Piatnitski, A.; Zhizhina, E. Homogenization of non-autonomous evolution problems for convolution type operators in randomly evolving media. (English. French summary) Zbl 07980663 J. Math. Pures Appl. (9) 194, Article ID 103660, 30 p. (2025). MSC: 35B27 45E10 37A25 45M05 × Cite Format Result Cite Review PDF Full Text: DOI
Brešar, Miha; Mijatović, Aleksandar; Wade, Andrew Brownian motion with asymptotically normal reflection in unbounded domains: from transience to stability. (English) Zbl 07974369 Ann. Probab. 53, No. 1, 175-222 (2025). MSC: 60J65 60J60 60J25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Criens, David; Niemann, Lars Nonlinear semimartingales and Markov processes with jumps. (English) Zbl 07971658 J. Evol. Equ. 25, No. 1, Paper No. 21, 39 p. (2025). MSC: 47H20 49J53 49L25 60G65 60J60 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hernández, Camilo; Tangpi, Ludovic Propagation of chaos for mean field Schrödinger problems. (English) Zbl 07966985 SIAM J. Control Optim. 63, No. 1, 112-150 (2025). MSC: 93E20 65C35 91A15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Armendáriz, Inés; Beltrán, Johel; Cuesta, Daniela; Jara, Milton Coarsening in zero-range processes. (English) Zbl 07963485 Stochastic Processes Appl. 179, Article ID 104507, 26 p. (2025). MSC: 60K35 60G50 × Cite Format Result Cite Review PDF Full Text: DOI
Sparago, Pietro Maria Note on the weak convergence of hyperplane \(\alpha\)-quantile functionals and their continuity in the Skorokhod J1 topology. (English) Zbl 07957628 J. Theor. Probab. 38, No. 1, Paper No. 17, 12 p. (2025). MSC: 60G07 60F17 × Cite Format Result Cite Review PDF Full Text: DOI
Melnikov, Vasily Limit theorems for \(\sigma\)-localized Émery convergence. (English) Zbl 07957626 J. Theor. Probab. 38, No. 1, Paper No. 15, 25 p. (2025). MSC: 60G48 60F99 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Battauz, Anna; Rotondi, Francesco Optimal liquidation policies of redeemable shares. (English) Zbl 07981027 Comput. Manag. Sci. 21, No. 2, Paper No. 45, 32 p. (2024). MSC: 90Bxx 91G20 60G40 60J60 35R35 45G10 49J20 91G50 × Cite Format Result Cite Review PDF Full Text: DOI
Larsson, Martin; Long, Shukun Markovian projections for Itô semimartingales with jumps. (English) Zbl 07960020 Electron. Commun. Probab. 29, Paper No. 65, 13 p. (2024). MSC: 60G48 60J60 60H20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Löcherbach, Eva; Laxa, Kádmo Propagation of chaos and phase transition in a stochastic model for a social network. (English) Zbl 07955010 J. Stat. Phys. 191, No. 12, Paper No. 155, 34 p. (2024). MSC: 60K35 60G55 60H10 91D30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Liao, Yuan; Todorov, Viktor Changes in the span of systematic risk exposures. (English) Zbl 07951807 Quant. Econ. 15, No. 3, 817-847 (2024). MSC: 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Kleptsyna, Marina; Piatnitski, Andrey; Popier, Alexandre Higher order homogenization for random non-autonomous parabolic operators. (English) Zbl 07949666 Stoch. Partial Differ. Equ., Anal. Comput. 12, No. 4, 2151-2180 (2024). MSC: 35B27 35K15 60F05 60H15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hernández, Camilo; Possamaï, Dylan Time-inconsistent contract theory. (English) Zbl 07947056 Math. Finance 34, No. 3, 1022-1085 (2024). MSC: 91B41 91B43 60H20 91B16 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bayraktar, Erhan; Kim, Donghan; Tilva, Abhishek Quantifying dimensional change in stochastic portfolio theory. (English) Zbl 07947055 Math. Finance 34, No. 3, 977-1021 (2024). MSC: 91G10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bayraktar, Erhan; Kim, Donghan; Tilva, Abhishek Arbitrage theory in a market of stochastic dimension. (English) Zbl 07947052 Math. Finance 34, No. 3, 847-895 (2024). MSC: 91G15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Song, Yuping; Zhu, Min; Qiu, Jiawei Asymptotic normality of bias reduction estimation for jump intensity function in financial markets. (English) Zbl 07947024 J. Time Ser. Anal. 45, No. 4, 558-583 (2024). MSC: 62Mxx 62G05 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Jiménez, Juan J. Stochastic wave equation with heavy-tailed noise: uniqueness of solutions and past light-cone property. (English) Zbl 07941424 Stochastic Processes Appl. 178, Article ID 104479, 19 p. (2024). Reviewer: Martin Ondreját (Praha) MSC: 60H15 60G60 60G51 35R60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Pavlyukevich, Ilya; Pilipenko, Andrey Walsh’s Brownian motion and Donsker scaling limits of perturbed random walks. (English) Zbl 07940624 ALEA, Lat. Am. J. Probab. Math. Stat. 21, No. 2, 1669-1707 (2024). MSC: 60F17 60G42 60G50 60H10 60J10 60J55 60K37 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Di Persio, Luca; Gnoatto, Alessandro; Patacca, Marco A change of measure formula for recursive conditional expectations. (English) Zbl 07939739 Int. J. Theor. Appl. Finance 27, No. 2, Article ID 2450008, 23 p. (2024). MSC: 91G20 60H30 60J74 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
De Gregorio, Alessandro; Iafrate, Francesco Path dynamics of time-changed Lévy processes: a martingale approach. (English) Zbl 07939089 J. Theor. Probab. 37, No. 4, 3246-3280 (2024); correction ibid. 37, No. 4, 3281-3282 (2024). MSC: 60G51 60G22 60G57 60G17 60G48 × Cite Format Result Cite Review PDF Full Text: DOI
Grazieschi, P.; Matetski, K.; Weber, H. Martingale-driven integrals and singular SPDEs. (English) Zbl 07938780 Probab. Theory Relat. Fields 190, No. 3-4, 1063-1120 (2024). MSC: 60H05 60G44 60H17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Tappe, Stefan Invariant cones for jump-diffusions in infinite dimensions. (English) Zbl 07936753 NoDEA, Nonlinear Differ. Equ. Appl. 31, No. 6, Paper No. 107, 57 p. (2024). MSC: 60H15 60H10 60G17 60J25 47J35 35Q91 35Q92 46A40 46E30 91B70 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Baeumer, Boris; Kovács, Mihály; Toniazzi, Lorenzo Boundary conditions for nonlocal one-sided pseudo-differential operators and the associated stochastic processes. (English) Zbl 07930949 Diss. Math. 596, 1-124 (2024). MSC: 35S15 60J50 60J35 60G51 60J27 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Strunjak, Snježana Lubura Stable convergence in law in approximation of stochastic integrals with respect to diffusions. (English) Zbl 07929239 Math. Commun. 29, No. 2, 287-305 (2024). MSC: 60H05 60F99 × Cite Format Result Cite Review PDF Full Text: Link
Campese, Simon; Lengert, Nicolas; Podolskij, Mark Limit theorems for general functionals of Brownian local times. (English) Zbl 1548.60054 Electron. J. Probab. 29, Paper No. 128, 18 p. (2024). MSC: 60F05 60G44 60H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kern, Julian; Wiederhold, Bastian A \(\Lambda\)-Fleming-Viot type model with intrinsically varying population size. (English) Zbl 1548.60104 Electron. J. Probab. 29, Paper No. 125, 28 p. (2024). MSC: 60J25 60G51 60J90 92D15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Benth, Fred Espen; Detering, Nils; Krühner, Paul Abstract polynomial processes. (English) Zbl 1548.60102 Electron. J. Probab. 29, Paper No. 122, 41 p. (2024). MSC: 60J25 60H15 47D06 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Nguyen Tran Thuan Approximation of stochastic integrals with jumps via weighted BMO approach. (English) Zbl 07927497 Ann. Appl. Probab. 34, No. 5, 4595-4634 (2024). MSC: 60H05 60G48 60H07 60G51 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Béthencourt, Loïc Fractional diffusion limit for a kinetic Fokker-Planck equation with diffusive boundary conditions in the half-line. (English) Zbl 07926185 Ann. Probab. 52, No. 5, 1713-1757 (2024). Reviewer: Pavel Stoynov (Sofia) MSC: 60F17 60J55 60J60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Gu, Yu; Komorowski, Tomasz KPZ on torus: Gaussian fluctuations. (English. French summary) Zbl 07923675 Ann. Inst. Henri Poincaré, Probab. Stat. 60, No. 3, 1570-1618 (2024). MSC: 60H15 35Q82 37A25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Hernández-Santibáñez, Nicolás Principal-multiagents problem under equivalent changes of measure: general study and an existence result. (English) Zbl 07923229 Stochastic Processes Appl. 177, Article ID 104448, 25 p. (2024). MSC: 91B43 91B41 93E20 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Qian, Zhongmin; Xu, Xingcheng Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory. (English) Zbl 07906336 Acta Math. Sci., Ser. B, Engl. Ed. 44, No. 5, 1609-1638 (2024). MSC: 60H05 62F12 62M09 91G30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Löcherbach, Eva Fluctuations for mean field limits of interacting systems of spiking neurons. (English. French summary) Zbl 1544.60104 Ann. Inst. Henri Poincaré, Probab. Stat. 60, No. 2, 790-823 (2024). MSC: 60K35 60G55 60G57 92B20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Yamagishi, Hayate; Yoshida, Nakahiro Asymptotic expansion of the quadratic variation of fractional stochastic differential equation. (English) Zbl 07904801 Stochastic Processes Appl. 175, Article ID 104389, 37 p. (2024). MSC: 60H10 60G22 60H05 60H07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bodó, Gergely; Riedle, Markus; Týbl, Ondřej SPDEs driven by standard symmetric \(\alpha\)-stable cylindrical Lévy processes: existence, Lyapunov functionals and Itô formula. (English) Zbl 1546.60126 Electron. J. Probab. 29, Paper No. 79, 41 p. (2024). MSC: 60H15 60G20 60G51 60G52 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Xu, Wei Stochastic Volterra equations for the local times of spectrally positive stable processes. (English) Zbl 07900398 Ann. Appl. Probab. 34, No. 3, 2733-2798 (2024). MSC: 60H20 60G52 60J55 60G57 60F17 60G55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Xu, Wei Diffusion approximations for self-excited systems with applications to general branching processes. (English) Zbl 1545.60036 Ann. Appl. Probab. 34, No. 3, 2650-2713 (2024). MSC: 60F17 60G55 60J80 62P10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Barrué, Grégoire; Debussche, Arnaud; Tusseau, Maxime Approximation diffusion for the nonlinear Schrödinger equation with a random potential. (English) Zbl 1545.35171 Asymptotic Anal. 138, No. 3, 175-224 (2024). MSC: 35Q55 35Q41 35R60 35B20 60H40 35B45 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Zhitlukhin, M. V. Optimal growth strategies in a stochastic market model with endogenous prices. (English. Russian original) Zbl 1542.91143 Theory Probab. Appl. 69, No. 2, 205-216 (2024); translation from Teor. Veroyatn. Primen. 69, No. 1, 256-271 (2024). MSC: 91B62 91B70 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Castiel, Eyal Fluid limits for QB-CSMA with polynomial rates, homogenization and reflection. (English) Zbl 1546.60165 Queueing Syst. 107, No. 1-2, 109-157 (2024). MSC: 60K25 60K35 × Cite Format Result Cite Review PDF Full Text: DOI
Faggionato, Alessandra; Silvestri, Vittoria A martingale approach to time-dependent and time-periodic linear response in Markov jump processes. (English) Zbl 1542.60051 ALEA, Lat. Am. J. Probab. Math. Stat. 21, No. 2, 863-906 (2024). MSC: 60J76 60J25 82C05 82C31 60G50 × Cite Format Result Cite Review PDF Full Text: arXiv Link
Lacoin, Hubert Convergence for complex Gaussian multiplicative chaos on phase boundaries. (English) Zbl 1542.60015 Probab. Math. Phys. 5, No. 2, 491-544 (2024). MSC: 60E05 60G15 82B99 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Criens, David; Niemann, Lars Markov selections and Feller properties of nonlinear diffusions. (English) Zbl 07869134 Stochastic Processes Appl. 173, Article ID 104354, 30 p. (2024). MSC: 47H20 49L25 60G53 60G65 60J60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Criens, David Stochastic processes under parameter uncertainty. (English) Zbl 1540.60092 J. Math. Anal. Appl. 538, No. 2, Article ID 128388, 45 p. (2024). MSC: 60G65 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Aryasova, Olga; Pavlyukevich, Ilya; Pilipenko, Andrey Homogenization of a multivariate diffusion with semipermeable interfaces. (English) Zbl 07865985 J. Theor. Probab. 37, No. 2, 1787-1823 (2024). MSC: 60H10 60F05 60J60 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Arharas, Ihsan; Ouknine, Youssef Reflected and doubly reflected backward stochastic differential equations with irregular obstacles and a large set of stopping strategies. (English) Zbl 07865962 J. Theor. Probab. 37, No. 2, 1001-1038 (2024). MSC: 60H10 60G40 60H20 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Barczy, Mátyás; González, Miguel; Martín-Chávez, Pedro; del Puerto, Inés Diffusion approximation of critical controlled multi-type branching processes. (English) Zbl 1541.60069 Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat., RACSAM 118, No. 3, Paper No. 101, 36 p. (2024). MSC: 60J80 60F17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ahmadova, Arzu; Mahmudov, Nazim I. Picard approximation of a singular backward stochastic nonlinear Volterra integral equation. (English) Zbl 07859967 Qual. Theory Dyn. Syst. 23, No. 4, Paper No. 192, 20 p. (2024). MSC: 45R05 45D05 45L05 60H20 65R20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Shirai, Yoshihiro Extreme measures in continuous time conic finance. (English) Zbl 1537.91363 Front. Math. Finance 3, No. 1, 1-30 (2024). MSC: 91G70 91G20 60H10 60G51 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume CBI-time-changed Lévy processes for multi-currency modeling. (English) Zbl 07859337 Ann. Oper. Res. 336, No. 1-2, 127-152 (2024). MSC: 60G51 60J85 91G20 91G30 91G60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Possamaï, Dylan; Rodrigues, Marco Reflections on BSDEs. (English) Zbl 07854763 Electron. J. Probab. 29, Paper No. 66, 82 p. (2024). MSC: 60H10 60H20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Rahimov, I.; Sharipov, S. O. On deterministic approximation for nearly critical branching processes with dependent immigration. (English) Zbl 1540.60192 Stat. Probab. Lett. 208, Article ID 110031, 5 p. (2024). Reviewer: Hans Daduna (Hamburg) MSC: 60J80 60F99 60G99 × Cite Format Result Cite Review PDF Full Text: DOI
Dong, Y.; Vostrikova, L. Utility maximization of the exponential Lévy switching models. (English. Russian original) Zbl 1536.91162 Theory Probab. Appl. 69, No. 1, 127-149 (2024); translation from Teor. Veroyatn. Primen. 69, No. 1, 161-187 (2024). MSC: 91B16 60G51 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Santacroce, Marina; Siri, Paola; Trivellato, Barbara Forward backward SDEs systems for utility maximization in jump diffusion models. (English) Zbl 1535.60106 Appl. Math. Optim. 89, No. 3, Paper No. 65, 22 p. (2024). MSC: 60H10 91G80 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Nadtochiy, Sergey; Shkolnikov, Mykhaylo; Zhang, Xiling Scaling limits of external multi-particle DLA on the plane and the supercooled Stefan problem. (English. French summary) Zbl 1536.82019 Ann. Inst. Henri Poincaré, Probab. Stat. 60, No. 1, 658-691 (2024). MSC: 82C24 35R35 80A22 55M25 60J65 35D30 35R60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Sandrić, Nikola Periodic homogenization of a class of weakly coupled systems of linear PDEs. (English) Zbl 1549.35037 Comput. Appl. Math. 43, No. 1, Paper No. 57, 26 p. (2024). MSC: 35B27 35J57 35K45 60F17 60J25 60J60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Janvin, Matias; Young, Jessica G.; Ryalen, Pål C.; Stensrud, Mats J. Causal inference with recurrent and competing events. (English) Zbl 07830840 Lifetime Data Anal. 30, No. 1, 59-118 (2024). MSC: 62Nxx 62P10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Rémillard, Bruno; Vaillancourt, Jean Central limit theorems for martingales. I: Continuous limits. (English) Zbl 1546.60084 Electron. J. Probab. 29, Paper No. 47, 18 p. (2024). Reviewer: Ferenc Weisz (Budapest) MSC: 60G44 60F17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Abramov, Vyacheslav M. Conditions for recurrence and transience for time-inhomogeneous birth-and-death processes. (English) Zbl 1545.60046 Bull. Aust. Math. Soc. 109, No. 2, 393-402 (2024). Reviewer: Matthias Meiners (Gießen) MSC: 60G50 60G44 60H07 60J80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Mostovyi, Oleksii; Sîrbu, Mihai Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model. (English) Zbl 1533.91432 Finance Stoch. 28, No. 2, 553-613 (2024). MSC: 91G10 93E20 60G46 × Cite Format Result Cite Review PDF Full Text: DOI
Brachetta, Matteo; Callegaro, Giorgia; Ceci, Claudia; Sgarra, Carlo Optimal reinsurance via BSDEs in a partially observable model with jump clusters. (English) Zbl 1533.91419 Finance Stoch. 28, No. 2, 453-495 (2024). MSC: 91G05 60H30 60G55 60J74 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chen, Dachuan High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times. (English) Zbl 07822324 J. Econom. 240, No. 1, Article ID 105701, 28 p. (2024). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Chong, Carsten H.; Todorov, Viktor Volatility of volatility and leverage effect from options. (English) Zbl 07822307 J. Econom. 240, No. 1, Article ID 105669, 21 p. (2024). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chen, Dachuan; Mykland, Per A.; Zhang, Lan Realized regression with asynchronous and noisy high frequency and high dimensional data. (English) Zbl 07814013 J. Econom. 239, No. 2, Article ID 105446, 20 p. (2024). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Farber, Michael; Gnedin, Alexander; Mannan, Wajid A random graph growth model. (English) Zbl 1533.05249 Bull. Lond. Math. Soc. 56, No. 2, 662-680 (2024). MSC: 05C80 60J99 × Cite Format Result Cite Review PDF Full Text: DOI
Bandini, Elena; Russo, Francesco Weak Dirichlet processes and generalized martingale problems. (English) Zbl 07812482 Stochastic Processes Appl. 170, Article ID 104261, 37 p. (2024). MSC: 60G48 60H10 60G57 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bandini, Elena; Confortola, Fulvia; Di Tella, Paolo On the compensator of step processes in progressively enlarged filtrations and related control problems. (English) Zbl 1534.93483 ALEA, Lat. Am. J. Probab. Math. Stat. 21, No. 1, 95-120 (2024). MSC: 93E20 60G55 60G57 × Cite Format Result Cite Review PDF Full Text: Link
Feinberg, E. A.; Shiryaev, A. N. On forward and backward Kolmogorov equations for pure jump Markov processes and their generalizations. (English. Russian original) Zbl 1543.60089 Theory Probab. Appl. 68, No. 4, 643-656 (2024); translation from Teor. Veroyatn. Primen. 68, No. 4, 796-812 (2023). Reviewer: Pierre Monmarché (Paris) MSC: 60J27 60J35 60J76 × Cite Format Result Cite Review PDF Full Text: DOI
Mazzonetto, Sara; Pigato, Paolo Drift estimation of the threshold Ornstein-Uhlenbeck process from continuous and discrete observations. (English) Zbl 07796631 Stat. Sin. 34, No. 1, 313-336 (2024). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Erhard, Dirk; Hairer, Martin A scaling limit of the parabolic Anderson model with exclusion interaction. (English) Zbl 07793221 Commun. Pure Appl. Math. 77, No. 2, 1065-1125 (2024). MSC: 60H15 60K35 60L30 60L90 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten Term structure modeling with overnight rates beyond stochastic continuity. (English) Zbl 1536.91341 Math. Finance 34, No. 1, 151-189 (2024). Reviewer: Stefan Tappe (Freiburg) MSC: 91G30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wang, Wenyuan; Ming, Ruixing; Hu, Yijun On de Finetti’s optimal impulse dividend control problem under Chapter 11 bankruptcy. (English) Zbl 1549.91152 Acta Math. Sci., Ser. B, Engl. Ed. 44, No. 1, 215-233 (2024). MSC: 91G05 60G51 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Wenyuan; Yu, Xiang; Zhou, Xiaowen On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy. (English) Zbl 1530.91605 Appl. Math. Optim. 89, No. 1, Paper No. 13, 31 p. (2024). MSC: 91G50 91G05 49L20 60G51 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Buckner, Dean; Dowd, Kevin; Hulley, Hardy Arbitrage problems with reflected geometric Brownian motion. (English) Zbl 1530.91544 Finance Stoch. 28, No. 1, 1-26 (2024). MSC: 91G15 60J70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wu, Zhen; Zhang, Yan Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls. (English) Zbl 1530.93553 J. Math. Anal. Appl. 530, No. 2, Article ID 127720, 25 p. (2024). MSC: 93E20 93C27 60H30 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Berzunza Ojeda, Gabriel; Holmgren, Cecilia Invariance principle for fragmentation processes derived from conditioned stable Galton-Watson trees. (English) Zbl 07941455 Bernoulli 29, No. 4, 2745-2770 (2023). MSC: 60J25 60G51 60C05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Sharipov, Sadillo Olimjonovich On functional limit theorems for branching processes with dependent immigration. (English) Zbl 1545.60102 Sib. Èlektron. Mat. Izv. 20, No. 2, 755-772 (2023). MSC: 60J80 60F17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv MNR
Contat, Alice; Delmas, Jean-François; Duchamps, Jean-Jil; Kortchemski, Igor; Nassif, Michel On random trees and forests. (English) Zbl 1534.60013 ESAIM, Proc. Surv. 74, 19-37 (2023). MSC: 60C05 60F05 05C80 × Cite Format Result Cite Review PDF Full Text: DOI
Zhao, Gui-Hua Existence of weak solutions for stochastic nonlinear impulsive systems. (English) Zbl 1536.93858 Syst. Control Lett. 182, Article ID 105660, 7 p. (2023). MSC: 93E03 93C27 93C10 35D30 × Cite Format Result Cite Review PDF Full Text: DOI
Puhalskii, Anatolii A. Large deviation limits of invariant measures. (English) Zbl 1533.60029 Stoch. Dyn. 23, No. 7, Article ID 2350052, 28 p. (2023). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60F10 60F17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Shirai, Yoshihiro A Lévy-driven Ornstein-Uhlenbeck process for the valuation of credit index swaptions. (English) Zbl 1542.91402 Int. J. Theor. Appl. Finance 26, No. 6-7, Article ID 2350022, 37 p. (2023). Reviewer: Antonis Papapantoleon (Delft) MSC: 91G20 91G40 60G51 60G10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Stiefel, Jakob Mean-field limits for non-linear Hawkes processes with inhibition on a Erdős-Rényi-graph. (English) Zbl 1533.60072 ALEA, Lat. Am. J. Probab. Math. Stat. 20, No. 2, 1459-1481 (2023). MSC: 60G55 05C80 × Cite Format Result Cite Review PDF Full Text: arXiv Link
Balan, Raluca Stochastic wave equation with Lévy white noise. (English) Zbl 1536.60050 ALEA, Lat. Am. J. Probab. Math. Stat. 20, No. 1, 463-496 (2023). Reviewer: Martin Ondreját (Praha) MSC: 60H15 60G51 60H40 × Cite Format Result Cite Review PDF Full Text: arXiv Link
Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin A Leland model for delta hedging in central risk books. (English) Zbl 1529.91069 Math. Finance 33, No. 3, 504-547 (2023). MSC: 91G20 91G15 × Cite Format Result Cite Review PDF Full Text: DOI
Contat, Alice; Curien, Nicolas Parking on Cayley trees and frozen Erdős-Rényi. (English) Zbl 07795615 Ann. Probab. 51, No. 6, 1993-2055 (2023). MSC: 60C05 05C05 05C80 05C85 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hess, Markus VIX modeling for a market insider. (English) Zbl 1531.91252 Int. J. Theor. Appl. Finance 26, No. 4-5, Article ID 2350015, 27 p. (2023). MSC: 91G20 60G51 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Prömel, David J.; Scheffels, David On the existence of weak solutions to stochastic Volterra equations. (English) Zbl 07790357 Electron. Commun. Probab. 28, Paper No. 52, 12 p. (2023). Reviewer: Denis R. Bell (Jacksonville) MSC: 60H20 60G44 45D05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Rosales-Ortiz, Alejandro Noise reinforced Lévy processes: Lévy-Itô decomposition and applications. (English) Zbl 1528.60040 Electron. J. Probab. 28, Paper No. 161, 58 p. (2023). MSC: 60G50 60G51 60K35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Criens, David; Niemann, Lars Nonlinear continuous semimartingales. (English) Zbl 1546.60097 Electron. J. Probab. 28, Paper No. 146, 40 p. (2023). MSC: 60G65 35D40 60G07 60G44 93E20 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bertoin, Jean Limits of Pólya urns with innovations. (English) Zbl 1530.60037 Electron. J. Probab. 28, Paper No. 141, 19 p. (2023). MSC: 60F17 60G44 60J85 62G30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Béthencourt, Loïc Stable limit theorems for additive functionals of one-dimensional diffusion processes. (English) Zbl 1530.60068 Ann. Inst. Henri Poincaré, Probab. Stat. 59, No. 4, 1882-1906 (2023). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60J60 60F05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kortchemski, Igor; Marzouk, Cyril Large deviation local limit theorems and limits of biconditioned planar maps. (English) Zbl 1530.60033 Ann. Appl. Probab. 33, No. 5, 3755-3802 (2023). MSC: 60F10 60F05 60F17 05C80 60D05 05C05 60G50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Phi, Tien Cuong; Löcherbach, Eva; Reynaud-Bouret, Patricia Kalikow decomposition for counting processes with stochastic intensity and application to simulation algorithms. (English) Zbl 1533.60071 J. Appl. Probab. 60, No. 4, 1469-1500 (2023). MSC: 60G55 60K35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Chigansky, Pavel; Kleptsyna, Marina Estimation of the Hurst parameter from continuous noisy data. (English) Zbl 07784476 Electron. J. Stat. 17, No. 2, 2343-2385 (2023). MSC: 62M09 60G22 62F12 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Platen, Eckhard; Tappe, Stefan No arbitrage and multiplicative special semimartingales. (English) Zbl 1530.91536 Adv. Appl. Probab. 55, No. 3, 1033-1074 (2023). MSC: 91G10 60G48 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ko, Dongnam; Ha, Seung-Yeal; Lee, Euntaek; Shim, Woojoo Stochastic flocking dynamics of the inertial spin model with state-dependent noises. (English) Zbl 07771127 Stud. Appl. Math. 151, No. 3, 975-1019 (2023). MSC: 82-XX 81-XX × Cite Format Result Cite Review PDF Full Text: DOI
Hess, Markus The stochastic Leibniz formula for Volterra integrals under enlarged filtrations. (English) Zbl 1537.60064 Stoch. Models 39, No. 4, 823-850 (2023). MSC: 60H05 60H20 60G20 60G44 60H10 60G51 60G57 × Cite Format Result Cite Review PDF Full Text: DOI
Criens, David On the relation of one-dimensional diffusions on natural scale and their speed measures. (English) Zbl 1545.60093 J. Theor. Probab. 36, No. 4, 2339-2358 (2023). Reviewer: Mátyás Barczy (Szeged) MSC: 60J60 60G07 60F17 60G53 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Biagini, Francesca; Bollweg, Georg; Oberpriller, Katharina Non-linear affine processes with jumps. (English) Zbl 1535.60088 Probab. Uncertain. Quant. Risk 8, No. 2, 235-266 (2023). MSC: 60G65 60G07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Cheng, Mingmian; Liao, Yuan; Yang, Xiye Uniform predictive inference for factor models with instrumental and idiosyncratic betas. (English) Zbl 07767731 J. Econom. 237, No. 2, Part C, Article ID 105373, 28 p. (2023). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI