ibid. 73, No. 2, 775 (2024).
Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps. (English) Zbl 1532.91137
Reviewer: Nikolay Kyurkchiev (Plovdiv)
On the rôle of singular functions in extending the probabilistic symbol to its most general class. (English) Zbl 1530.60078
The Leftmost particle of branching subordinators. arXiv:2409.16617
Preprint, arXiv:2409.16617 [math.PR] (2024).
Hedging in Jump Diffusion Model with Transaction Costs. arXiv:2408.10785
Preprint, arXiv:2408.10785 [q-fin.MF] (2024).
On expected signatures and signature cumulants in semimartingale models. arXiv:2408.05085
Preprint, arXiv:2408.05085 [stat.ML] (2024).
Fractional Laplacian with supercritical killings. arXiv:2403.03298
Preprint, arXiv:2403.03298 [math.PR] (2024).
Stationary jump and diffusion processes for planar directions obtained by wrapping. (English) Zbl 1537.60106
Random processes on non-Archimedean spaces. (English) Zbl 1534.60113
Hilbert, Astrid (ed.) et al., Quantum and stochastic mathematical physics. Sergio Albeverio, adventures of a mathematician, Verona, Italy, March 25–29, 2019. Cham: Springer. Springer Proc. Math. Stat. 377, 315-342 (2023).
Stability properties of mild solutions of SPDEs related to pseudo differential equations. (English) Zbl 1537.60079
Hilbert, Astrid (ed.) et al., Quantum and stochastic mathematical physics. Sergio Albeverio, adventures of a mathematician, Verona, Italy, March 25–29, 2019. Cham: Springer. Springer Proc. Math. Stat. 377, 295-313 (2023).
Reviewer: Alexandra Rodkina (College Station)
Time-average stochastic control based on a singular local Lévy model for environmental project planning under habit formation. (English) Zbl 1529.49016
Coupling methods and exponential ergodicity for two-factor affine processes. (English) Zbl 1540.60084
Safety verification for regime-switching jump diffusions via barrier certificates. (English) Zbl 1524.60186
Periodic measures for a class of SPDEs with regime-switching. (English) Zbl 1527.60047
Reviewer: Alain Brillard (Riedisheim)
Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations. (English) Zbl 1523.35312
From Markov processes to semimartingales. (English) Zbl 1525.60102
Reviewer: Arvind Ayyer (Bangalore)
Using Stein’s method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes. (English) Zbl 1519.60103
Stochastic calculus of variations. For jump processes. 3rd edition. (English) Zbl 1540.60003
De Gruyter Studies in Mathematics 54. Berlin: De Gruyter (ISBN 978-3-11-067528-3/hbk; 978-3-11-067529-0/ebook). xiii, 360 p. (2023).
The stochastic nonlinear Schrödinger equations driven by pure jump noise. (English) Zbl 1518.60061
Reviewer: Alain Brillard (Riedisheim)
A modified \(\Phi \)-Sobolev inequality for canonical Lévy processes and its applications. (English) Zbl 1529.60038
Reviewer: Nicolas Privault (Singapura)
Boundary traces of shift-invariant diffusions in half-plane. (English. French summary) Zbl 1508.60081
Existence and smoothness of the densities of stochastic functional differential equations with jumps. (English) Zbl 1521.60024
Reviewer: Jean Picard (Aubière)
Existence of relaxed stochastic optimal control for \(G\)-SDEs with controlled jumps. (English) Zbl 1507.93253
Gradient formula for transition semigroup corresponding to stochastic equation driven by a system of independent Lévy processes. (English) Zbl 1499.60192
Harnack inequalities for McKean-Vlasov SDEs driven by subordinate Brownian motions. (English) Zbl 1498.60207
Functional CLTs for subordinated Lévy models in physics, finance, and econometrics. arXiv:2312.15119
Preprint, arXiv:2312.15119 [math.PR] (2023).
Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps. (English) Zbl 1506.60049
Inverse problem for stochastic differential equations on Hilbert spaces driven by Lévy processes. (English) Zbl 1504.49054
Explicit criteria for moment exponential stability and instability of switching diffusions with Lévy noise. (English) Zbl 1505.93214
Discrete-time random walks and Lévy flights on arbitrary networks: when resetting becomes advantageous? (English) Zbl 1507.60142
Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient. (English) Zbl 1509.65117
Reviewer: Vit Dolejsi (Praha)
Total variation distance between a jump-equation and its Gaussian approximation. (English) Zbl 1499.60144
The numerical algorithm for stochastic age-dependent population system with Lévy noise in a polluted environment. (English) Zbl 1507.92002
A solution to a linear integral equation with an application to statistics of infinitely divisible moving averages. (English) Zbl 1496.62166
Dynamic optimal hedge ratio design when price and production are stochastic with jump. (English) Zbl 1496.91090
Two-sided Dirichlet heat kernel estimates of symmetric stable processes on horn-shaped regions. (English) Zbl 1514.60060
Reviewer: Ze-Chun Hu (Chengdu)
Geometric step options and Lévy models: duality, pides, and semi-analytical pricing. (English) Zbl 1498.91437
Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics. (English) Zbl 1512.91001
Bocconi & Springer Series 12. Milano: Bocconi University Press; Cham: Springer (ISBN 978-3-031-06360-2/hbk; 978-3-031-06361-9/ebook). xviii, 345 p. (2022).
Reviewer: Gianluca Cassese (Milano)
Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps. (English) Zbl 1510.60073
Dynamical behavior of a stochastic predator-prey model with general functional response and nonlinear jump-diffusion. (English) Zbl 1493.92061
Reviewer: Attila Dénes (Szeged)
Impact of information and Lévy noise on stochastic COVID-19 epidemic model under real statistical data. (English) Zbl 1491.92115
Lévy information and the aggregation of risk aversion. (English) Zbl 1489.91277
Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 195-213 (2022).
On Markovian semigroups of Lévy driven SDEs, symbols and pseudo-differential operators. (English) Zbl 1498.60211
Coupling approach for exponential ergodicity of stochastic Hamiltonian systems with Lévy noises. (English) Zbl 1492.60157
Ergodic convergence rates for time-changed symmetric Lévy processes in dimension one. (English) Zbl 1489.60077
Optimal convergence rates for the invariant density estimation of jump-diffusion processes. (English) Zbl 1493.62185
The \(\alpha \)-dependence of the invariant measure of stochastic real Ginzburg-Landau equation driven by \(\alpha \)-stable Lévy processes. (English) Zbl 1490.60188
Convolution inequalities for Besov and Triebel-Lizorkin spaces, and applications to convolution semigroups. (English) Zbl 1484.46042
Reviewer: Hans Triebel (Jena)
Asymptotic analysis of a stochastic SIRS epidemic model with Lévy jumps. (Chinese. English summary) Zbl 07796206
Optimal uniform error estimates for moving least-squares collocation with application to option pricing under jump-diffusion processes. (English) Zbl 1535.65238
A stochastic-statistical residential burglary model with independent Poisson clocks. (English) Zbl 1499.60151
Markov processes with jumps on manifolds and Lie groups. (English) Zbl 1499.60261
Ugolini, Stefania (ed.) et al., Geometry and invariance in stochastic dynamics. Selected papers based on the presentations at the the conference on random transformations and invariance in stochastic dynamics, Verona, Italy, March 25–29, 2019. Cham: Springer. Springer Proc. Math. Stat. 378, 25-46 (2021).
Geometric approximations to transition densities of jump-type Markov processes. (English) Zbl 1487.60152
Fat tails arise endogenously from supply/demand, with or without jump processes. (English) Zbl 1484.91312
Mean-square asymptotic stability of stochastic inertial neural networks with time-delay and Markovian jump parameters. (English) Zbl 1482.93674
Exponential ergodicity for SDEs and McKean-Vlasov processes with Lévy noise. (English) Zbl 1480.60163
Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes. (Rate of estimation for the stationary distribution of jump-processes over anisotropic Holder classes.) (English) Zbl 1493.62184
Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis. (English) Zbl 1480.91154
Double-barrier option pricing under the hyper-exponential jump diffusion model. (English) Zbl 1479.91398
Karapetyants, Alexey N. (ed.) et al., Operator theory and harmonic analysis. OTHA 2020, Part II – probability-analytical models, methods and applications. Based on the international conference on modern methods, problems and applications of operator theory and harmonic analysis. Cham: Springer. Springer Proc. Math. Stat. 358, 197-217 (2021).
Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation. (English) Zbl 1493.65019
Estimates of Dirichlet heat kernels for unimodal Lévy processes with low intensity of small jumps. (English) Zbl 1480.60221
Reviewer: Rózsa Horváth-Bokor (Budakalász)
Do generalized draw-down times lead to better dividends? A Pontryagin principle-based answer. (English) Zbl 1474.91147
Random conductance models with stable-like jumps: quenched invariance principle. (English) Zbl 1479.60095
The structure of entrance laws for time-inhomogeneous Ornstein-Uhlenbeck processes with Lévy noise in Hilbert spaces. (English) Zbl 1475.60143
Dynamics of a stochastic susceptible-infective-recovered (SIRS) epidemic model with vaccination and nonlinear incidence under regime switching and Lévy jumps. (English) Zbl 1525.92071
The Kramers problem for SDEs driven by small, accelerated Lévy noise with exponentially light jumps. (English) Zbl 1474.60146
An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function. (English) Zbl 1481.65160
Stability of heat kernel estimates for symmetric non-local Dirichlet forms. (English) Zbl 1498.60007
Memoirs of the American Mathematical Society 1330. Providence, RI: American Mathematical Society (AMS) (ISBN 978-1-4704-4863-9/pbk; 978-1-4704-6638-1/ebook). v, 89 p. (2021).
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