Ndiaye, Assane; Aidara, Sadibou; Sow, Ahmadou Bamba Backward doubly stochastic differential equations driven by fractional Brownian motion with stochastic integral-Lipschitz coefficients. (English) Zbl 07812407 Random Oper. Stoch. Equ. 32, No. 1, 13-25 (2024). MSC: 60H05 60H07 60G22 PDFBibTeX XMLCite \textit{A. Ndiaye} et al., Random Oper. Stoch. Equ. 32, No. 1, 13--25 (2024; Zbl 07812407) Full Text: DOI
Berrouis, Nassima; Gherbal, Boulakhras; Ninouh, Abdelhakim Stochastic optimal control for dynamics of forward backward doubly SDEs of mean-field type. (English) Zbl 07805579 Bol. Soc. Parana. Mat. (3) 41, Paper No. 20, 27 p. (2023). MSC: 60H10 60G55 93E20 PDFBibTeX XMLCite \textit{N. Berrouis} et al., Bol. Soc. Parana. Mat. (3) 41, Paper No. 20, 27 p. (2023; Zbl 07805579) Full Text: DOI
Dascaliuc, Radu; Tuan N. Pham; Thomann, Enrique; Waymire, Edward C. Doubly stochastic Yule cascades. II: The explosion problem in the non-reversible case. (English) Zbl 07788728 Ann. Inst. Henri Poincaré, Probab. Stat. 59, No. 4, 1907-1933 (2023). MSC: 60H30 60J80 PDFBibTeX XMLCite \textit{R. Dascaliuc} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 59, No. 4, 1907--1933 (2023; Zbl 07788728) Full Text: DOI arXiv
Owo, Jean-Marc; Aman, Auguste Generalized backward doubly stochastic differential equations driven by Lévy processes with discontinuous and linear growth coefficients. (English) Zbl 07768807 J. Theor. Probab. 36, No. 4, 2311-2338 (2023). MSC: 60G51 60H10 91G20 60H30 PDFBibTeX XMLCite \textit{J.-M. Owo} and \textit{A. Aman}, J. Theor. Probab. 36, No. 4, 2311--2338 (2023; Zbl 07768807) Full Text: DOI arXiv
Wang, Cai-feng; Xie, Cong; Ma, Zi-yu; Zhao, Hui-min Stochastic volatility modeling based on doubly truncated Cauchy distribution and Bayesian estimation for Chinese stock market. (English) Zbl 07767303 Acta Math. Appl. Sin., Engl. Ser. 39, No. 4, 791-807 (2023). MSC: 62M20 91G60 PDFBibTeX XMLCite \textit{C.-f. Wang} et al., Acta Math. Appl. Sin., Engl. Ser. 39, No. 4, 791--807 (2023; Zbl 07767303) Full Text: DOI
Scalzo, Bruno; Stanković, Ljubiša; Daković, Miloš; Constantinides, Anthony G.; Mandic, Danilo P. A class of doubly stochastic shift operators for random graph signals and their boundedness. (English) Zbl 1522.94015 Neural Netw. 158, 83-88 (2023). MSC: 94A12 05C80 05C90 60G12 PDFBibTeX XMLCite \textit{B. Scalzo} et al., Neural Netw. 158, 83--88 (2023; Zbl 1522.94015) Full Text: DOI arXiv
Marzougue, Mohamed Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process. (English) Zbl 07693663 Bull. Sci. Math. 186, Article ID 103282, 22 p. (2023). MSC: 60H10 60G20 60H05 60H15 PDFBibTeX XMLCite \textit{M. Marzougue}, Bull. Sci. Math. 186, Article ID 103282, 22 p. (2023; Zbl 07693663) Full Text: DOI arXiv
Wu, Shaomin The double ratio geometric process for the analysis of recurrent events. (English) Zbl 1523.60145 Nav. Res. Logist. 69, No. 3, 484-495 (2022). MSC: 60K20 60K05 90B25 PDFBibTeX XMLCite \textit{S. Wu}, Nav. Res. Logist. 69, No. 3, 484--495 (2022; Zbl 1523.60145) Full Text: DOI
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewęgłowski, Mariusz Construction and simulation of generalized multivariate Hawkes processes. (English) Zbl 1506.60050 Methodol. Comput. Appl. Probab. 24, No. 4, 2865-2896 (2022). MSC: 60G55 60H99 PDFBibTeX XMLCite \textit{T. R. Bielecki} et al., Methodol. Comput. Appl. Probab. 24, No. 4, 2865--2896 (2022; Zbl 1506.60050) Full Text: DOI
Ngom, Modou; Diallo, Moumouni; Fall, Adja Mbarka; Lo, Gane Samb The pseudo-Lindley alpha power transformed distribution, mathematical characterizations and asymptotic properties. (English) Zbl 1513.60058 Far East J. Theor. Stat. 65, 1-33 (2022). MSC: 60G70 62G20 62E15 62F12 60F05 PDFBibTeX XMLCite \textit{M. Ngom} et al., Far East J. Theor. Stat. 65, 1--33 (2022; Zbl 1513.60058) Full Text: DOI arXiv
Ma, Xiaocui; Yue, Haitao; Xi, Fubao The averaging method for doubly perturbed distribution dependent SDEs. (English) Zbl 1496.60072 Stat. Probab. Lett. 189, Article ID 109588, 9 p. (2022). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 60H15 60G15 60H05 PDFBibTeX XMLCite \textit{X. Ma} et al., Stat. Probab. Lett. 189, Article ID 109588, 9 p. (2022; Zbl 1496.60072) Full Text: DOI
Xu, Liping; Li, Zhi; Liu, Weiguo; Zhou, Jie Transportation inequalities for doubly perturbed stochastic differential equations with Markovian switching. (English) Zbl 1525.60078 AIMS Math. 6, No. 3, 2874-2885 (2021). MSC: 60H10 60J60 60H15 60E15 60J65 PDFBibTeX XMLCite \textit{L. Xu} et al., AIMS Math. 6, No. 3, 2874--2885 (2021; Zbl 1525.60078) Full Text: DOI
Pekalp, Mustafa Hilmi; İnan, Gültaç Eroğlu; Aydoğdu, Halil Statistical inference for doubly geometric process with exponential distribution. (English) Zbl 1513.62049 Hacet. J. Math. Stat. 50, No. 5, 1560-1571 (2021). MSC: 62F12 62M99 60G99 PDFBibTeX XMLCite \textit{M. H. Pekalp} et al., Hacet. J. Math. Stat. 50, No. 5, 1560--1571 (2021; Zbl 1513.62049) Full Text: DOI
Zhu, Ping The dynamic analysis on a class of stochastic impulsive equations with doubly weighted pseudo almost automorphic coefficients on time scales. (English) Zbl 1493.34241 Math. Methods Appl. Sci. 44, No. 17, 13774-13790 (2021). MSC: 34N05 34F05 34A37 60H10 43A60 PDFBibTeX XMLCite \textit{P. Zhu}, Math. Methods Appl. Sci. 44, No. 17, 13774--13790 (2021; Zbl 1493.34241) Full Text: DOI DOI
He, Qi-Ming Bounds on the mean and squared coefficient of variation of phase-type distributions. (English) Zbl 1478.60210 J. Appl. Probab. 58, No. 4, 880-889 (2021). MSC: 60J27 60E15 60G55 PDFBibTeX XMLCite \textit{Q.-M. He}, J. Appl. Probab. 58, No. 4, 880--889 (2021; Zbl 1478.60210) Full Text: DOI
Gervini, Daniel; Baur, Tyler J. Joint models for grid point and response processes in longitudinal and functional data. (English) Zbl 1464.62535 Stat. Sin. 30, No. 4, 1905-1924 (2020). MSC: 62R10 62H20 60G55 62P20 PDFBibTeX XMLCite \textit{D. Gervini} and \textit{T. J. Baur}, Stat. Sin. 30, No. 4, 1905--1924 (2020; Zbl 1464.62535) Full Text: DOI arXiv
Al-Hussein, AbdulRahman; Gherbal, Boulakhras Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps. (English) Zbl 1457.60085 Random Oper. Stoch. Equ. 28, No. 4, 253-268 (2020). MSC: 60H10 60G55 60H30 PDFBibTeX XMLCite \textit{A. Al-Hussein} and \textit{B. Gherbal}, Random Oper. Stoch. Equ. 28, No. 4, 253--268 (2020; Zbl 1457.60085) Full Text: DOI arXiv
Bao, Feng; Cao, Yanzhao; Han, Xiaoying Forward backward doubly stochastic differential equations and the optimal filtering of diffusion processes. (English) Zbl 1458.60067 Commun. Math. Sci. 18, No. 3, 635-661 (2020). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{F. Bao} et al., Commun. Math. Sci. 18, No. 3, 635--661 (2020; Zbl 1458.60067) Full Text: DOI arXiv
Ninouh, Abdelhakim; Gherbal, Boulakhras; Berrouis, Nassima Existence of optimal controls for systems of controlled forward-backward doubly SDEs. (English) Zbl 1443.60065 Random Oper. Stoch. Equ. 28, No. 2, 93-112 (2020). MSC: 60H10 60G55 93E20 PDFBibTeX XMLCite \textit{A. Ninouh} et al., Random Oper. Stoch. Equ. 28, No. 2, 93--112 (2020; Zbl 1443.60065) Full Text: DOI
Hafayed, Dahbia; Chala, Adel An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications. (English) Zbl 1433.93155 Random Oper. Stoch. Equ. 28, No. 1, 1-18 (2020). MSC: 93E20 60H30 60G20 PDFBibTeX XMLCite \textit{D. Hafayed} and \textit{A. Chala}, Random Oper. Stoch. Equ. 28, No. 1, 1--18 (2020; Zbl 1433.93155) Full Text: DOI
Wu, Jinbiao; Liu, Zaiming Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes. (English) Zbl 1436.93144 Int. J. Control 93, No. 4, 953-970 (2020). MSC: 93E20 93C15 60H10 PDFBibTeX XMLCite \textit{J. Wu} and \textit{Z. Liu}, Int. J. Control 93, No. 4, 953--970 (2020; Zbl 1436.93144) Full Text: DOI
White, Ryan T.; Dshalalow, Jewgeni H. Characterizations of random walks on random lattices and their ramifications. (English) Zbl 1444.60036 Stochastic Anal. Appl. 38, No. 2, 307-342 (2020). MSC: 60G50 60G51 60G52 60K25 PDFBibTeX XMLCite \textit{R. T. White} and \textit{J. H. Dshalalow}, Stochastic Anal. Appl. 38, No. 2, 307--342 (2020; Zbl 1444.60036) Full Text: DOI
Wang, Yu-Zhao; Wang, Yan-Mei The concavity of \(p\)-Rényi entropy power for doubly nonlinear diffusion equations and \(L^p\)-Gagliardo-Nirenberg-Sobolev inequalities. (English) Zbl 1431.58014 J. Math. Anal. Appl. 484, No. 1, Article ID 123698, 18 p. (2020). MSC: 58J65 60E15 PDFBibTeX XMLCite \textit{Y.-Z. Wang} and \textit{Y.-M. Wang}, J. Math. Anal. Appl. 484, No. 1, Article ID 123698, 18 p. (2020; Zbl 1431.58014) Full Text: DOI arXiv
Dimitrova, Dimitrina S.; Ignatov, Zvetan G.; Kaishev, Vladimir K.; Tan, Senren On double-boundary non-crossing probability for a class of compound processes with applications. (English) Zbl 1430.90013 Eur. J. Oper. Res. 282, No. 2, 602-613 (2020). MSC: 90B05 60G17 65T50 PDFBibTeX XMLCite \textit{D. S. Dimitrova} et al., Eur. J. Oper. Res. 282, No. 2, 602--613 (2020; Zbl 1430.90013) Full Text: DOI Link
Siu, Tak Kuen; Elliott, Robert J. Hedging options in a doubly Markov-modulated financial market via stochastic flows. (English) Zbl 1431.91404 Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019). Reviewer: George Stoica (Saint John) MSC: 91G20 60J28 91G10 PDFBibTeX XMLCite \textit{T. K. Siu} and \textit{R. J. Elliott}, Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019; Zbl 1431.91404) Full Text: DOI
Karouf, Monia Reflected solutions of backward doubly SDEs driven by Brownian motion and Poisson random measure. (English) Zbl 1422.60096 Discrete Contin. Dyn. Syst. 39, No. 10, 5571-5601 (2019). MSC: 60H10 60H20 60G55 60G57 34K12 60G40 PDFBibTeX XMLCite \textit{M. Karouf}, Discrete Contin. Dyn. Syst. 39, No. 10, 5571--5601 (2019; Zbl 1422.60096) Full Text: DOI
Wang, Wencan; Wu, Jinbiao; Liu, Zaiming The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes. (English) Zbl 1419.93068 J. Syst. Sci. Complex. 32, No. 4, 997-1018 (2019). MSC: 93E20 60G51 93C15 60H10 PDFBibTeX XMLCite \textit{W. Wang} et al., J. Syst. Sci. Complex. 32, No. 4, 997--1018 (2019; Zbl 1419.93068) Full Text: DOI
Pasricha, Puneet; Goel, Anubha Pricing vulnerable power exchange options in an intensity based framework. (English) Zbl 1410.91461 J. Comput. Appl. Math. 355, 106-115 (2019). MSC: 91G20 91G40 60J75 91G60 PDFBibTeX XMLCite \textit{P. Pasricha} and \textit{A. Goel}, J. Comput. Appl. Math. 355, 106--115 (2019; Zbl 1410.91461) Full Text: DOI
Hafayed, Dahbia; Chala, Adel A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes. (English) Zbl 1414.93202 Random Oper. Stoch. Equ. 27, No. 1, 9-25 (2019). MSC: 93E20 93C15 60H10 60J75 PDFBibTeX XMLCite \textit{D. Hafayed} and \textit{A. Chala}, Random Oper. Stoch. Equ. 27, No. 1, 9--25 (2019; Zbl 1414.93202) Full Text: DOI
Valdivia, Arturo Closed-form formulas for the distribution of the jumps of doubly-stochastic Poisson processes. (English) Zbl 1412.60060 Electron. Commun. Probab. 24, Paper No. 13, 12 p. (2019). MSC: 60G22 60G51 60H07 91G40 PDFBibTeX XMLCite \textit{A. Valdivia}, Electron. Commun. Probab. 24, Paper No. 13, 12 p. (2019; Zbl 1412.60060) Full Text: DOI arXiv Euclid
Caballé, N. C.; Castro, I. T. Assessment of the maintenance cost and analysis of availability measures in a finite life cycle for a system subject to competing failures. (English) Zbl 1411.90107 OR Spectrum 41, No. 1, 255-290 (2019). MSC: 90B25 60G15 65C05 PDFBibTeX XMLCite \textit{N. C. Caballé} and \textit{I. T. Castro}, OR Spectrum 41, No. 1, 255--290 (2019; Zbl 1411.90107) Full Text: DOI
Yang, Qigui; Zhu, Ping Doubly-weighted pseudo almost automorphic solutions for nonlinear stochastic differential equations driven by Lévy noise. (English) Zbl 1498.60246 Stochastics 90, No. 5, 701-719 (2018). MSC: 60H10 60G51 PDFBibTeX XMLCite \textit{Q. Yang} and \textit{P. Zhu}, Stochastics 90, No. 5, 701--719 (2018; Zbl 1498.60246) Full Text: DOI
Bao, Feng; Cao, Yanzhao; Zhao, Weidong A backward doubly stochastic differential equation approach for nonlinear filtering problems. (English) Zbl 1488.65008 Commun. Comput. Phys. 23, No. 5, 1573-1601 (2018). MSC: 65C30 60G35 60H10 60H35 93E11 PDFBibTeX XMLCite \textit{F. Bao} et al., Commun. Comput. Phys. 23, No. 5, 1573--1601 (2018; Zbl 1488.65008) Full Text: DOI
Nezhelskaya, Luydmila; Sidorova, Ekaterina Optimal estimation of the states of synchronous generalized flow of events of the second order under its complete observability. (English) Zbl 1450.90001 Dudin, Alexander (ed.) et al., Information technologies and mathematical modelling. Queueing theory and applications. 17th international conference, ITMM 2018, named after A.F. Terpugov, and 12th workshop on retrial queues and related topics, WRQ 2018, Tomsk, Russia, September 10–15, 2018. Selected papers. Cham: Springer. Commun. Comput. Inf. Sci. 912, 157-171 (2018). MSC: 90B22 90B15 60J20 PDFBibTeX XMLCite \textit{L. Nezhelskaya} and \textit{E. Sidorova}, Commun. Comput. Inf. Sci. 912, 157--171 (2018; Zbl 1450.90001) Full Text: DOI
Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case. (English) Zbl 1406.60060 Electron. J. Probab. 23, Paper No. 123, 31 p (2018). MSC: 60G40 93E20 60H30 60G07 47N10 91G20 91G70 PDFBibTeX XMLCite \textit{M. Grigorova} et al., Electron. J. Probab. 23, Paper No. 123, 31 p (2018; Zbl 1406.60060) Full Text: DOI arXiv Euclid
Buchardt, Kristian Kolmogorov’s forward PIDE and forward transition rates in life insurance. (English) Zbl 1401.91104 Scand. Actuar. J. 2017, No. 5, 377-394 (2017). MSC: 91B30 35R09 60J20 PDFBibTeX XMLCite \textit{K. Buchardt}, Scand. Actuar. J. 2017, No. 5, 377--394 (2017; Zbl 1401.91104) Full Text: DOI
Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès Game options in an imperfect market with default. (English) Zbl 1381.93103 SIAM J. Financ. Math. 8, 532-559 (2017). MSC: 93E20 60J60 60G40 91A15 91A05 91G20 91G80 PDFBibTeX XMLCite \textit{R. Dumitrescu} et al., SIAM J. Financ. Math. 8, 532--559 (2017; Zbl 1381.93103) Full Text: DOI arXiv
Barbu, Viorel; Röckner, Michael; Russo, Francesco Doubly probabilistic representation for the stochastic porous media type equation. (English. French summary) Zbl 1387.35635 Ann. Inst. Henri Poincaré, Probab. Stat. 53, No. 4, 2043-2073 (2017). MSC: 35R60 60H15 60H30 60H10 60G46 35C99 58J65 82C31 PDFBibTeX XMLCite \textit{V. Barbu} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 53, No. 4, 2043--2073 (2017; Zbl 1387.35635) Full Text: DOI arXiv Euclid
Korolev, V. Yu. Limit distributions for doubly stochastically rarefied renewal processes and their properties. (English. Russian original) Zbl 1377.60042 Theory Probab. Appl. 61, No. 4, 649-664 (2017); translation from Teor. Veroyatn. Primen. 61, No. 4, 753-773 (2016). MSC: 60F05 60K05 60G52 PDFBibTeX XMLCite \textit{V. Yu. Korolev}, Theory Probab. Appl. 61, No. 4, 649--664 (2017; Zbl 1377.60042); translation from Teor. Veroyatn. Primen. 61, No. 4, 753--773 (2016) Full Text: DOI
El Karoui, Nicole; Loisel, Stéphane; Salhi, Yahia Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes. (English) Zbl 1378.62044 Ann. Appl. Probab. 27, No. 4, 2515-2538 (2017). MSC: 62L15 60G55 PDFBibTeX XMLCite \textit{N. El Karoui} et al., Ann. Appl. Probab. 27, No. 4, 2515--2538 (2017; Zbl 1378.62044) Full Text: DOI Euclid
Farhadian, Reza; Asadian, Nader On the Helmert matrix and application in stochastic processes. (English) Zbl 1372.15027 Int. J. Math. Comput. Sci. 12, No. 2, 107-115 (2017). MSC: 15B51 60J10 60G10 PDFBibTeX XMLCite \textit{R. Farhadian} and \textit{N. Asadian}, Int. J. Math. Comput. Sci. 12, No. 2, 107--115 (2017; Zbl 1372.15027)
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewęgłowski, Mariusz Conditional Markov chains: properties, construction and structured dependence. (English) Zbl 1358.60081 Stochastic Processes Appl. 127, No. 4, 1125-1170 (2017). MSC: 60J27 60G55 PDFBibTeX XMLCite \textit{T. R. Bielecki} et al., Stochastic Processes Appl. 127, No. 4, 1125--1170 (2017; Zbl 1358.60081) Full Text: DOI
Al-Hussein, Abdulrahman; Gherbal, Boulakhras Sufficient conditions of optimality for forward-backward doubly SDEs with jumps. (English) Zbl 1403.93193 Eddahbi, M’hamed (ed.) et al., Statistical methods and applications in insurance and finance. CIMPA school, Marrakech and Kelaat M’gouna, Morocco, April 8–20, 2013. Cham: Springer (ISBN 978-3-319-30416-8/hbk; 978-3-319-30417-5/ebook). Springer Proceedings in Mathematics & Statistics 158, 173-191 (2016). MSC: 93E20 49K45 60H10 60J75 PDFBibTeX XMLCite \textit{A. Al-Hussein} and \textit{B. Gherbal}, Springer Proc. Math. Stat. 158, 173--191 (2016; Zbl 1403.93193) Full Text: DOI
Lazar, Daniel Conditional \(\Gamma\)-minimax prediction with a precautionary loss function in a marked point process model. (English) Zbl 1358.62076 Statistics 50, No. 6, 1411-1420 (2016). MSC: 62M20 60G55 60G57 62C10 62C20 62F35 91B30 PDFBibTeX XMLCite \textit{D. Lazar}, Statistics 50, No. 6, 1411--1420 (2016; Zbl 1358.62076) Full Text: DOI
Li, Quan-Lin; Lui, John C. S. Block-structured supermarket models. (English) Zbl 1354.93019 Discrete Event Dyn. Syst. 26, No. 2, 147-182 (2016). Reviewer: Doina Carp (Constanta) MSC: 93A30 90B22 93E03 93C40 60J99 PDFBibTeX XMLCite \textit{Q.-L. Li} and \textit{J. C. S. Lui}, Discrete Event Dyn. Syst. 26, No. 2, 147--182 (2016; Zbl 1354.93019) Full Text: DOI arXiv
Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès Generalized Dynkin games and doubly reflected BSDEs with jumps. (English) Zbl 1351.93170 Electron. J. Probab. 21, Paper No. 64, 32 p. (2016). MSC: 93E20 91A15 60J60 47N10 PDFBibTeX XMLCite \textit{R. Dumitrescu} et al., Electron. J. Probab. 21, Paper No. 64, 32 p. (2016; Zbl 1351.93170) Full Text: DOI arXiv Euclid
Wang, Xingchun Catastrophe equity put options with target variance. (English) Zbl 1371.91184 Insur. Math. Econ. 71, 79-86 (2016). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{X. Wang}, Insur. Math. Econ. 71, 79--86 (2016; Zbl 1371.91184) Full Text: DOI
Korolev, V. Yu.; Chertok, A. V.; Korchagin, A. Yu.; Kossova, E. V.; Zeifman, A. I. A note on functional limit theorems for compound Cox processes. (English) Zbl 1387.60059 J. Math. Sci., New York 218, No. 2, 182-194 (2016). MSC: 60F17 60G55 60G51 60J75 PDFBibTeX XMLCite \textit{V. Yu. Korolev} et al., J. Math. Sci., New York 218, No. 2, 182--194 (2016; Zbl 1387.60059) Full Text: DOI arXiv
Hurvich, Clifford; Reed, Josh Series expansions for the all-time maximum of \(\alpha\)-stable random walks. (English) Zbl 1351.60054 Adv. Appl. Probab. 48, No. 3, 744-767 (2016). MSC: 60G50 60G52 60G70 60K25 90B22 PDFBibTeX XMLCite \textit{C. Hurvich} and \textit{J. Reed}, Adv. Appl. Probab. 48, No. 3, 744--767 (2016; Zbl 1351.60054) Full Text: DOI Euclid
Buchardt, Kristian Continuous affine processes: transformations, Markov chains and life insurance. (English) Zbl 1414.91167 Adv. Appl. Probab. 48, No. 2, 423-442 (2016). MSC: 91B30 91G40 60J20 PDFBibTeX XMLCite \textit{K. Buchardt}, Adv. Appl. Probab. 48, No. 2, 423--442 (2016; Zbl 1414.91167) Full Text: DOI Link
Oreshkin, Boris N.; Réegnard, Nazim; L’Ecuyer, Pierre Rate-based daily arrival process models with application to call centers. (English) Zbl 1345.60106 Oper. Res. 64, No. 2, 510-527 (2016). MSC: 60K25 60G55 90B22 68M20 PDFBibTeX XMLCite \textit{B. N. Oreshkin} et al., Oper. Res. 64, No. 2, 510--527 (2016; Zbl 1345.60106) Full Text: DOI Link
Bao, Feng; Cao, Yanzhao; Meir, Amnon; Zhao, Weidong A first order scheme for backward doubly stochastic differential equations. (English) Zbl 1343.60096 SIAM/ASA J. Uncertain. Quantif. 4, 413-445 (2016). MSC: 60H35 60H10 65C30 60G35 PDFBibTeX XMLCite \textit{F. Bao} et al., SIAM/ASA J. Uncertain. Quantif. 4, 413--445 (2016; Zbl 1343.60096) Full Text: DOI
Xu, Wei Backward doubly stochastic equations with jumps and comparison theorems. (English) Zbl 1382.60084 J. Math. Anal. Appl. 443, No. 1, 596-624 (2016). MSC: 60H10 35R60 60J75 35B51 PDFBibTeX XMLCite \textit{W. Xu}, J. Math. Anal. Appl. 443, No. 1, 596--624 (2016; Zbl 1382.60084) Full Text: DOI arXiv
Panaretos, Victor M.; Zemel, Yoav Amplitude and phase variation of point processes. (English) Zbl 1381.62261 Ann. Stat. 44, No. 2, 771-812 (2016). MSC: 62M30 60G55 62G05 PDFBibTeX XMLCite \textit{V. M. Panaretos} and \textit{Y. Zemel}, Ann. Stat. 44, No. 2, 771--812 (2016; Zbl 1381.62261) Full Text: DOI arXiv Euclid
Biskup, M.; König, W. Eigenvalue order statistics for random Schrödinger operators with doubly-exponential tails. (English) Zbl 1332.60097 Commun. Math. Phys. 341, No. 1, 179-218 (2016). MSC: 60H25 60G70 62G30 47B80 PDFBibTeX XMLCite \textit{M. Biskup} and \textit{W. König}, Commun. Math. Phys. 341, No. 1, 179--218 (2016; Zbl 1332.60097) Full Text: DOI arXiv
Dumitrescu, Roxana; Labart, Céline Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles. (English) Zbl 1329.60234 J. Comput. Appl. Math. 296, 827-839 (2016). MSC: 60H35 60H10 60J75 65C30 34K28 PDFBibTeX XMLCite \textit{R. Dumitrescu} and \textit{C. Labart}, J. Comput. Appl. Math. 296, 827--839 (2016; Zbl 1329.60234) Full Text: DOI arXiv
Xu, Guangli; Song, Shiyu; Wang, Yongjin Some properties of doubly skewed CIR processes. (English) Zbl 1334.60169 J. Math. Anal. Appl. 434, No. 2, 1194-1210 (2016). MSC: 60J60 60H10 PDFBibTeX XMLCite \textit{G. Xu} et al., J. Math. Anal. Appl. 434, No. 2, 1194--1210 (2016; Zbl 1334.60169) Full Text: DOI
Xu, Liping; Li, Zhi Doubly perturbed neutral stochastic functional equations driven by fractional Brownian motion. (English) Zbl 1349.34323 J. Partial Differ. Equations 28, No. 4, 305-314 (2015). MSC: 34K50 34K40 60G22 34K27 PDFBibTeX XMLCite \textit{L. Xu} and \textit{Z. Li}, J. Partial Differ. Equations 28, No. 4, 305--314 (2015; Zbl 1349.34323) Full Text: DOI Link
Korolev, V. Yu.; Chertok, A. V.; Korchagin, A. Yu.; Zeifman, A. I. Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes. (English) Zbl 1338.91077 Appl. Math. Comput. 253, 224-241 (2015). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{V. Yu. Korolev} et al., Appl. Math. Comput. 253, 224--241 (2015; Zbl 1338.91077) Full Text: DOI arXiv
Florchinger, Patrick Exact finite-dimensional filter for exponential functionals of the state of Beneš systems. (English) Zbl 1331.93200 Stochastic Anal. Appl. 33, No. 6, 1056-1067 (2015). MSC: 93E11 93E10 60G35 60G57 60H10 60H15 PDFBibTeX XMLCite \textit{P. Florchinger}, Stochastic Anal. Appl. 33, No. 6, 1056--1067 (2015; Zbl 1331.93200) Full Text: DOI
Li, Zhi; Luo, Jiaowan Barrier reflected backward doubly stochastic differential equations with discontinuous generators. (English) Zbl 1340.60098 Adv. Math., Beijing 44, No. 1, 128-140 (2015). MSC: 60H15 60G15 PDFBibTeX XMLCite \textit{Z. Li} and \textit{J. Luo}, Adv. Math., Beijing 44, No. 1, 128--140 (2015; Zbl 1340.60098) Full Text: DOI
De Genaro, Alan; Simonis, Adilson Estimating doubly stochastic Poisson process with affine intensities by Kalman filter. (English) Zbl 1329.62393 Stat. Pap. 56, No. 3, 723-748 (2015). MSC: 62M99 62M20 62P05 PDFBibTeX XMLCite \textit{A. De Genaro} and \textit{A. Simonis}, Stat. Pap. 56, No. 3, 723--748 (2015; Zbl 1329.62393) Full Text: DOI
Bielecki, Tomasz R.; Jakubowski, Jacek; Niewȩgłowski, Mariusz Conditional Markov chains – construction and properties. (English) Zbl 1323.60102 Chojnowska-Michalik, Anna (ed.) et al., Stochastic analysis. Special volume in honour of Jerzy Zabczyk. Selected papers based on the presentations at the Banach Center conference on stochastic analysis and control, Bȩdlewo, Poland, May 6–10, 2013. Warsaw: Polish Academy of Sciences, Institute of Mathematics (ISBN 978-83-86806-28-7/pbk). Banach Center Publications 105, 33-42 (2015). MSC: 60J27 60G55 60G44 60J75 PDFBibTeX XMLCite \textit{T. R. Bielecki} et al., Banach Cent. Publ. 105, 33--42 (2015; Zbl 1323.60102) Full Text: DOI
Baurdoux, Erik J.; Yamazaki, Kazutoshi Optimality of doubly reflected Lévy processes in singular control. (English) Zbl 1329.49039 Stochastic Processes Appl. 125, No. 7, 2727-2751 (2015). MSC: 49K45 60G51 93E20 PDFBibTeX XMLCite \textit{E. J. Baurdoux} and \textit{K. Yamazaki}, Stochastic Processes Appl. 125, No. 7, 2727--2751 (2015; Zbl 1329.49039) Full Text: DOI arXiv
Aulbach, Stefan; Falk, Michael; Zott, Maximilian The space of \(D\)-norms revisited. (English) Zbl 1310.60062 Extremes 18, No. 1, 85-97 (2015). MSC: 60G70 60E99 PDFBibTeX XMLCite \textit{S. Aulbach} et al., Extremes 18, No. 1, 85--97 (2015; Zbl 1310.60062) Full Text: DOI arXiv
Guo, Dongmei; Jing, Shuai; Wang, Shouyang Fractional backward doubly stochastic differential equations with jumps and the related SIPDEs. (Chinese. English summary) Zbl 1488.60143 Sci. Sin., Math. 44, No. 1, 73-87 (2014). MSC: 60H10 60H15 60H20 60G22 PDFBibTeX XMLCite \textit{D. Guo} et al., Sci. Sin., Math. 44, No. 1, 73--87 (2014; Zbl 1488.60143) Full Text: DOI
Sheraz, Muhammad Doubly stochastic models with asymmetric GARCH errors. (English) Zbl 1413.62188 Proc. Rom. Acad., Ser. A, Math. Phys. Tech. Sci. Inf. Sci. 15, No. 2, 107-114 (2014). MSC: 62P05 62M10 PDFBibTeX XMLCite \textit{M. Sheraz}, Proc. Rom. Acad., Ser. A, Math. Phys. Tech. Sci. Inf. Sci. 15, No. 2, 107--114 (2014; Zbl 1413.62188)
Sheraz, Muhammad Doubly stochastic models with threshold GARCH innovations. (English) Zbl 1374.91142 Math. Rep., Buchar. 16(66), No. 3, 421-430 (2014). MSC: 91G70 62M10 91B84 PDFBibTeX XMLCite \textit{M. Sheraz}, Math. Rep., Buchar. 16(66), No. 3, 421--430 (2014; Zbl 1374.91142)
Al-Hussein, Abdulrahman; Gherbal, Boulakhras Stochastic maximum principle for Hilbert space valued forward-backward doubly SDEs with Poisson jumps. (English) Zbl 1325.60084 Pötzsche, Christian (ed.) et al., System modeling and optimization. 26th IFIP TC 7 conference, CSMO 2013, Klagenfurt, Austria, September 9–13, 2013. Revised selected papers. Heidelberg: Springer (ISBN 978-3-662-45503-6/hbk; 978-3-662-45504-3/ebook). IFIP Advances in Information and Communication Technology 443, 1-10 (2014). MSC: 60H10 60H15 93E20 60G57 60G55 PDFBibTeX XMLCite \textit{A. Al-Hussein} and \textit{B. Gherbal}, IFIP Adv. Inf. Commun. Technol. 443, 1--10 (2014; Zbl 1325.60084) Full Text: DOI arXiv
Wang, Yuzhao; Chen, Wenyi Gradient estimates and entropy monotonicity formula for doubly nonlinear diffusion equations on Riemannian manifolds. (English) Zbl 1318.58014 Math. Methods Appl. Sci. 37, No. 17, 2772-2781 (2014). MSC: 58J35 35K55 58J65 PDFBibTeX XMLCite \textit{Y. Wang} and \textit{W. Chen}, Math. Methods Appl. Sci. 37, No. 17, 2772--2781 (2014; Zbl 1318.58014) Full Text: DOI
Trutschnig, Wolfgang; Fernández Sánchez, Juan Copulas with continuous, strictly increasing singular conditional distribution functions. (English) Zbl 1307.60007 J. Math. Anal. Appl. 410, No. 2, 1014-1027 (2014). MSC: 60E05 62H05 60J05 PDFBibTeX XMLCite \textit{W. Trutschnig} and \textit{J. Fernández Sánchez}, J. Math. Anal. Appl. 410, No. 2, 1014--1027 (2014; Zbl 1307.60007) Full Text: DOI
Faye, Ibrahima; Sow, Ahmadou Bamba Backward doubly stochastic differential equation driven by Lévy process: a comparison theorem. (English) Zbl 1305.60043 Afr. Mat. 25, No. 4, 869-880 (2014). MSC: 60H10 60G51 60G57 60H05 60G44 PDFBibTeX XMLCite \textit{I. Faye} and \textit{A. B. Sow}, Afr. Mat. 25, No. 4, 869--880 (2014; Zbl 1305.60043) Full Text: DOI
Jokiel-Rokita, Alicja; Lazar, Daniel; Magiera, Ryszard Bayesian prediction in doubly stochastic Poisson process. (English) Zbl 1305.62121 Metrika 77, No. 8, 1023-1039 (2014). MSC: 62F15 60G55 PDFBibTeX XMLCite \textit{A. Jokiel-Rokita} et al., Metrika 77, No. 8, 1023--1039 (2014; Zbl 1305.62121) Full Text: DOI
Bo, Lijun; Capponi, Agostino Bilateral credit valuation adjustment for large credit derivatives portfolios. (English) Zbl 1306.91145 Finance Stoch. 18, No. 2, 431-482 (2014). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G40 60H10 91G20 PDFBibTeX XMLCite \textit{L. Bo} and \textit{A. Capponi}, Finance Stoch. 18, No. 2, 431--482 (2014; Zbl 1306.91145) Full Text: DOI arXiv
Buchardt, Kristian Dependent interest and transition rates in life insurance. (English) Zbl 1296.91145 Insur. Math. Econ. 55, 167-179 (2014). MSC: 91B30 60J20 PDFBibTeX XMLCite \textit{K. Buchardt}, Insur. Math. Econ. 55, 167--179 (2014; Zbl 1296.91145) Full Text: DOI
Ratanov, Nikita Double telegraph processes and complete market models. (English) Zbl 1311.60085 Stochastic Anal. Appl. 32, No. 4, 555-574 (2014). Reviewer: Alexander Schnurr (Dortmund) MSC: 60J27 60J75 60K99 91B25 91G80 PDFBibTeX XMLCite \textit{N. Ratanov}, Stochastic Anal. Appl. 32, No. 4, 555--574 (2014; Zbl 1311.60085) Full Text: DOI
Beghin, Luisa; Macci, Claudio Fractional discrete processes: compound and mixed Poisson representations. (English) Zbl 1294.26004 J. Appl. Probab. 51, No. 1, 19-36 (2014). MSC: 26A33 33E12 60G22 PDFBibTeX XMLCite \textit{L. Beghin} and \textit{C. Macci}, J. Appl. Probab. 51, No. 1, 19--36 (2014; Zbl 1294.26004) Full Text: DOI arXiv Euclid
Hopcraft, Keith Iain; Jakeman, Eric; Ridley, Kevin D. The dynamics of discrete populations and series of events. (English) Zbl 1315.92002 Graduate Student Series in Physics. Boca Raton, FL: CRC Press (ISBN 978-1-4200-6067-6/hbk). x, 213 p. (2014). Reviewer: Hong Zhang (Zhenjiang) MSC: 92-01 92D25 60J20 62P10 PDFBibTeX XMLCite \textit{K. I. Hopcraft} et al., The dynamics of discrete populations and series of events. Boca Raton, FL: CRC Press (2014; Zbl 1315.92002)
Biagini, Francesca; Groll, Andreas; Widenmann, Jan Intensity-based premium evaluation for unemployment insurance products. (English) Zbl 1284.91207 Insur. Math. Econ. 53, No. 1, 302-316 (2013). MSC: 91B30 62P05 60J28 65C05 PDFBibTeX XMLCite \textit{F. Biagini} et al., Insur. Math. Econ. 53, No. 1, 302--316 (2013; Zbl 1284.91207) Full Text: DOI
Korolev, V. Yu.; Zaks, L. M.; Zeifman, A. I. On convergence of random walks generated by compound Cox processes to Lévy processes. (English) Zbl 1288.60060 Stat. Probab. Lett. 83, No. 10, 2432-2438 (2013). MSC: 60G51 60G52 PDFBibTeX XMLCite \textit{V. Yu. Korolev} et al., Stat. Probab. Lett. 83, No. 10, 2432--2438 (2013; Zbl 1288.60060) Full Text: DOI
Lee, Nam H.; Yoder, Jordan; Tang, Minh; Priebe, Carey E. On latent position inference from doubly stochastic messaging activities. (English) Zbl 06251541 Multiscale Model. Simul. 11, No. 3, 683-718 (2013). MSC: 62M05 60G35 60G55 PDFBibTeX XMLCite \textit{N. H. Lee} et al., Multiscale Model. Simul. 11, No. 3, 683--718 (2013; Zbl 06251541) Full Text: DOI arXiv
Diaconis, Persi; Wood, Philip Matchett Random doubly stochastic tridiagonal matrices. (English) Zbl 1278.15035 Random Struct. Algorithms 42, No. 4, 403-437 (2013). Reviewer: Huang Wenxue (Scarborough) MSC: 15B51 15B52 60J10 60J80 65C40 15A18 PDFBibTeX XMLCite \textit{P. Diaconis} and \textit{P. M. Wood}, Random Struct. Algorithms 42, No. 4, 403--437 (2013; Zbl 1278.15035) Full Text: DOI
Lenci, Marco Random walks in random environments without ellipticity. (English) Zbl 1264.60030 Stochastic Processes Appl. 123, No. 5, 1750-1764 (2013). MSC: 60G50 60K37 37A50 37A20 60G42 60F17 PDFBibTeX XMLCite \textit{M. Lenci}, Stochastic Processes Appl. 123, No. 5, 1750--1764 (2013; Zbl 1264.60030) Full Text: DOI arXiv
Guttorp, Peter; Thorarinsdottir, Thordis L. What happened to discrete chaos, the Quenouille process, and the sharp Markov property? Some history of stochastic point processes. (English. French summary) Zbl 1415.60002 Int. Stat. Rev. 80, No. 2, 253-268 (2012). MSC: 60-03 01A60 60G55 PDFBibTeX XMLCite \textit{P. Guttorp} and \textit{T. L. Thorarinsdottir}, Int. Stat. Rev. 80, No. 2, 253--268 (2012; Zbl 1415.60002) Full Text: DOI
Hu, Lanying Reflected backward doubly stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition. (English) Zbl 1286.60053 Appl. Math. Comput. 219, No. 3, 1153-1157 (2012). MSC: 60H10 60G51 PDFBibTeX XMLCite \textit{L. Hu}, Appl. Math. Comput. 219, No. 3, 1153--1157 (2012; Zbl 1286.60053) Full Text: DOI
Touri, Behrouz; Nedić, Angelia On backward product of stochastic matrices. (English) Zbl 1275.15021 Automatica 48, No. 8, 1477-1488 (2012). Reviewer: Huang Wenxue (Scarborough) MSC: 15B51 60J10 PDFBibTeX XMLCite \textit{B. Touri} and \textit{A. Nedić}, Automatica 48, No. 8, 1477--1488 (2012; Zbl 1275.15021) Full Text: DOI arXiv Link
Aman, Auguste Reflected generalized backward doubly SDEs driven by Lévy processes and applications. (English) Zbl 1259.60062 J. Theor. Probab. 25, No. 4, 1153-1172 (2012). MSC: 60H15 60H20 PDFBibTeX XMLCite \textit{A. Aman}, J. Theor. Probab. 25, No. 4, 1153--1172 (2012; Zbl 1259.60062) Full Text: DOI arXiv
Aman, Auguste; Owo, Jean Marc Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients. (English) Zbl 1259.60063 Acta Math. Sin., Engl. Ser. 28, No. 10, 2011-2020 (2012). MSC: 60H15 60F05 PDFBibTeX XMLCite \textit{A. Aman} and \textit{J. M. Owo}, Acta Math. Sin., Engl. Ser. 28, No. 10, 2011--2020 (2012; Zbl 1259.60063) Full Text: DOI arXiv
Wu, Xiaotai; Yan, Litan Numerical solutions of doubly perturbed stochastic delay differential equations driven by Lévy process. (English) Zbl 1255.60116 Arab. J. Math. 1, No. 2, 251-265 (2012). MSC: 60H35 60H10 65C50 60J75 PDFBibTeX XMLCite \textit{X. Wu} and \textit{L. Yan}, Arab. J. Math. 1, No. 2, 251--265 (2012; Zbl 1255.60116) Full Text: DOI
Gnacadja, Gilles Asymptotic equidistribution of congruence classes with respect to the convolution iterates of a probability vector. (English) Zbl 1251.60007 Stat. Probab. Lett. 82, No. 10, 1849-1852 (2012). MSC: 60C05 60G10 05A16 PDFBibTeX XMLCite \textit{G. Gnacadja}, Stat. Probab. Lett. 82, No. 10, 1849--1852 (2012; Zbl 1251.60007) Full Text: DOI
El-Sheikh, Ahmed A. On generalized doubly stochastic lumping Markov chains. (English) Zbl 1247.60105 Int. J. Contemp. Math. Sci. 7, No. 5-8, 215-225 (2012). MSC: 60J10 PDFBibTeX XMLCite \textit{A. A. El-Sheikh}, Int. J. Contemp. Math. Sci. 7, No. 5--8, 215--225 (2012; Zbl 1247.60105) Full Text: Link
Biagini, Francesca; Widenmann, Jan Pricing of unemployment insurance products with doubly stochastic Markov chains. (English) Zbl 1246.91050 Int. J. Theor. Appl. Finance 15, No. 4, Article ID 1250025, 32 p. (2012). MSC: 91B30 91B25 60J10 PDFBibTeX XMLCite \textit{F. Biagini} and \textit{J. Widenmann}, Int. J. Theor. Appl. Finance 15, No. 4, Article ID 1250025, 32 p. (2012; Zbl 1246.91050) Full Text: DOI
Fernández-Alcalá, Rosa Maria; Navarro-Moreno, Jesus; Ruiz-Molina, Juan C. On the smoothing estimation problem for the intensity of a DSMPP. (English) Zbl 1241.62120 Methodol. Comput. Appl. Probab. 14, No. 1, 5-16 (2012). MSC: 62M09 65C60 60G55 PDFBibTeX XMLCite \textit{R. M. Fernández-Alcalá} et al., Methodol. Comput. Appl. Probab. 14, No. 1, 5--16 (2012; Zbl 1241.62120) Full Text: DOI
Sow, A. B. Backward doubly stochastic differential equations driven by Levi process: the case of non-Lipschitz coefficients. (Backward doubly stochastic differential equations driven by Levi process: the case of non-Liphschitz coefficients.) (English) Zbl 1360.60116 J. Numer. Math. Stoch. 3, No. 1, 71-79 (2011). MSC: 60H10 60G51 PDFBibTeX XMLCite \textit{A. B. Sow}, J. Numer. Math. Stoch. 3, No. 1, 71--79 (2011; Zbl 1360.60116) Full Text: Link
Das, Gopal; Paul, Kallol Antieigenvalues of doubly stochastic matrices. (English) Zbl 1256.15018 Bull. Calcutta Math. Soc. 103, No. 5, 391-402 (2011). Reviewer: Jaspal Singh Aujla (Jalandhar) MSC: 15B51 60J10 15A18 PDFBibTeX XMLCite \textit{G. Das} and \textit{K. Paul}, Bull. Calcutta Math. Soc. 103, No. 5, 391--402 (2011; Zbl 1256.15018)
Peiris, S.; Thavaneswaran, A.; Appadoo, S. Doubly stochastic models with GARCH innovations. (English) Zbl 1229.91363 Appl. Math. Lett. 24, No. 11, 1768-1773 (2011). MSC: 91G70 62M10 60G10 PDFBibTeX XMLCite \textit{S. Peiris} et al., Appl. Math. Lett. 24, No. 11, 1768--1773 (2011; Zbl 1229.91363) Full Text: DOI
Jing, Shuai; León, Jorge A. Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\). (English) Zbl 1242.60066 Bull. Sci. Math. 135, No. 8, 896-935 (2011). Reviewer: Rainer Buckdahn (Brest) MSC: 60H15 60G22 35R60 60H10 PDFBibTeX XMLCite \textit{S. Jing} and \textit{J. A. León}, Bull. Sci. Math. 135, No. 8, 896--935 (2011; Zbl 1242.60066) Full Text: DOI arXiv
Trutschnig, Wolfgang On a strong metric on the space of copulas and its induced dependence measure. (English) Zbl 1252.46019 J. Math. Anal. Appl. 384, No. 2, 690-705 (2011). MSC: 46E27 47D07 60J99 PDFBibTeX XMLCite \textit{W. Trutschnig}, J. Math. Anal. Appl. 384, No. 2, 690--705 (2011; Zbl 1252.46019) Full Text: DOI
Röder, Jens; Tolosana-Delgado, Raimon; Hamprecht, Fred A. Gaussian process classification: Singly versus doubly stochastic models, and new computational schemes. (English) Zbl 1221.62097 Stoch. Environ. Res. Risk Assess. 25, No. 7, 865-879 (2011). MSC: 62H30 86A32 62M09 65C60 62M99 PDFBibTeX XMLCite \textit{J. Röder} et al., Stoch. Environ. Res. Risk Assess. 25, No. 7, 865--879 (2011; Zbl 1221.62097) Full Text: DOI
Jakubowski, Jacek; Niewęgłowski, Mariusz Pricing and hedging of rating-sensitive claims modeled by \(\mathbb{F}\)-doubly stochastic Markov chains. (English) Zbl 1283.91178 Di Nunno, Giulia (ed.) et al., Advanced mathematical methods for finance. Berlin: Springer (ISBN 978-3-642-18411-6/hbk; 978-3-642-18412-3/ebook). 417-453 (2011). Reviewer: Nikolaos Halidias (Athens) MSC: 91G20 91G40 60J10 60H30 PDFBibTeX XMLCite \textit{J. Jakubowski} and \textit{M. Niewęgłowski}, in: Advanced mathematical methods for finance. Berlin: Springer. 417--453 (2011; Zbl 1283.91178) Full Text: DOI