Mishura, Yuliya; Yurchenko-Tytarenko, Anton Standard and fractional reflected Ornstein-Uhlenbeck processes as the limits of square roots of Cox-Ingersoll-Ross processes. (English) Zbl 07701608 Stochastics 95, No. 1, 99-117 (2023). MSC: 60H10 60G22 91G30 PDF BibTeX XML Cite \textit{Y. Mishura} and \textit{A. Yurchenko-Tytarenko}, Stochastics 95, No. 1, 99--117 (2023; Zbl 07701608) Full Text: DOI arXiv
Sen, Ankita; Selvaraju, N. Diffusion approximation of an infinite-server queue under Markovian environment with rapid switching. (English) Zbl 07698981 Stat. Probab. Lett. 195, Article ID 109778, 11 p. (2023). Reviewer: Sergei V. Rogosin (Minsk) MSC: 60K25 60F17 60K37 PDF BibTeX XML Cite \textit{A. Sen} and \textit{N. Selvaraju}, Stat. Probab. Lett. 195, Article ID 109778, 11 p. (2023; Zbl 07698981) Full Text: DOI
Prömel, David J.; Scheffels, David Stochastic Volterra equations with Hölder diffusion coefficients. (English) Zbl 07697545 Stochastic Processes Appl. 161, 291-315 (2023). MSC: 60H20 45D05 PDF BibTeX XML Cite \textit{D. J. Prömel} and \textit{D. Scheffels}, Stochastic Processes Appl. 161, 291--315 (2023; Zbl 07697545) Full Text: DOI arXiv
Feng, Chunrong; Zhao, Huaizhong; Zhong, Johnny Existence of geometric ergodic periodic measures of stochastic differential equations. (English) Zbl 07676264 J. Differ. Equations 359, 67-106 (2023). MSC: 60Hxx 60Jxx 37Hxx PDF BibTeX XML Cite \textit{C. Feng} et al., J. Differ. Equations 359, 67--106 (2023; Zbl 07676264) Full Text: DOI arXiv
Çetin, Umut; Larsen, Kasper Uniqueness in Cauchy problems for diffusive real-valued strict local martingales. (English) Zbl 07660879 Trans. Am. Math. Soc., Ser. B 10, 381-406 (2023). MSC: 60G44 60J60 PDF BibTeX XML Cite \textit{U. Çetin} and \textit{K. Larsen}, Trans. Am. Math. Soc., Ser. B 10, 381--406 (2023; Zbl 07660879) Full Text: DOI arXiv
Bierkens, Joris; Grazzi, Sebastiano; Meulen, Frank van der; Schauer, Moritz Sticky PDMP samplers for sparse and local inference problems. (English) Zbl 1499.62011 Stat. Comput. 33, No. 1, Paper No. 8, 31 p. (2023). MSC: 62-08 62F15 60J25 PDF BibTeX XML Cite \textit{J. Bierkens} et al., Stat. Comput. 33, No. 1, Paper No. 8, 31 p. (2023; Zbl 1499.62011) Full Text: DOI arXiv
Huang, Ching-Peng A model of invariant control system using mean curvature drift from Brownian motion under submersions. (English) Zbl 1503.60013 Q. Appl. Math. 81, No. 1, 175-202 (2023). MSC: 60D05 60J65 93E03 53E10 58J65 58J50 PDF BibTeX XML Cite \textit{C.-P. Huang}, Q. Appl. Math. 81, No. 1, 175--202 (2023; Zbl 1503.60013) Full Text: DOI arXiv
Bansaye, Vincent; Cloez, Bertrand; Gabriel, Pierre; Marguet, Aline A non-conservative Harris ergodic theorem. (English) Zbl 07730868 J. Lond. Math. Soc., II. Ser. 106, No. 3, 2459-2510 (2022). MSC: 47A35 35B40 47D06 60J80 92D25 PDF BibTeX XML Cite \textit{V. Bansaye} et al., J. Lond. Math. Soc., II. Ser. 106, No. 3, 2459--2510 (2022; Zbl 07730868) Full Text: DOI arXiv
Hutzenthaler, Martin; Jordan, Felix; Metzler, Dirk Costly defense traits in structured populations. (English) Zbl 1502.60155 ALEA, Lat. Am. J. Probab. Math. Stat. 19, No. 2, 1697-1752 (2022). MSC: 60K35 92D25 PDF BibTeX XML Cite \textit{M. Hutzenthaler} et al., ALEA, Lat. Am. J. Probab. Math. Stat. 19, No. 2, 1697--1752 (2022; Zbl 1502.60155) Full Text: arXiv Link
Mazzolo, Alain; Monthus, Cécile Conditioning diffusion processes with respect to the local time at the origin. (English) Zbl 07632698 J. Stat. Mech. Theory Exp. 2022, No. 10, Article ID 103207, 73 p. (2022). MSC: 82-XX PDF BibTeX XML Cite \textit{A. Mazzolo} and \textit{C. Monthus}, J. Stat. Mech. Theory Exp. 2022, No. 10, Article ID 103207, 73 p. (2022; Zbl 07632698) Full Text: DOI arXiv
Yamato, Kosuke A unifying approach to non-minimal quasi-stationary distributions for one-dimensional diffusions. (English) Zbl 1501.60045 J. Appl. Probab. 59, No. 4, 1106-1128 (2022). MSC: 60J60 60B10 60E07 PDF BibTeX XML Cite \textit{K. Yamato}, J. Appl. Probab. 59, No. 4, 1106--1128 (2022; Zbl 1501.60045) Full Text: DOI arXiv
Hernández-Hernández, Ma. Elena; Jacka, Saul D. A generalisation of the Burkholder-Davis-Gundy inequalities. (English) Zbl 1515.60119 Electron. Commun. Probab. 27, Paper No. 50, 8 p. (2022). MSC: 60G44 60G48 60E15 PDF BibTeX XML Cite \textit{Ma. E. Hernández-Hernández} and \textit{S. D. Jacka}, Electron. Commun. Probab. 27, Paper No. 50, 8 p. (2022; Zbl 1515.60119) Full Text: DOI arXiv
Mazzolo, Alain; Monthus, Cécile Conditioning diffusion processes with Killing rates. (English) Zbl 07604517 J. Stat. Mech. Theory Exp. 2022, No. 8, Article ID 083207, 44 p. (2022). MSC: 82-XX PDF BibTeX XML Cite \textit{A. Mazzolo} and \textit{C. Monthus}, J. Stat. Mech. Theory Exp. 2022, No. 8, Article ID 083207, 44 p. (2022; Zbl 07604517) Full Text: DOI arXiv
Pun, Chi Seng Robust classical-impulse stochastic control problems in an infinite horizon. (English) Zbl 1503.49032 Math. Methods Oper. Res. 96, No. 2, 291-312 (2022). MSC: 49N25 49J40 49N10 PDF BibTeX XML Cite \textit{C. S. Pun}, Math. Methods Oper. Res. 96, No. 2, 291--312 (2022; Zbl 1503.49032) Full Text: DOI
Li, Yun; Valkó, Benedek Operator level limit of the circular Jacobi \(\beta \)-ensemble. (English) Zbl 1504.60014 Random Matrices Theory Appl. 11, No. 4, Article ID 2250043, 41 p. (2022). Reviewer: Vakhtang V. Kvaratskhelia (Tbilisi) MSC: 60B20 47B80 47E05 PDF BibTeX XML Cite \textit{Y. Li} and \textit{B. Valkó}, Random Matrices Theory Appl. 11, No. 4, Article ID 2250043, 41 p. (2022; Zbl 1504.60014) Full Text: DOI arXiv
Ernst, Philip A.; Peskir, Goran Quickest real-time detection of a Brownian coordinate drift. (English) Zbl 1499.60129 Ann. Appl. Probab. 32, No. 4, 2652-2670 (2022). MSC: 60G40 60J65 60H30 35J15 45G10 62C10 PDF BibTeX XML Cite \textit{P. A. Ernst} and \textit{G. Peskir}, Ann. Appl. Probab. 32, No. 4, 2652--2670 (2022; Zbl 1499.60129) Full Text: DOI arXiv
Lu, Yingdong Approximating the magnetization in the Curie-Weiss model. (English) Zbl 1498.60390 Stat. Probab. Lett. 190, Article ID 109620, 8 p. (2022). MSC: 60K35 60F99 PDF BibTeX XML Cite \textit{Y. Lu}, Stat. Probab. Lett. 190, Article ID 109620, 8 p. (2022; Zbl 1498.60390) Full Text: DOI
Criens, David; Ritter, Moritz On a theorem by A.S. Cherny for semilinear stochastic partial differential equations. (English) Zbl 1498.35637 J. Theor. Probab. 35, No. 3, 2052-2067 (2022). MSC: 35R60 35A02 35D30 60G44 60H05 PDF BibTeX XML Cite \textit{D. Criens} and \textit{M. Ritter}, J. Theor. Probab. 35, No. 3, 2052--2067 (2022; Zbl 1498.35637) Full Text: DOI arXiv
Pacheco, Carlos G.; Pérez-Rojas, Mariana Excursions of the Brox diffusion. (English) Zbl 1507.60139 J. Theor. Probab. 35, No. 3, 1479-1500 (2022). MSC: 60K37 60G17 60J55 60J60 PDF BibTeX XML Cite \textit{C. G. Pacheco} and \textit{M. Pérez-Rojas}, J. Theor. Probab. 35, No. 3, 1479--1500 (2022; Zbl 1507.60139) Full Text: DOI
Mogensen, Søren Wengel; Hansen, Niels Richard Graphical modeling of stochastic processes driven by correlated noise. (English) Zbl 07594087 Bernoulli 28, No. 4, 3023-3050 (2022). MSC: 62Mxx 62Pxx 60Jxx PDF BibTeX XML Cite \textit{S. W. Mogensen} and \textit{N. R. Hansen}, Bernoulli 28, No. 4, 3023--3050 (2022; Zbl 07594087) Full Text: DOI arXiv Link
Randon-Furling, Julien; Salminen, Paavo; Vallois, Pierre On a first hit distribution of the running maximum of Brownian motion. (English) Zbl 1491.60145 Stochastic Processes Appl. 150, 1204-1221 (2022). MSC: 60J65 60G17 60G40 60G51 60G52 PDF BibTeX XML Cite \textit{J. Randon-Furling} et al., Stochastic Processes Appl. 150, 1204--1221 (2022; Zbl 1491.60145) Full Text: DOI arXiv
Johnson, P.; Pedersen, J. L.; Peskir, G.; Zucca, C. Detecting the presence of a random drift in Brownian motion. (English) Zbl 1494.60044 Stochastic Processes Appl. 150, 1068-1090 (2022). MSC: 60G40 62L10 62L15 60J65 PDF BibTeX XML Cite \textit{P. Johnson} et al., Stochastic Processes Appl. 150, 1068--1090 (2022; Zbl 1494.60044) Full Text: DOI
Sutthimat, Phiraphat; Mekchay, Khamron; Rujivan, Sanae Closed-form formula for conditional moments of generalized nonlinear drift CEV process. (English) Zbl 1510.91172 Appl. Math. Comput. 428, Article ID 127213, 17 p. (2022). MSC: 91G20 91G30 91G60 60J60 PDF BibTeX XML Cite \textit{P. Sutthimat} et al., Appl. Math. Comput. 428, Article ID 127213, 17 p. (2022; Zbl 1510.91172) Full Text: DOI
Song, Kunyang; Song, Yuping; Wang, Hanchao Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models. (English) Zbl 1487.62102 Probab. Uncertain. Quant. Risk 7, No. 1, 31-44 (2022). MSC: 62M05 62G05 62E20 62P05 PDF BibTeX XML Cite \textit{K. Song} et al., Probab. Uncertain. Quant. Risk 7, No. 1, 31--44 (2022; Zbl 1487.62102) Full Text: DOI
Vidmar, Matija Some harmonic functions for killed Markov branching processes with immigration and culling. (English) Zbl 1492.60243 Stochastics 94, No. 4, 578-601 (2022). Reviewer: Jean-Jil Duchamps (Besançon) MSC: 60J80 60J50 PDF BibTeX XML Cite \textit{M. Vidmar}, Stochastics 94, No. 4, 578--601 (2022; Zbl 1492.60243) Full Text: DOI arXiv
Zhang, Benjamin J.; Sahai, Tuhin; Marzouk, Youssef M. A Koopman framework for rare event simulation in stochastic differential equations. (English) Zbl 07518103 J. Comput. Phys. 456, Article ID 111025, 27 p. (2022). MSC: 60Hxx 65Cxx 60Jxx PDF BibTeX XML Cite \textit{B. J. Zhang} et al., J. Comput. Phys. 456, Article ID 111025, 27 p. (2022; Zbl 07518103) Full Text: DOI arXiv
Ohashi, Alberto; Russo, Francesco; Teixeira, Alan On path-dependent SDEs involving distributional drifts. (English) Zbl 1489.60104 Mod. Stoch., Theory Appl. 9, No. 1, 65-87 (2022). MSC: 60H10 60H15 PDF BibTeX XML Cite \textit{A. Ohashi} et al., Mod. Stoch., Theory Appl. 9, No. 1, 65--87 (2022; Zbl 1489.60104) Full Text: DOI arXiv
Arnaudon, Alexis; van der Meulen, Frank; Schauer, Moritz; Sommer, Stefan Diffusion bridges for stochastic Hamiltonian systems and shape evolutions. (English) Zbl 1486.60098 SIAM J. Imaging Sci. 15, No. 1, 293-323 (2022). MSC: 60J60 65C05 62F15 PDF BibTeX XML Cite \textit{A. Arnaudon} et al., SIAM J. Imaging Sci. 15, No. 1, 293--323 (2022; Zbl 1486.60098) Full Text: DOI arXiv
Chiarolla, Maria B.; De Angelis, Tiziano; Stabile, Gabriele An analytical study of participating policies with minimum rate guarantee and surrender option. (English) Zbl 1484.91379 Finance Stoch. 26, No. 2, 173-216 (2022). MSC: 91G05 62P05 60G40 35R35 PDF BibTeX XML Cite \textit{M. B. Chiarolla} et al., Finance Stoch. 26, No. 2, 173--216 (2022; Zbl 1484.91379) Full Text: DOI arXiv
Eisenberg, Julia; Krühner, Paul On Itô’s formula for semimartingales with jumps and non-\(\mathcal{C}^2\) functions. (English) Zbl 1489.60097 Stat. Probab. Lett. 184, Article ID 109369, 6 p. (2022). MSC: 60H07 PDF BibTeX XML Cite \textit{J. Eisenberg} and \textit{P. Krühner}, Stat. Probab. Lett. 184, Article ID 109369, 6 p. (2022; Zbl 1489.60097) Full Text: DOI
He, Ping; Shen, Yuncong; Sun, Wenjie One-dimensional diffusion and stochastic differential equation. (English) Zbl 1489.60100 Stat. Probab. Lett. 183, Article ID 109333, 13 p. (2022). MSC: 60H10 60J60 PDF BibTeX XML Cite \textit{P. He} et al., Stat. Probab. Lett. 183, Article ID 109333, 13 p. (2022; Zbl 1489.60100) Full Text: DOI
Briant, Marc; Diez, Antoine; Merino-Aceituno, Sara Cauchy theory for general kinetic Vicsek models in collective dynamics and mean-field limit approximations. (English) Zbl 07483940 SIAM J. Math. Anal. 54, No. 1, 1131-1168 (2022). MSC: 35Q49 35Q84 35A01 35A02 35D30 60J65 82C22 82C31 92B05 35R60 PDF BibTeX XML Cite \textit{M. Briant} et al., SIAM J. Math. Anal. 54, No. 1, 1131--1168 (2022; Zbl 07483940) Full Text: DOI arXiv
Greven, Andreas; den Hollander, Frank; Oomen, Margriet Spatial populations with seed-bank: well-posedness, duality and equilibrium. (English) Zbl 1485.92075 Electron. J. Probab. 27, Paper No. 18, 88 p. (2022). MSC: 92D15 92D10 92D25 60J70 60K35 PDF BibTeX XML Cite \textit{A. Greven} et al., Electron. J. Probab. 27, Paper No. 18, 88 p. (2022; Zbl 1485.92075) Full Text: DOI arXiv
De Angelis, Tiziano Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon. (English) Zbl 1496.60037 Electron. J. Probab. 27, Paper No. 10, 41 p. (2022). MSC: 60G40 35R35 60J60 PDF BibTeX XML Cite \textit{T. De Angelis}, Electron. J. Probab. 27, Paper No. 10, 41 p. (2022; Zbl 1496.60037) Full Text: DOI arXiv
Cao, Xiangyang; Zhang, Chenghui; Zhao, Daduan; Sun, Bo; Li, Yan Event-triggered consensus control of continuous-time stochastic multi-agent systems. (English) Zbl 1482.93374 Automatica 137, Article ID 110022, 8 p. (2022). MSC: 93C65 93D50 93E15 93A16 93D20 93D25 PDF BibTeX XML Cite \textit{X. Cao} et al., Automatica 137, Article ID 110022, 8 p. (2022; Zbl 1482.93374) Full Text: DOI
Qiao, Huijie Superposition principles for the Zakai equations and the Fokker-Planck equations on measure spaces. (English) Zbl 1490.60095 Bull. Sci. Math. 174, Article ID 103084, 28 p. (2022). MSC: 60G35 60H10 35K55 PDF BibTeX XML Cite \textit{H. Qiao}, Bull. Sci. Math. 174, Article ID 103084, 28 p. (2022; Zbl 1490.60095) Full Text: DOI arXiv
Li, Quan-Lin; Fan, Rui-Na A mean-field matrix-analytic method for bike sharing systems under Markovian environment. (English) Zbl 1481.90130 Ann. Oper. Res. 309, No. 2, 517-551 (2022). MSC: 90B22 60K25 90B06 90B15 60J27 PDF BibTeX XML Cite \textit{Q.-L. Li} and \textit{R.-N. Fan}, Ann. Oper. Res. 309, No. 2, 517--551 (2022; Zbl 1481.90130) Full Text: DOI arXiv
Beschastnyi, Ivan; Habermann, Karen; Medvedev, Alexandr Cartan connections for stochastic developments on sub-Riemannian manifolds. (English) Zbl 1515.58009 J. Geom. Anal. 32, No. 1, Paper No. 13, 37 p. (2022). Reviewer: Feng-Yu Wang (Tianjin) MSC: 58J65 53C17 58A15 60J65 PDF BibTeX XML Cite \textit{I. Beschastnyi} et al., J. Geom. Anal. 32, No. 1, Paper No. 13, 37 p. (2022; Zbl 1515.58009) Full Text: DOI arXiv
Ketelbuters, John-John; Hainaut, Donatien Time-consistent evaluation of credit risk with contagion. (English) Zbl 1485.91238 J. Comput. Appl. Math. 403, Article ID 113848, 17 p. (2022). Reviewer: Stefan Tappe (Freiburg) MSC: 91G40 91G05 45K05 PDF BibTeX XML Cite \textit{J.-J. Ketelbuters} and \textit{D. Hainaut}, J. Comput. Appl. Math. 403, Article ID 113848, 17 p. (2022; Zbl 1485.91238) Full Text: DOI Link
Kamma, Thijs; Pelsser, Antoon Near-optimal asset allocation in financial markets with trading constraints. (English) Zbl 1487.91119 Eur. J. Oper. Res. 297, No. 2, 766-781 (2022). MSC: 91G10 60H30 93E20 PDF BibTeX XML Cite \textit{T. Kamma} and \textit{A. Pelsser}, Eur. J. Oper. Res. 297, No. 2, 766--781 (2022; Zbl 1487.91119) Full Text: DOI
Mallmin, E.; du Buisson, J.; Touchette, H. Large deviations of currents in diffusions with reflective boundaries. (English) Zbl 07652718 J. Phys. A, Math. Theor. 54, No. 29, Article ID 295001, 23 p. (2021). MSC: 60J60 60F10 PDF BibTeX XML Cite \textit{E. Mallmin} et al., J. Phys. A, Math. Theor. 54, No. 29, Article ID 295001, 23 p. (2021; Zbl 07652718) Full Text: DOI arXiv
Liu, Dezhi; Zhu, Min; Liu, Jia Stabilization for uncertain stochastic T-S fuzzy system driven by Lévy noise. (English) Zbl 1494.93090 Adv. Difference Equ. 2021, Paper No. 472, 22 p. (2021). MSC: 93D15 93C42 PDF BibTeX XML Cite \textit{D. Liu} et al., Adv. Difference Equ. 2021, Paper No. 472, 22 p. (2021; Zbl 1494.93090) Full Text: DOI
Berestycki, Nathanaël; Cerf, Raphaël The random walk penalised by its range in dimensions \(d\geqslant 3\). (La marche aléatoire pénalisée par son image en dimension \(d\geqslant 3\).) (English. French summary) Zbl 1485.60028 Ann. Henri Lebesgue 4, 1-79 (2021). Reviewer: Andriy Olenko (Melbourne) MSC: 60F10 60G50 82B41 PDF BibTeX XML Cite \textit{N. Berestycki} and \textit{R. Cerf}, Ann. Henri Lebesgue 4, 1--79 (2021; Zbl 1485.60028) Full Text: DOI arXiv
Brinker, Leonie Violetta; Eisenberg, Julia Dividend optimisation: a behaviouristic approach. (English) Zbl 1478.91162 Insur. Math. Econ. 101, 202-224 (2021). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{L. V. Brinker} and \textit{J. Eisenberg}, Insur. Math. Econ. 101, 202--224 (2021; Zbl 1478.91162) Full Text: DOI
Ning, Zheng; Chen, Ge A novel multi-agent model for chemical self-assembly. (English) Zbl 1478.92267 Automatica 129, Article ID 109563, 7 p. (2021). MSC: 92E20 93A16 93E20 PDF BibTeX XML Cite \textit{Z. Ning} and \textit{G. Chen}, Automatica 129, Article ID 109563, 7 p. (2021; Zbl 1478.92267) Full Text: DOI
Vidmar, Matija A nonclassical solution to a classical SDE and a converse to Kolmogorov’s zero-one law. (English) Zbl 1482.60052 Stat. Probab. Lett. 175, Article ID 109117, 6 p. (2021). MSC: 60G05 60G50 PDF BibTeX XML Cite \textit{M. Vidmar}, Stat. Probab. Lett. 175, Article ID 109117, 6 p. (2021; Zbl 1482.60052) Full Text: DOI arXiv
Li, Xiaodan; Ying, Jiangang Markov chain approximations for one dimensional diffusions. (English) Zbl 1473.60105 Osaka J. Math. 58, No. 3, 551-561 (2021). MSC: 60J10 60B10 60J27 60J60 PDF BibTeX XML Cite \textit{X. Li} and \textit{J. Ying}, Osaka J. Math. 58, No. 3, 551--561 (2021; Zbl 1473.60105) Full Text: arXiv Link
Lacker, Daniel; Ramanan, Kavita; Wu, Ruoyu Locally interacting diffusions as Markov random fields on path space. (English) Zbl 1475.60105 Stochastic Processes Appl. 140, 81-114 (2021). MSC: 60H10 60G60 82C20 PDF BibTeX XML Cite \textit{D. Lacker} et al., Stochastic Processes Appl. 140, 81--114 (2021; Zbl 1475.60105) Full Text: DOI arXiv
Geng, Xi; Iyer, Gautam Long time asymptotics of heat kernels and Brownian winding numbers on manifolds with boundary. (English) Zbl 1470.35169 ALEA, Lat. Am. J. Probab. Math. Stat. 18, No. 2, 1297-1323 (2021). MSC: 35K08 35B40 60J65 PDF BibTeX XML Cite \textit{X. Geng} and \textit{G. Iyer}, ALEA, Lat. Am. J. Probab. Math. Stat. 18, No. 2, 1297--1323 (2021; Zbl 1470.35169) Full Text: arXiv Link
Łochowski, Rafał M.; Obłój, Jan; Prömel, David J.; Siorpaes, Pietro Local times and Tanaka-Meyer formulae for càdlàg paths. (English) Zbl 1476.60094 Electron. J. Probab. 26, Paper No. 77, 29 p. (2021). MSC: 60H05 60J55 60G17 PDF BibTeX XML Cite \textit{R. M. Łochowski} et al., Electron. J. Probab. 26, Paper No. 77, 29 p. (2021; Zbl 1476.60094) Full Text: DOI arXiv
Desmettre, Sascha; Leobacher, Gunther; Rogers, L. C. G. Change of drift in one-dimensional diffusions. (English) Zbl 1461.91365 Finance Stoch. 25, No. 2, 359-381 (2021). MSC: 91G70 60G44 91B70 PDF BibTeX XML Cite \textit{S. Desmettre} et al., Finance Stoch. 25, No. 2, 359--381 (2021; Zbl 1461.91365) Full Text: DOI arXiv
Alia, Ishak; Chighoub, Farid Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution. (English) Zbl 1461.91265 Random Oper. Stoch. Equ. 29, No. 1, 11-25 (2021). Reviewer: George Stoica (Saint John) MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{I. Alia} and \textit{F. Chighoub}, Random Oper. Stoch. Equ. 29, No. 1, 11--25 (2021; Zbl 1461.91265) Full Text: DOI
Champagnat, Nicolas; Villemonais, Denis Lyapunov criteria for uniform convergence of conditional distributions of absorbed Markov processes. (English) Zbl 1469.60248 Stochastic Processes Appl. 135, 51-74 (2021). MSC: 60J60 60J80 92D25 92D40 PDF BibTeX XML Cite \textit{N. Champagnat} and \textit{D. Villemonais}, Stochastic Processes Appl. 135, 51--74 (2021; Zbl 1469.60248) Full Text: DOI arXiv
Liang, Weichao; Amini, Nina H.; Mason, Paolo Robust feedback stabilization of \(N\)-level quantum spin systems. (English) Zbl 1458.81044 SIAM J. Control Optim. 59, No. 1, 669-692 (2021). MSC: 81V45 81V10 81P15 81P50 81Q93 93D15 60H10 PDF BibTeX XML Cite \textit{W. Liang} et al., SIAM J. Control Optim. 59, No. 1, 669--692 (2021; Zbl 1458.81044) Full Text: DOI arXiv
Kuntz, Juan; Thomas, Philipp; Stan, Guy-Bart; Barahona, Mauricio Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations. (English) Zbl 1469.60243 SIAM Rev. 63, No. 1, 3-64 (2021). MSC: 60J27 60J22 65C40 90C05 90C90 PDF BibTeX XML Cite \textit{J. Kuntz} et al., SIAM Rev. 63, No. 1, 3--64 (2021; Zbl 1469.60243) Full Text: DOI arXiv
Lazić, Petra; Sandrić, Nikola On sub-geometric ergodicity of diffusion processes. (English) Zbl 1475.60149 Bernoulli 27, No. 1, 348-380 (2021). MSC: 60J60 60H10 37A50 PDF BibTeX XML Cite \textit{P. Lazić} and \textit{N. Sandrić}, Bernoulli 27, No. 1, 348--380 (2021; Zbl 1475.60149) Full Text: DOI arXiv Euclid
Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail Wasserstein convergence rates for random bit approximations of continuous Markov processes. (English) Zbl 1466.60145 J. Math. Anal. Appl. 493, No. 2, Article ID 124543, 31 p. (2021). MSC: 60J25 60B10 60H10 65C40 PDF BibTeX XML Cite \textit{S. Ankirchner} et al., J. Math. Anal. Appl. 493, No. 2, Article ID 124543, 31 p. (2021; Zbl 1466.60145) Full Text: DOI arXiv
Caines, Peter E.; Ho, Daniel; Song, Qingshuo The density evolution of the killed McKean-Vlasov process. (English) Zbl 1490.60143 Stochastics 92, No. 4, 642-657 (2020). MSC: 60H10 35Q84 35R60 PDF BibTeX XML Cite \textit{P. E. Caines} et al., Stochastics 92, No. 4, 642--657 (2020; Zbl 1490.60143) Full Text: DOI arXiv
Alghalith, Moawia Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods. (English) Zbl 07457965 Physica A 540, Article ID 123100, 4 p. (2020). MSC: 82-XX PDF BibTeX XML Cite \textit{M. Alghalith}, Physica A 540, Article ID 123100, 4 p. (2020; Zbl 07457965) Full Text: DOI
Banerjee, Sayan; Budhiraja, Amarjit Parameter and dimension dependence of convergence rates to stationarity for reflecting Brownian motions. (English) Zbl 1472.60135 Ann. Appl. Probab. 30, No. 5, 2005-2029 (2020). MSC: 60J60 60H10 60J65 60K25 PDF BibTeX XML Cite \textit{S. Banerjee} and \textit{A. Budhiraja}, Ann. Appl. Probab. 30, No. 5, 2005--2029 (2020; Zbl 1472.60135) Full Text: DOI arXiv Euclid
de Angelis, Tiziano; Peskir, Goran Global \(C^1\) regularity of the value function in optimal stopping problems. (English) Zbl 1472.60073 Ann. Appl. Probab. 30, No. 3, 1007-1031 (2020). MSC: 60G40 60J25 60H30 35R35 35J15 35K10 PDF BibTeX XML Cite \textit{T. de Angelis} and \textit{G. Peskir}, Ann. Appl. Probab. 30, No. 3, 1007--1031 (2020; Zbl 1472.60073) Full Text: DOI arXiv Euclid
Løkka, Arne; Xu, Junwei Optimal liquidation trajectories for the Almgren-Chriss model. (English) Zbl 1459.91177 Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050049, 35 p. (2020). MSC: 91G10 60G51 93E20 PDF BibTeX XML Cite \textit{A. Løkka} and \textit{J. Xu}, Int. J. Theor. Appl. Finance 23, No. 7, Article ID 2050049, 35 p. (2020; Zbl 1459.91177) Full Text: DOI arXiv
Aurzada, Frank; Buck, Micha; Kilian, Martin Penalizing fractional Brownian motion for being negative. (English) Zbl 1454.60051 Stochastic Processes Appl. 130, No. 11, 6625-6637 (2020). MSC: 60G22 60G10 PDF BibTeX XML Cite \textit{F. Aurzada} et al., Stochastic Processes Appl. 130, No. 11, 6625--6637 (2020; Zbl 1454.60051) Full Text: DOI arXiv
Henderson, Vicky; Kladívko, Kamil; Monoyios, Michael; Reisinger, Christoph Executive stock option exercise with full and partial information on a drift change point. (English) Zbl 1455.91257 SIAM J. Financ. Math. 11, No. 4, 1007-1062 (2020). MSC: 91G20 60G40 35Q91 93E11 PDF BibTeX XML Cite \textit{V. Henderson} et al., SIAM J. Financ. Math. 11, No. 4, 1007--1062 (2020; Zbl 1455.91257) Full Text: DOI arXiv
Christiansen, Marcus C.; Djehiche, Boualem Nonlinear reserving and multiple contract modifications in life insurance. (English) Zbl 1446.91058 Insur. Math. Econ. 93, 187-195 (2020). MSC: 91G05 91B41 60H10 PDF BibTeX XML Cite \textit{M. C. Christiansen} and \textit{B. Djehiche}, Insur. Math. Econ. 93, 187--195 (2020; Zbl 1446.91058) Full Text: DOI arXiv
Kruse, Thomas; Urusov, Mikhail Approximating exit times of continuous Markov processes. (English) Zbl 1464.60074 Discrete Contin. Dyn. Syst., Ser. B 25, No. 9, 3631-3650 (2020). MSC: 60J22 60J25 60J60 60H35 60F17 PDF BibTeX XML Cite \textit{T. Kruse} and \textit{M. Urusov}, Discrete Contin. Dyn. Syst., Ser. B 25, No. 9, 3631--3650 (2020; Zbl 1464.60074) Full Text: DOI arXiv
Hong, Jieliang; Mytnik, Leonid; Perkins, Edwin On the topological boundary of the range of super-Brownian motion. (English) Zbl 1471.60072 Ann. Probab. 48, No. 3, 1168-1201 (2020). MSC: 60G57 60J68 60H30 60J65 60J80 PDF BibTeX XML Cite \textit{J. Hong} et al., Ann. Probab. 48, No. 3, 1168--1201 (2020; Zbl 1471.60072) Full Text: DOI arXiv Euclid
Chekroun, Mickaël D.; Tantet, Alexis; Dijkstra, Henk A.; Neelin, J. David Ruelle-Pollicott resonances of stochastic systems in reduced state space. Part I: Theory. (English) Zbl 1460.60050 J. Stat. Phys. 179, No. 5-6, 1366-1402 (2020). MSC: 60H10 35Q84 35R60 60J35 82C31 PDF BibTeX XML Cite \textit{M. D. Chekroun} et al., J. Stat. Phys. 179, No. 5--6, 1366--1402 (2020; Zbl 1460.60050) Full Text: DOI arXiv
Criens, David No arbitrage in continuous financial markets. (English) Zbl 1443.91272 Math. Financ. Econ. 14, No. 3, 461-506 (2020). MSC: 91G15 60G44 60H30 PDF BibTeX XML Cite \textit{D. Criens}, Math. Financ. Econ. 14, No. 3, 461--506 (2020; Zbl 1443.91272) Full Text: DOI arXiv
Feng, Chunrong; Zhao, Huaizhong Random periodic processes, periodic measures and ergodicity. (English) Zbl 1448.37058 J. Differ. Equations 269, No. 9, 7382-7428 (2020). Reviewer: Zhenxin Liu (Dalian) MSC: 37H05 60H30 37A30 60G10 PDF BibTeX XML Cite \textit{C. Feng} and \textit{H. Zhao}, J. Differ. Equations 269, No. 9, 7382--7428 (2020; Zbl 1448.37058) Full Text: DOI arXiv
Dorogovtsev, Andrey A.; Riabov, Georgii V.; Schmalfuß, Björn Stationary points in coalescing stochastic flows on \(\mathbb{R}\). (English) Zbl 1456.60114 Stochastic Processes Appl. 130, No. 8, 4910-4926 (2020). MSC: 60G51 60J60 37H15 PDF BibTeX XML Cite \textit{A. A. Dorogovtsev} et al., Stochastic Processes Appl. 130, No. 8, 4910--4926 (2020; Zbl 1456.60114) Full Text: DOI arXiv
Ernst, Philip A.; Rogers, L. C. G.; Zhou, Quan When is it best to follow the leader? (English) Zbl 1462.60052 Stochastic Processes Appl. 130, No. 6, 3394-3407 (2020). MSC: 60G40 62C10 60H30 PDF BibTeX XML Cite \textit{P. A. Ernst} et al., Stochastic Processes Appl. 130, No. 6, 3394--3407 (2020; Zbl 1462.60052) Full Text: DOI arXiv
Kamatani, Kengo Random walk Metropolis algorithm in high dimension with non-Gaussian target distributions. (English) Zbl 1471.60113 Stochastic Processes Appl. 130, No. 1, 297-327 (2020). MSC: 60J22 60F17 60G52 65C05 PDF BibTeX XML Cite \textit{K. Kamatani}, Stochastic Processes Appl. 130, No. 1, 297--327 (2020; Zbl 1471.60113) Full Text: DOI
Nguyen, Son L.; Yin, George; Hoang, Tuan A. On laws of large numbers for systems with mean-field interactions and Markovian switching. (English) Zbl 1471.60115 Stochastic Processes Appl. 130, No. 1, 262-296 (2020). MSC: 60J25 60J27 91A16 60J60 93E20 91A15 PDF BibTeX XML Cite \textit{S. L. Nguyen} et al., Stochastic Processes Appl. 130, No. 1, 262--296 (2020; Zbl 1471.60115) Full Text: DOI arXiv
Chen, Xian; Jia, Chen Mathematical foundation of nonequilibrium fluctuation-dissipation theorems for inhomogeneous diffusion processes with unbounded coefficients. (English) Zbl 1471.60121 Stochastic Processes Appl. 130, No. 1, 171-202 (2020). MSC: 60J60 35R60 PDF BibTeX XML Cite \textit{X. Chen} and \textit{C. Jia}, Stochastic Processes Appl. 130, No. 1, 171--202 (2020; Zbl 1471.60121) Full Text: DOI arXiv
Merkle, Milan; F. Saporito, Yuri; S. Targino, Rodrigo Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods. (English) Zbl 1459.62200 Stat. Probab. Lett. 156, Article ID 108600, 8 p. (2020). MSC: 62P05 62M09 62F15 PDF BibTeX XML Cite \textit{M. Merkle} et al., Stat. Probab. Lett. 156, Article ID 108600, 8 p. (2020; Zbl 1459.62200) Full Text: DOI arXiv
Zhang, Shao-Qin Regime-switching diffusion processes: strong solutions and strong Feller property. (English) Zbl 1427.60147 Stochastic Anal. Appl. 38, No. 1, 97-123 (2020). MSC: 60J05 60J60 PDF BibTeX XML Cite \textit{S.-Q. Zhang}, Stochastic Anal. Appl. 38, No. 1, 97--123 (2020; Zbl 1427.60147) Full Text: DOI arXiv
Spiliopoulos, Konstantinos; Yang, Jia Network effects in default clustering for large systems. (English) Zbl 1437.91446 Appl. Math. Finance 26, No. 6, 523-582 (2019). MSC: 91G45 91G60 PDF BibTeX XML Cite \textit{K. Spiliopoulos} and \textit{J. Yang}, Appl. Math. Finance 26, No. 6, 523--582 (2019; Zbl 1437.91446) Full Text: DOI arXiv
Liang, Weichao; Amini, Nina H.; Mason, Paolo On exponential stabilization of \(N\)-level quantum angular momentum systems. (English) Zbl 1427.81046 SIAM J. Control Optim. 57, No. 6, 3939-3960 (2019). MSC: 81Q93 93D15 60H10 81P15 PDF BibTeX XML Cite \textit{W. Liang} et al., SIAM J. Control Optim. 57, No. 6, 3939--3960 (2019; Zbl 1427.81046) Full Text: DOI arXiv
Lipshutz, David; Ramanan, Kavita Pathwise differentiability of reflected diffusions in convex polyhedral domains. (English. French summary) Zbl 1466.60076 Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 3, 1439-1476 (2019). MSC: 60G17 90C31 93B35 60H07 60H10 65C30 PDF BibTeX XML Cite \textit{D. Lipshutz} and \textit{K. Ramanan}, Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 3, 1439--1476 (2019; Zbl 1466.60076) Full Text: DOI arXiv Euclid
Döring, Leif; Gonon, Lukas; Prömel, David J.; Reichmann, Oleg On Skorokhod embeddings and Poisson equations. (English) Zbl 1466.60083 Ann. Appl. Probab. 29, No. 4, 2302-2337 (2019). MSC: 60G40 60J76 PDF BibTeX XML Cite \textit{L. Döring} et al., Ann. Appl. Probab. 29, No. 4, 2302--2337 (2019; Zbl 1466.60083) Full Text: DOI arXiv Euclid
Sun, Wenjie; Ying, Jiangang Intrinsic metric and one-dimensional diffusions. (English) Zbl 1429.31008 Stat. Probab. Lett. 150, 146-151 (2019). Reviewer: Ze-Chun Hu (Chengdu) MSC: 31C25 60J60 60J65 PDF BibTeX XML Cite \textit{W. Sun} and \textit{J. Ying}, Stat. Probab. Lett. 150, 146--151 (2019; Zbl 1429.31008) Full Text: DOI
Vidmar, Matija Observing a Lévy process up to a stopping time. (English) Zbl 1439.60046 Stat. Probab. Lett. 150, 121-125 (2019). MSC: 60G51 60G40 PDF BibTeX XML Cite \textit{M. Vidmar}, Stat. Probab. Lett. 150, 121--125 (2019; Zbl 1439.60046) Full Text: DOI arXiv
Ankirchner, Stefan; Kazi-Tani, Nabil; Klein, Maike; Kruse, Thomas Stopping with expectation constraints: 3 points suffice. (English) Zbl 1456.60094 Electron. J. Probab. 24, Paper No. 66, 16 p. (2019). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60J60 60B05 PDF BibTeX XML Cite \textit{S. Ankirchner} et al., Electron. J. Probab. 24, Paper No. 66, 16 p. (2019; Zbl 1456.60094) Full Text: DOI Euclid
Jiang, Yiming; Song, Shiyu; Wang, Yongjin Some explicit results on one kind of sticky diffusion. (English) Zbl 1415.60093 J. Appl. Probab. 56, No. 2, 398-415 (2019). MSC: 60J60 91G20 PDF BibTeX XML Cite \textit{Y. Jiang} et al., J. Appl. Probab. 56, No. 2, 398--415 (2019; Zbl 1415.60093) Full Text: DOI
Evans, Steven N.; Hening, Alexandru Markov processes conditioned on their location at large exponential times. (English) Zbl 1422.60127 Stochastic Processes Appl. 129, No. 5, 1622-1658 (2019). MSC: 60J25 60J40 60J55 60J60 PDF BibTeX XML Cite \textit{S. N. Evans} and \textit{A. Hening}, Stochastic Processes Appl. 129, No. 5, 1622--1658 (2019; Zbl 1422.60127) Full Text: DOI arXiv Link
Comets, Francis; Giacomin, Giambattista; Greenblatt, Rafael L. Continuum limit of random matrix products in statistical mechanics of disordered systems. (English) Zbl 1428.82028 Commun. Math. Phys. 369, No. 1, 171-219 (2019). MSC: 82B44 82B20 60B20 15B52 33C10 60K35 PDF BibTeX XML Cite \textit{F. Comets} et al., Commun. Math. Phys. 369, No. 1, 171--219 (2019; Zbl 1428.82028) Full Text: DOI arXiv
Kemppainen, Antti; Smirnov, Stanislav Conformal invariance of boundary touching loops of FK Ising model. (English) Zbl 1422.60140 Commun. Math. Phys. 369, No. 1, 49-98 (2019). MSC: 60J67 82B20 PDF BibTeX XML Cite \textit{A. Kemppainen} and \textit{S. Smirnov}, Commun. Math. Phys. 369, No. 1, 49--98 (2019; Zbl 1422.60140) Full Text: DOI arXiv
Asmussen, Søren; Christensen, Bent Jesper; Thøgersen, Julie Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market. (English) Zbl 1410.91255 Insur. Math. Econ. 87, 92-100 (2019). MSC: 91B30 91A15 60J75 PDF BibTeX XML Cite \textit{S. Asmussen} et al., Insur. Math. Econ. 87, 92--100 (2019; Zbl 1410.91255) Full Text: DOI
Choutri, Salah Eddine; Djehiche, Boualem Mean-field risk sensitive control and zero-sum games for Markov chains. (English) Zbl 1478.60175 Bull. Sci. Math. 152, 1-39 (2019). MSC: 60H10 60J27 49N90 PDF BibTeX XML Cite \textit{S. E. Choutri} and \textit{B. Djehiche}, Bull. Sci. Math. 152, 1--39 (2019; Zbl 1478.60175) Full Text: DOI arXiv
Bo, Lijun; Capponi, Agostino; Chen, Peng-Chu Credit portfolio selection with decaying contagion intensities. (English) Zbl 1411.91485 Math. Finance 29, No. 1, 137-173 (2019). MSC: 91G10 91G50 35Q91 90C39 49N35 PDF BibTeX XML Cite \textit{L. Bo} et al., Math. Finance 29, No. 1, 137--173 (2019; Zbl 1411.91485) Full Text: DOI
Monmarché, Pierre Generalized \(\Gamma\) calculus and application to interacting particles on a graph. (English) Zbl 1411.58013 Potential Anal. 50, No. 3, 439-466 (2019). MSC: 58J65 58J35 60J60 PDF BibTeX XML Cite \textit{P. Monmarché}, Potential Anal. 50, No. 3, 439--466 (2019; Zbl 1411.58013) Full Text: DOI arXiv
Chevyrev, Ilya; Friz, Peter K. Canonical RDEs and general semimartingales as rough paths. (English) Zbl 1475.60203 Ann. Probab. 47, No. 1, 420-463 (2019). Reviewer: Xuan Loc Nguyen (Hanoi) MSC: 60L20 60H10 PDF BibTeX XML Cite \textit{I. Chevyrev} and \textit{P. K. Friz}, Ann. Probab. 47, No. 1, 420--463 (2019; Zbl 1475.60203) Full Text: DOI arXiv Euclid
Wang, Ting; Plecháč, Petr Steady-state sensitivity analysis of continuous time Markov chains. (English) Zbl 1415.65012 SIAM J. Numer. Anal. 57, No. 1, 192-217 (2019). MSC: 65C05 65C40 60J27 60H35 PDF BibTeX XML Cite \textit{T. Wang} and \textit{P. Plecháč}, SIAM J. Numer. Anal. 57, No. 1, 192--217 (2019; Zbl 1415.65012) Full Text: DOI arXiv
Xu, Lin; Wang, Minghan; Zhang, Bin Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance. (English) Zbl 1498.91372 J. Inequal. Appl. 2018, Paper No. 244, 13 p. (2018). MSC: 91G05 91B05 PDF BibTeX XML Cite \textit{L. Xu} et al., J. Inequal. Appl. 2018, Paper No. 244, 13 p. (2018; Zbl 1498.91372) Full Text: DOI
Glonti, O. A.; Purtukhiya, O. G. Hedging of the European option with nonsmooth payment function. (English. Russian original) Zbl 1426.91266 Ukr. Math. J. 70, No. 6, 890-905 (2018); translation from Ukr. Mat. Zh. 70, No. 6, 773-787 (2018). MSC: 91G20 60H05 PDF BibTeX XML Cite \textit{O. A. Glonti} and \textit{O. G. Purtukhiya}, Ukr. Math. J. 70, No. 6, 890--905 (2018; Zbl 1426.91266); translation from Ukr. Mat. Zh. 70, No. 6, 773--787 (2018) Full Text: DOI
Ishikawa, Yasushi; Yamanobe, Takanobu Asymptotic expansion of a nonlinear oscillator with a jump-diffusion process. (English) Zbl 1404.60076 Japan J. Ind. Appl. Math. 35, No. 2, 969-1004 (2018). MSC: 60H07 60H30 92C20 92B25 PDF BibTeX XML Cite \textit{Y. Ishikawa} and \textit{T. Yamanobe}, Japan J. Ind. Appl. Math. 35, No. 2, 969--1004 (2018; Zbl 1404.60076) Full Text: DOI
Hou, Zhaoxu; Obłój, Jan Robust pricing-hedging dualities in continuous time. (English) Zbl 1402.91789 Finance Stoch. 22, No. 3, 511-567 (2018). MSC: 91G20 91B24 60G44 PDF BibTeX XML Cite \textit{Z. Hou} and \textit{J. Obłój}, Finance Stoch. 22, No. 3, 511--567 (2018; Zbl 1402.91789) Full Text: DOI arXiv
Pedersen, J. L.; Peskir, G. Constrained dynamic optimality and binomial terminal wealth. (English) Zbl 1384.60088 SIAM J. Control Optim. 56, No. 2, 1342-1357 (2018). MSC: 60H30 60J65 91G80 93E20 PDF BibTeX XML Cite \textit{J. L. Pedersen} and \textit{G. Peskir}, SIAM J. Control Optim. 56, No. 2, 1342--1357 (2018; Zbl 1384.60088) Full Text: DOI
Criens, David Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets. (English) Zbl 1395.91531 Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850002, 41 p. (2018). MSC: 91G99 91B24 60H10 60G44 PDF BibTeX XML Cite \textit{D. Criens}, Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850002, 41 p. (2018; Zbl 1395.91531) Full Text: DOI arXiv