Hui, Xianfei; Sun, Baiqing; Jiang, Hui; SenGupta, Indranil Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters. (English) Zbl 1527.91158 Stochastic Anal. Appl. 41, No. 5, 938-957 (2023). MSC: 91G15 68T05 91G80 PDFBibTeX XMLCite \textit{X. Hui} et al., Stochastic Anal. Appl. 41, No. 5, 938--957 (2023; Zbl 1527.91158) Full Text: DOI arXiv
Kumar, G. Madhan; Mullai, M. Modeling social media addiction with case detection and treatment. (English) Zbl 1527.92054 Stochastic Anal. Appl. 41, No. 5, 860-891 (2023). MSC: 92D30 91D30 34A30 34K60 60H30 PDFBibTeX XMLCite \textit{G. M. Kumar} and \textit{M. Mullai}, Stochastic Anal. Appl. 41, No. 5, 860--891 (2023; Zbl 1527.92054) Full Text: DOI
Golui, Subrata; Pal, Chandan Continuous-time zero-sum games for Markov decision processes with discounted risk-sensitive cost criterion on a general state space. (English) Zbl 1521.91025 Stochastic Anal. Appl. 41, No. 2, 327-357 (2023). Reviewer: Catherine Rainer (Brest) MSC: 91A15 91A10 90C40 PDFBibTeX XMLCite \textit{S. Golui} and \textit{C. Pal}, Stochastic Anal. Appl. 41, No. 2, 327--357 (2023; Zbl 1521.91025) Full Text: DOI
Bhabak, Arnab; Saha, Subhamay Zero and non-zero sum risk-sensitive semi-Markov games. (English) Zbl 1512.91011 Stochastic Anal. Appl. 41, No. 1, 134-151 (2023). MSC: 91A15 91A10 90C40 PDFBibTeX XMLCite \textit{A. Bhabak} and \textit{S. Saha}, Stochastic Anal. Appl. 41, No. 1, 134--151 (2023; Zbl 1512.91011) Full Text: DOI arXiv
Biagini, Francesca; Reitsam, Thomas A dynamic version of the super-replication theorem under proportional transaction costs. (English) Zbl 1507.91210 Stochastic Anal. Appl. 41, No. 1, 80-101 (2023). MSC: 91G15 91G20 60G07 PDFBibTeX XMLCite \textit{F. Biagini} and \textit{T. Reitsam}, Stochastic Anal. Appl. 41, No. 1, 80--101 (2023; Zbl 1507.91210) Full Text: DOI arXiv
Kufakunesu, Rodwell; Mhlanga, Farai Julius; Guambe, Calisto On the sensitivity analysis of energy quanto options. (English) Zbl 1518.91281 Stochastic Anal. Appl. 40, No. 6, 1104-1125 (2022). MSC: 91G20 60H07 91B74 PDFBibTeX XMLCite \textit{R. Kufakunesu} et al., Stochastic Anal. Appl. 40, No. 6, 1104--1125 (2022; Zbl 1518.91281) Full Text: DOI arXiv
Liu, Qun; Jiang, Daqing Stationary distribution of a stochastic model for the transmission dynamics of criminality and victimization with migration. (English) Zbl 1501.91132 Stochastic Anal. Appl. 40, No. 6, 996-1025 (2022). MSC: 91D25 91D30 60H30 PDFBibTeX XMLCite \textit{Q. Liu} and \textit{D. Jiang}, Stochastic Anal. Appl. 40, No. 6, 996--1025 (2022; Zbl 1501.91132) Full Text: DOI
Medhin, Negash; Xu, Chuan Optimal asset allocation with restrictions on liquidity. (English) Zbl 1498.91400 Stochastic Anal. Appl. 40, No. 5, 776-797 (2022). MSC: 91G10 49L12 93E20 PDFBibTeX XMLCite \textit{N. Medhin} and \textit{C. Xu}, Stochastic Anal. Appl. 40, No. 5, 776--797 (2022; Zbl 1498.91400) Full Text: DOI
Mariani, Maria; Tweneboah, Osei Kofi Modeling high frequency stock market data by using stochastic models. (English) Zbl 1489.91314 Stochastic Anal. Appl. 40, No. 4, 573-588 (2022). MSC: 91G80 60J70 PDFBibTeX XMLCite \textit{M. Mariani} and \textit{O. K. Tweneboah}, Stochastic Anal. Appl. 40, No. 4, 573--588 (2022; Zbl 1489.91314) Full Text: DOI
Miśkiewicz, Zofia Inhomogeneous time change equations for Markov chains and their applications. (English) Zbl 1487.60140 Stochastic Anal. Appl. 40, No. 3, 455-474 (2022). MSC: 60J27 60J28 60J60 91G80 PDFBibTeX XMLCite \textit{Z. Miśkiewicz}, Stochastic Anal. Appl. 40, No. 3, 455--474 (2022; Zbl 1487.60140) Full Text: DOI
Golui, Subrata; Pal, Chandan Continuous-time zero-sum games for Markov chains with risk-sensitive finite-horizon cost criterion. (English) Zbl 1482.91016 Stochastic Anal. Appl. 40, No. 1, 78-95 (2022). MSC: 91A15 91A10 91A05 60J27 PDFBibTeX XMLCite \textit{S. Golui} and \textit{C. Pal}, Stochastic Anal. Appl. 40, No. 1, 78--95 (2022; Zbl 1482.91016) Full Text: DOI
Bhabak, Arnab; Saha, Subhamay Continuous-time zero-sum games with probability criterion. (English) Zbl 1489.91006 Stochastic Anal. Appl. 39, No. 6, 1130-1143 (2021). Reviewer: Alex V. Kolnogorov (Novgorod) MSC: 91A10 91A15 60J27 PDFBibTeX XMLCite \textit{A. Bhabak} and \textit{S. Saha}, Stochastic Anal. Appl. 39, No. 6, 1130--1143 (2021; Zbl 1489.91006) Full Text: DOI
Gapeev, Pavel V.; Rodosthenous, Neofytos Optimal stopping games in models with various information flows. (English) Zbl 1490.60098 Stochastic Anal. Appl. 39, No. 6, 1050-1094 (2021). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 91G20 34K10 60J60 60J27 62M20 PDFBibTeX XMLCite \textit{P. V. Gapeev} and \textit{N. Rodosthenous}, Stochastic Anal. Appl. 39, No. 6, 1050--1094 (2021; Zbl 1490.60098) Full Text: DOI Link
Biswas, Subhojit; Ghosh, Mrinal K.; Mukherjee, Diganta Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle. (English) Zbl 1482.90234 Stochastic Anal. Appl. 39, No. 6, 1025-1049 (2021). MSC: 90C39 91G10 91G80 PDFBibTeX XMLCite \textit{S. Biswas} et al., Stochastic Anal. Appl. 39, No. 6, 1025--1049 (2021; Zbl 1482.90234) Full Text: DOI arXiv
Ghosh, Mrinal K.; Pradhan, Somnath Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain. (English) Zbl 1475.91022 Stochastic Anal. Appl. 39, No. 5, 819-841 (2021). MSC: 91A15 PDFBibTeX XMLCite \textit{M. K. Ghosh} and \textit{S. Pradhan}, Stochastic Anal. Appl. 39, No. 5, 819--841 (2021; Zbl 1475.91022) Full Text: DOI
Masoumifard, Khaled; Zokaei, Mohammad Optimal dynamic reinsurance strategies in multidimensional portfolio. (English) Zbl 1460.91232 Stochastic Anal. Appl. 39, No. 1, 1-21 (2021). Reviewer: George Stoica (Saint John) MSC: 91G05 49L25 90C39 PDFBibTeX XMLCite \textit{K. Masoumifard} and \textit{M. Zokaei}, Stochastic Anal. Appl. 39, No. 1, 1--21 (2021; Zbl 1460.91232) Full Text: DOI arXiv
Issaka, Aziz Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model. (English) Zbl 1470.91279 Stochastic Anal. Appl. 38, No. 5, 856-874 (2020). MSC: 91G20 PDFBibTeX XMLCite \textit{A. Issaka}, Stochastic Anal. Appl. 38, No. 5, 856--874 (2020; Zbl 1470.91279) Full Text: DOI
Batra, Luckshay; Taneja, H. C. On Black-Scholes option pricing model with stochastic volatility: an information theoretic approach. (English) Zbl 1470.91269 Stochastic Anal. Appl. 39, No. 2, 327-338 (2020). MSC: 91G20 35Q91 44A10 PDFBibTeX XMLCite \textit{L. Batra} and \textit{H. C. Taneja}, Stochastic Anal. Appl. 39, No. 2, 327--338 (2020; Zbl 1470.91269) Full Text: DOI
Ghosh, Mrinal K.; Suresh Kumar, K.; Pal, Chandan; Pradhan, Somnath Nonzero-sum risk-sensitive stochastic differential games with discounted costs. (English) Zbl 1461.91030 Stochastic Anal. Appl. 39, No. 2, 306-326 (2020). Reviewer: George Stoica (Saint John) MSC: 91A15 35Q91 PDFBibTeX XMLCite \textit{M. K. Ghosh} et al., Stochastic Anal. Appl. 39, No. 2, 306--326 (2020; Zbl 1461.91030) Full Text: DOI
Hess, Markus An anticipative stochastic minimum principle under enlarged filtrations. (English) Zbl 1461.91273 Stochastic Anal. Appl. 39, No. 2, 252-277 (2020). MSC: 91G10 93E20 91G15 60H10 PDFBibTeX XMLCite \textit{M. Hess}, Stochastic Anal. Appl. 39, No. 2, 252--277 (2020; Zbl 1461.91273) Full Text: DOI
Agram, Nacira; Choutri, Salah Eddine Mean-field FBSDE and optimal control. (English) Zbl 1472.60088 Stochastic Anal. Appl. 39, No. 2, 235-251 (2020). MSC: 60H05 60H20 60J76 93E20 91G80 PDFBibTeX XMLCite \textit{N. Agram} and \textit{S. E. Choutri}, Stochastic Anal. Appl. 39, No. 2, 235--251 (2020; Zbl 1472.60088) Full Text: DOI arXiv
Zhang, Caibin; Liang, Zhibin Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure. (English) Zbl 1471.91490 Stochastic Anal. Appl. 39, No. 2, 195-223 (2020). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 91B05 PDFBibTeX XMLCite \textit{C. Zhang} and \textit{Z. Liang}, Stochastic Anal. Appl. 39, No. 2, 195--223 (2020; Zbl 1471.91490) Full Text: DOI
Dahl, Kristina Rognlien Forward-backward stochastic differential equation games with delay and noisy memory. (English) Zbl 1444.91022 Stochastic Anal. Appl. 38, No. 4, 708-729 (2020). MSC: 91A15 91A05 60H10 60H07 PDFBibTeX XMLCite \textit{K. R. Dahl}, Stochastic Anal. Appl. 38, No. 4, 708--729 (2020; Zbl 1444.91022) Full Text: DOI arXiv
Sala, Carlo; Barone-Adesi, Giovanni Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set. (English) Zbl 1445.91064 Stochastic Anal. Appl. 38, No. 4, 686-707 (2020). MSC: 91G20 60G44 62P05 PDFBibTeX XMLCite \textit{C. Sala} and \textit{G. Barone-Adesi}, Stochastic Anal. Appl. 38, No. 4, 686--707 (2020; Zbl 1445.91064) Full Text: DOI
Agoitia Hurtado, María Fernanda del Carmen; Schmidt, Thorsten Time-inhomogeneous polynomial processes. (English) Zbl 1443.60071 Stochastic Anal. Appl. 38, No. 3, 527-564 (2020). MSC: 60J25 91B70 PDFBibTeX XMLCite \textit{M. F. d. C. Agoitia Hurtado} and \textit{T. Schmidt}, Stochastic Anal. Appl. 38, No. 3, 527--564 (2020; Zbl 1443.60071) Full Text: DOI arXiv
Houmia, Anouar; Mejai, Maher; Benaid, Brahim; ben Dbabis, Makram Optimal proportional reinsurance policies for stochastic models. (English) Zbl 1451.91168 Stochastic Anal. Appl. 38, No. 2, 373-386 (2020). Reviewer: Alexandra Rodkina (College Station) MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{A. Houmia} et al., Stochastic Anal. Appl. 38, No. 2, 373--386 (2020; Zbl 1451.91168) Full Text: DOI
Hess, Markus Enlarged filtrations and indistinguishable processes. (English) Zbl 1427.60074 Stochastic Anal. Appl. 38, No. 1, 179-189 (2020). MSC: 60G44 60G51 60H10 91G20 60G57 91B44 91G70 91G10 93E20 PDFBibTeX XMLCite \textit{M. Hess}, Stochastic Anal. Appl. 38, No. 1, 179--189 (2020; Zbl 1427.60074) Full Text: DOI
Srivastav, Akhil Kumar; Ghosh, Mini; Chandra, Peeyush Modeling dynamics of the spread of crime in a society. (English) Zbl 1428.34129 Stochastic Anal. Appl. 37, No. 6, 991-1011 (2019). MSC: 34K60 91D10 34K50 34K21 34K20 34K25 34K18 34K13 PDFBibTeX XMLCite \textit{A. K. Srivastav} et al., Stochastic Anal. Appl. 37, No. 6, 991--1011 (2019; Zbl 1428.34129) Full Text: DOI
Flore, Federico; Nappo, Giovanna A Feynman-Kac type formula for a fixed delay CIR model. (English) Zbl 1416.91384 Stochastic Anal. Appl. 37, No. 4, 550-573 (2019). MSC: 91G30 60H10 34K50 PDFBibTeX XMLCite \textit{F. Flore} and \textit{G. Nappo}, Stochastic Anal. Appl. 37, No. 4, 550--573 (2019; Zbl 1416.91384) Full Text: DOI arXiv
Kolokoltsov, Vassili N.; Troeva, Marianna On mean field games with common noise and McKean-Vlasov SPDEs. (English) Zbl 1415.60075 Stochastic Anal. Appl. 37, No. 4, 522-549 (2019). MSC: 60H15 60J60 91A06 91A15 82C22 PDFBibTeX XMLCite \textit{V. N. Kolokoltsov} and \textit{M. Troeva}, Stochastic Anal. Appl. 37, No. 4, 522--549 (2019; Zbl 1415.60075) Full Text: DOI arXiv Link
Daveloose, Catherine; Khedher, Asma; Vanmaele, Michèle Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting. (English) Zbl 1493.60108 Stochastic Anal. Appl. 37, No. 2, 281-319 (2019). MSC: 60H30 60H07 60H35 65C05 91G20 60G40 91G60 PDFBibTeX XMLCite \textit{C. Daveloose} et al., Stochastic Anal. Appl. 37, No. 2, 281--319 (2019; Zbl 1493.60108) Full Text: DOI
Agram, Nacira; Øksendal, Bernt Model uncertainty stochastic mean-field control. (English) Zbl 1432.93377 Stochastic Anal. Appl. 37, No. 1, 36-56 (2019). Reviewer: Andrzej Świerniak (Gliwice) MSC: 93E20 91A16 91A80 91A15 91A05 PDFBibTeX XMLCite \textit{N. Agram} and \textit{B. Øksendal}, Stochastic Anal. Appl. 37, No. 1, 36--56 (2019; Zbl 1432.93377) Full Text: DOI arXiv
Sun, Zhongyang; Menoukeu-Pamen, Olivier The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system. (English) Zbl 1407.93434 Stochastic Anal. Appl. 36, No. 5, 782-811 (2018). MSC: 93E20 91G80 PDFBibTeX XMLCite \textit{Z. Sun} and \textit{O. Menoukeu-Pamen}, Stochastic Anal. Appl. 36, No. 5, 782--811 (2018; Zbl 1407.93434) Full Text: DOI
Benth, Fred Espen; Simonsen, Iben Cathrine The Heston stochastic volatility model in Hilbert space. (English) Zbl 1401.60093 Stochastic Anal. Appl. 36, No. 4, 733-750 (2018). MSC: 60G60 60H15 91G20 46N30 PDFBibTeX XMLCite \textit{F. E. Benth} and \textit{I. C. Simonsen}, Stochastic Anal. Appl. 36, No. 4, 733--750 (2018; Zbl 1401.60093) Full Text: DOI arXiv
Das, Milan Kumar; Goswami, Anindya; Patankar, Tanmay S. Pricing derivatives in a regime switching market with time inhomogenous volatility. (English) Zbl 1401.60164 Stochastic Anal. Appl. 36, No. 4, 700-725 (2018). MSC: 60K15 91B30 91G20 91G60 PDFBibTeX XMLCite \textit{M. K. Das} et al., Stochastic Anal. Appl. 36, No. 4, 700--725 (2018; Zbl 1401.60164) Full Text: DOI arXiv
Escudero, Carlos A simple comparison between Skorokhod & Russo-Vallois integration for insider trading. (English) Zbl 1390.60191 Stochastic Anal. Appl. 36, No. 3, 485-494 (2018). MSC: 60H05 60H07 60H10 60H30 91G80 PDFBibTeX XMLCite \textit{C. Escudero}, Stochastic Anal. Appl. 36, No. 3, 485--494 (2018; Zbl 1390.60191) Full Text: DOI arXiv
Jordanova, Pavlina; Kiseľák, Jozef; Stehlík, Milan Log-gamma motion as flexible model for generalized interest rates. (English) Zbl 1390.91309 Stochastic Anal. Appl. 36, No. 3, 373-392 (2018). MSC: 91G30 PDFBibTeX XMLCite \textit{P. Jordanova} et al., Stochastic Anal. Appl. 36, No. 3, 373--392 (2018; Zbl 1390.91309) Full Text: DOI Link
Chen, Jianfu; Ma, Jin; Yin, Hong Forward-backward SDEs with discontinuous coefficients. (English) Zbl 1391.60134 Stochastic Anal. Appl. 36, No. 2, 274-294 (2018). MSC: 60H10 60H30 35K58 91G30 PDFBibTeX XMLCite \textit{J. Chen} et al., Stochastic Anal. Appl. 36, No. 2, 274--294 (2018; Zbl 1391.60134) Full Text: DOI
Ghosh, Mrinal K.; Pradhan, Somnath Risk-sensitive stochastic differential games with reflecting diffusions. (English) Zbl 1407.91037 Stochastic Anal. Appl. 36, No. 1, 1-27 (2018). MSC: 91A15 91A23 35Q91 PDFBibTeX XMLCite \textit{M. K. Ghosh} and \textit{S. Pradhan}, Stochastic Anal. Appl. 36, No. 1, 1--27 (2018; Zbl 1407.91037) Full Text: DOI
Liu, Yue; Privault, Nicolas An integration by parts formula in a Markovian regime switching model and application to sensitivity analysis. (English) Zbl 1373.60079 Stochastic Anal. Appl. 35, No. 5, 919-940 (2017). MSC: 60G40 35R35 93E20 60J28 91G80 PDFBibTeX XMLCite \textit{Y. Liu} and \textit{N. Privault}, Stochastic Anal. Appl. 35, No. 5, 919--940 (2017; Zbl 1373.60079) Full Text: DOI
Gapeev, Pavel V.; Stoev, Yavor I. On the construction of non-affine jump-diffusion models. (English) Zbl 1373.60143 Stochastic Anal. Appl. 35, No. 5, 900-918 (2017). MSC: 60J75 60H10 91G30 60J60 60G51 60G44 PDFBibTeX XMLCite \textit{P. V. Gapeev} and \textit{Y. I. Stoev}, Stochastic Anal. Appl. 35, No. 5, 900--918 (2017; Zbl 1373.60143) Full Text: DOI Link
Hu, Yaozhong; Øksendal, Bernt; Sulem, Agnès Singular mean-field control games. (English) Zbl 1376.91029 Stochastic Anal. Appl. 35, No. 5, 823-851 (2017). MSC: 91A15 91A23 91B38 91B55 93E20 PDFBibTeX XMLCite \textit{Y. Hu} et al., Stochastic Anal. Appl. 35, No. 5, 823--851 (2017; Zbl 1376.91029) Full Text: DOI HAL
Pang, Tao; Hussain, Azmat A stochastic portfolio optimization model with complete memory. (English) Zbl 1369.91165 Stochastic Anal. Appl. 35, No. 4, 742-766 (2017). MSC: 91G10 93E20 60H30 49L20 PDFBibTeX XMLCite \textit{T. Pang} and \textit{A. Hussain}, Stochastic Anal. Appl. 35, No. 4, 742--766 (2017; Zbl 1369.91165) Full Text: DOI
Okhrati, Ramin; Assa, Hirbod Representation and approximation of convex dynamic risk measures with respect to strong-weak topologies. (English) Zbl 1369.91202 Stochastic Anal. Appl. 35, No. 4, 604-614 (2017). MSC: 91G99 60H30 46N10 91B30 91G80 PDFBibTeX XMLCite \textit{R. Okhrati} and \textit{H. Assa}, Stochastic Anal. Appl. 35, No. 4, 604--614 (2017; Zbl 1369.91202) Full Text: DOI
Grbić, T.; Medić, S.; Perović, A.; Mihailović, B.; Novković, N.; Duraković, N. A premium principle based on the \(g\)-integral. (English) Zbl 1364.28014 Stochastic Anal. Appl. 35, No. 3, 465-477 (2017). MSC: 28E10 91B30 PDFBibTeX XMLCite \textit{T. Grbić} et al., Stochastic Anal. Appl. 35, No. 3, 465--477 (2017; Zbl 1364.28014) Full Text: DOI
Castelli, F.; Leonenko, N. N.; Shchestyuk, N. Student-like models for risky asset with dependence. (English) Zbl 1364.60072 Stochastic Anal. Appl. 35, No. 3, 452-464 (2017). MSC: 60H10 60J60 60J65 91G80 60J25 60F05 60G10 60H30 PDFBibTeX XMLCite \textit{F. Castelli} et al., Stochastic Anal. Appl. 35, No. 3, 452--464 (2017; Zbl 1364.60072) Full Text: DOI Link
Kühn, Christoph For what trading strategies is the tax payment stream of infinite variation? (English) Zbl 1411.91516 Stochastic Anal. Appl. 35, No. 2, 334-363 (2017). MSC: 91G10 91B64 60J70 PDFBibTeX XMLCite \textit{C. Kühn}, Stochastic Anal. Appl. 35, No. 2, 334--363 (2017; Zbl 1411.91516) Full Text: DOI
Dahl, Kristina Rognlien A convex duality approach for pricing contingent claims under partial information and short selling constraints. (English) Zbl 1365.49033 Stochastic Anal. Appl. 35, No. 2, 317-333 (2017). Reviewer: Karel Zimmermann (Praha) MSC: 49N15 90C15 90C25 90C46 93E20 91B70 PDFBibTeX XMLCite \textit{K. R. Dahl}, Stochastic Anal. Appl. 35, No. 2, 317--333 (2017; Zbl 1365.49033) Full Text: DOI arXiv
Lin, Yiqing; Yang, Junjian Utility maximization problem with random endowment and transaction costs: when wealth may become negative. (English) Zbl 1411.91519 Stochastic Anal. Appl. 35, No. 2, 257-278 (2017). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{Y. Lin} and \textit{J. Yang}, Stochastic Anal. Appl. 35, No. 2, 257--278 (2017; Zbl 1411.91519) Full Text: DOI arXiv
Stehlík, Milan; Kiseľák, Jozef; Potocký, Rastislav; Jordanova, Pavlina Generalized interest rate dynamics and its impacts on finance and pensions. (English) Zbl 1358.91104 Stochastic Anal. Appl. 35, No. 1, 178-190 (2017). MSC: 91G30 60H10 60H30 60J65 PDFBibTeX XMLCite \textit{M. Stehlík} et al., Stochastic Anal. Appl. 35, No. 1, 178--190 (2017; Zbl 1358.91104) Full Text: DOI Link
Goswami, Anindya; Patel, Jeeten; Shevgaonkar, Poorva A system of non-local parabolic PDE and application to option pricing. (English) Zbl 1347.60084 Stochastic Anal. Appl. 34, No. 5, 893-905 (2016). MSC: 60H30 60H10 60K15 35K51 60G40 91G80 91G20 91B30 45D05 PDFBibTeX XMLCite \textit{A. Goswami} et al., Stochastic Anal. Appl. 34, No. 5, 893--905 (2016; Zbl 1347.60084) Full Text: DOI arXiv
Leduc, Guillaume Option convergence rate with geometric random walks approximations. (English) Zbl 1410.91456 Stochastic Anal. Appl. 34, No. 5, 767-791 (2016). MSC: 91G20 60J20 60G50 PDFBibTeX XMLCite \textit{G. Leduc}, Stochastic Anal. Appl. 34, No. 5, 767--791 (2016; Zbl 1410.91456) Full Text: DOI
Wang, Wei; Jin, Zhuo; Qian, Linyi; Su, Xiaonan Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models. (English) Zbl 1344.49031 Stochastic Anal. Appl. 34, No. 4, 662-678 (2016). MSC: 49J55 60H30 60H10 60J28 60J27 93E20 91B30 91G80 65C05 PDFBibTeX XMLCite \textit{W. Wang} et al., Stochastic Anal. Appl. 34, No. 4, 662--678 (2016; Zbl 1344.49031) Full Text: DOI
Jiang, Yongxu; Luo, Peng; Wang, Lihe; Xiong, Dewen Utility maximization under \(g^\ast\)-expectation. (English) Zbl 1344.35152 Stochastic Anal. Appl. 34, No. 4, 644-661 (2016). MSC: 35Q91 60G48 91G10 91G70 60H15 35R60 91B16 PDFBibTeX XMLCite \textit{Y. Jiang} et al., Stochastic Anal. Appl. 34, No. 4, 644--661 (2016; Zbl 1344.35152) Full Text: DOI
Dalalah, Doraid; Al-Rawabdeh, Wasfi A.; Alshraideh, Hussam The beta stochastic utility (\(\beta\)-SU). (English) Zbl 1347.60140 Stochastic Anal. Appl. 34, No. 3, 456-482 (2016). MSC: 60K99 91B16 65C20 PDFBibTeX XMLCite \textit{D. Dalalah} et al., Stochastic Anal. Appl. 34, No. 3, 456--482 (2016; Zbl 1347.60140) Full Text: DOI
Chan, Leunglung; Platen, Eckhard Pricing of long dated equity-linked life insurance contracts. (English) Zbl 1344.60064 Stochastic Anal. Appl. 34, No. 2, 339-355 (2016). MSC: 60H30 60H10 60J60 91B30 91G80 PDFBibTeX XMLCite \textit{L. Chan} and \textit{E. Platen}, Stochastic Anal. Appl. 34, No. 2, 339--355 (2016; Zbl 1344.60064) Full Text: DOI
Koo, Jung Lim; Ahn, Se Ryoong; Koo, Byung Lim; Koo, Hyeng Keun; Shin, Yong Hyun Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint. (English) Zbl 1333.91051 Stochastic Anal. Appl. 34, No. 1, 165-177 (2016). MSC: 91G10 60H30 PDFBibTeX XMLCite \textit{J. L. Koo} et al., Stochastic Anal. Appl. 34, No. 1, 165--177 (2016; Zbl 1333.91051) Full Text: DOI
Basak, Gopal K.; Ghosh, Mrinal K.; Mukherjee, Diganta A mean-reverting stochastic model for the political business cycle. (English) Zbl 1336.93170 Stochastic Anal. Appl. 34, No. 1, 96-116 (2016). MSC: 93E20 93C95 60H30 91B64 PDFBibTeX XMLCite \textit{G. K. Basak} et al., Stochastic Anal. Appl. 34, No. 1, 96--116 (2016; Zbl 1336.93170) Full Text: DOI
Inoue, Akihiko; Moriuchi, Shingo; Nakamura, Yusuke A Vasicek-type short rate model with memory effect. (English) Zbl 1332.60101 Stochastic Anal. Appl. 33, No. 6, 1068-1082 (2015). MSC: 60H30 60H10 91G80 91G30 91G20 60H35 65C30 PDFBibTeX XMLCite \textit{A. Inoue} et al., Stochastic Anal. Appl. 33, No. 6, 1068--1082 (2015; Zbl 1332.60101) Full Text: DOI arXiv
Ben Latifa, Imène; Bonnans, Joseph Frédéric; Mnif, Mohamed A general optimal multiple stopping problem with an application to swing options. (English) Zbl 1327.60098 Stochastic Anal. Appl. 33, No. 4, 715-739 (2015). MSC: 60G40 60J60 60J75 91G80 91B70 49L25 49J40 PDFBibTeX XMLCite \textit{I. Ben Latifa} et al., Stochastic Anal. Appl. 33, No. 4, 715--739 (2015; Zbl 1327.60098) Full Text: DOI HAL
Chandra, Sudip Ratan; Mukherjee, Diganta; SenGupta, Indranil PIDE and solution related to pricing of Lévy driven arithmetic type floating Asian options. (English) Zbl 1335.91078 Stochastic Anal. Appl. 33, No. 4, 630-652 (2015). MSC: 91G20 60G51 35R09 35Q91 91G60 91G80 PDFBibTeX XMLCite \textit{S. R. Chandra} et al., Stochastic Anal. Appl. 33, No. 4, 630--652 (2015; Zbl 1335.91078) Full Text: DOI
Platen, Eckhard; Tappe, Stefan Real-world forward rate dynamics with affine realizations. (English) Zbl 1335.91094 Stochastic Anal. Appl. 33, No. 4, 573-608 (2015). MSC: 91G30 60G51 60H15 PDFBibTeX XMLCite \textit{E. Platen} and \textit{S. Tappe}, Stochastic Anal. Appl. 33, No. 4, 573--608 (2015; Zbl 1335.91094) Full Text: DOI arXiv
Kühn, Christoph; Ulbricht, Björn Modeling capital gains taxes for trading strategies of infinite variation. (English) Zbl 1338.91129 Stochastic Anal. Appl. 33, No. 5, 792-822 (2015). MSC: 91G10 91B60 60G48 60J55 PDFBibTeX XMLCite \textit{C. Kühn} and \textit{B. Ulbricht}, Stochastic Anal. Appl. 33, No. 5, 792--822 (2015; Zbl 1338.91129) Full Text: DOI arXiv
Choukroun, Sébastien; Goutte, Stéphane; Ngoupeyou, Armand Mean-variance hedging under multiple defaults risk. (English) Zbl 1329.60175 Stochastic Anal. Appl. 33, No. 5, 757-791 (2015). MSC: 60H10 60J75 91G80 93E20 49L20 PDFBibTeX XMLCite \textit{S. Choukroun} et al., Stochastic Anal. Appl. 33, No. 5, 757--791 (2015; Zbl 1329.60175) Full Text: DOI
Santacroce, M.; Sasso, E.; Trivellato, B.; Covello, D. Power utility maximization problems under partial information and information sufficiency in a Brownian setting. (English) Zbl 1336.91072 Stochastic Anal. Appl. 33, No. 3, 493-509 (2015). MSC: 91G10 60H30 90C39 PDFBibTeX XMLCite \textit{M. Santacroce} et al., Stochastic Anal. Appl. 33, No. 3, 493--509 (2015; Zbl 1336.91072) Full Text: DOI
Hyndman, Cody; Zhou, Xinghua Explicit solutions of quadratic FBSDEs arising from quadratic term structure models. (English) Zbl 1317.60070 Stochastic Anal. Appl. 33, No. 3, 464-492 (2015). MSC: 60H10 60H20 60H30 60G35 91B25 91B70 PDFBibTeX XMLCite \textit{C. Hyndman} and \textit{X. Zhou}, Stochastic Anal. Appl. 33, No. 3, 464--492 (2015; Zbl 1317.60070) Full Text: DOI arXiv
Elliott, Robert J.; Siu, Tak Kuen A note on differentiability in a Markov chain market using stochastic flows. (English) Zbl 1336.91073 Stochastic Anal. Appl. 33, No. 1, 110-122 (2015). Reviewer: Gianluca Cassese (Milano) MSC: 91G20 91G80 60J28 60H30 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Stochastic Anal. Appl. 33, No. 1, 110--122 (2015; Zbl 1336.91073) Full Text: DOI
Deshpande, Amogh Sufficient stochastic maximum principle for the optimal control of semi-Markov modulated jump-diffusion with application to financial optimization. (English) Zbl 1302.93237 Stochastic Anal. Appl. 32, No. 6, 911-933 (2014). MSC: 93E20 60J75 60H30 46N10 90C39 91G10 49N10 PDFBibTeX XMLCite \textit{A. Deshpande}, Stochastic Anal. Appl. 32, No. 6, 911--933 (2014; Zbl 1302.93237) Full Text: DOI arXiv
Herczegh, Attila; Prokaj, Vilmos; Rásonyi, Miklós Diversity and no arbitrage. (English) Zbl 1310.91133 Stochastic Anal. Appl. 32, No. 5, 876-888 (2014). Reviewer: Paweł Kliber (Poznan) MSC: 91G10 91G99 91B24 60H05 60H30 60G40 60G44 PDFBibTeX XMLCite \textit{A. Herczegh} et al., Stochastic Anal. Appl. 32, No. 5, 876--888 (2014; Zbl 1310.91133) Full Text: DOI arXiv
Xiong, Dewen The exp-UIV for markets with partial information and complete information. (English) Zbl 1311.91199 Stochastic Anal. Appl. 32, No. 5, 851-875 (2014). Reviewer: Monique Pontier (Toulouse) MSC: 91G80 60H30 60G44 PDFBibTeX XMLCite \textit{D. Xiong}, Stochastic Anal. Appl. 32, No. 5, 851--875 (2014; Zbl 1311.91199) Full Text: DOI
Guan, Chonghu; Yi, Fahuai A free boundary problem arising from a stochastic optimal control model with bounded dividend rate. (English) Zbl 1302.35462 Stochastic Anal. Appl. 32, No. 5, 742-760 (2014). MSC: 35R35 93E20 49J55 60G40 91B70 PDFBibTeX XMLCite \textit{C. Guan} and \textit{F. Yi}, Stochastic Anal. Appl. 32, No. 5, 742--760 (2014; Zbl 1302.35462) Full Text: DOI
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng A multivariate regime-switching mean reverting process and its application to the valuation of credit risk. (English) Zbl 1307.91186 Stochastic Anal. Appl. 32, No. 4, 687-710 (2014). Reviewer: Pavel Stoynov (Sofia) MSC: 91G40 60J27 91G20 60G55 60H30 62P05 PDFBibTeX XMLCite \textit{Y. Dong} et al., Stochastic Anal. Appl. 32, No. 4, 687--710 (2014; Zbl 1307.91186) 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
Bayraktar, Erhan; Pakkanen, Mikko S.; Sayit, Hasanjan On the existence of consistent price systems. (English) Zbl 1291.91188 Stochastic Anal. Appl. 32, No. 1, 152-162 (2014). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G10 60G50 60G44 PDFBibTeX XMLCite \textit{E. Bayraktar} et al., Stochastic Anal. Appl. 32, No. 1, 152--162 (2014; Zbl 1291.91188) Full Text: DOI arXiv
Lin, Yin; Yang, Hailiang Discrete-time BSDEs with random terminal horizon. (English) Zbl 1308.60073 Stochastic Anal. Appl. 32, No. 1, 110-127 (2014). Reviewer: Romeo Negrea (Timişoara) MSC: 60H10 93E20 91B30 PDFBibTeX XMLCite \textit{Y. Lin} and \textit{H. Yang}, Stochastic Anal. Appl. 32, No. 1, 110--127 (2014; Zbl 1308.60073) Full Text: DOI Link
Bo, Lijun; Jiao, Ying; Yang, Xuewei Credit derivatives pricing based on Lévy field driven term structure. (English) Zbl 1302.91185 Stochastic Anal. Appl. 32, No. 2, 229-252 (2014). Reviewer: Pavel Stoynov (Sofia) MSC: 91G40 91B25 91G20 91G80 60G60 60G51 PDFBibTeX XMLCite \textit{L. Bo} et al., Stochastic Anal. Appl. 32, No. 2, 229--252 (2014; Zbl 1302.91185) Full Text: DOI
Meng, Hui; Siu, Tak Kuen Risk-based asset allocation under Markov-modulated pure jump processes. (English) Zbl 1291.91197 Stochastic Anal. Appl. 32, No. 2, 191-206 (2014). Reviewer: Pavel Stoynov (Sofia) MSC: 91G10 60J75 91A15 91A05 90C39 PDFBibTeX XMLCite \textit{H. Meng} and \textit{T. K. Siu}, Stochastic Anal. Appl. 32, No. 2, 191--206 (2014; Zbl 1291.91197) Full Text: DOI
Jiang, Wuyuan; Yang, Zhaojun Dividend payments in a risk model perturbed by diffusion with multiple thresholds. (English) Zbl 1280.62118 Stochastic Anal. Appl. 31, No. 6, 1097-1113 (2013). MSC: 62P05 91B30 65R99 PDFBibTeX XMLCite \textit{W. Jiang} and \textit{Z. Yang}, Stochastic Anal. Appl. 31, No. 6, 1097--1113 (2013; Zbl 1280.62118) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen Reflected backward stochastic differential equations, convex risk measures and American options. (English) Zbl 1343.60093 Stochastic Anal. Appl. 31, No. 6, 1077-1096 (2013). MSC: 60H30 60H10 60G40 91G80 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Stochastic Anal. Appl. 31, No. 6, 1077--1096 (2013; Zbl 1343.60093) Full Text: DOI
Kohlmann, Michael; Siyuan, Li; Xiong, Dewen A generalized Itō-Ventzell formula to derive forward utility models in a jump market. (English) Zbl 1279.91145 Stochastic Anal. Appl. 31, No. 4, 632-662 (2013). MSC: 91G10 60H30 60G44 PDFBibTeX XMLCite \textit{M. Kohlmann} et al., Stochastic Anal. Appl. 31, No. 4, 632--662 (2013; Zbl 1279.91145) Full Text: DOI
Bektur, Çisem Lyapunov exponents for position dependent random maps: formulae and applications. (English) Zbl 1272.91127 Stochastic Anal. Appl. 31, No. 4, 600-608 (2013). MSC: 91G80 91G10 PDFBibTeX XMLCite \textit{Ç. Bektur}, Stochastic Anal. Appl. 31, No. 4, 600--608 (2013; Zbl 1272.91127) Full Text: DOI
Kumon, Masayuki; Li, Jing; Takemura, Akimichi; Takeuchi, Kei Bayesian logistic betting strategy against probability forecasting. (English) Zbl 1291.91043 Stochastic Anal. Appl. 31, No. 2, 214-234 (2013). Reviewer: Jan Kallsen (Kiel) MSC: 91A60 60F15 62C10 60G42 60G40 PDFBibTeX XMLCite \textit{M. Kumon} et al., Stochastic Anal. Appl. 31, No. 2, 214--234 (2013; Zbl 1291.91043) Full Text: DOI arXiv
Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco On some expectation and derivative operators related to integral representations of random variables with respect to a PII process. (English) Zbl 1288.60058 Stochastic Anal. Appl. 31, No. 1, 108-141 (2013). Reviewer: Antonis Papapantoleon (Berlin) MSC: 60G51 60H05 91G20 PDFBibTeX XMLCite \textit{S. Goutte} et al., Stochastic Anal. Appl. 31, No. 1, 108--141 (2013; Zbl 1288.60058) Full Text: DOI arXiv
Siu, Tak Kuen A BSDE approach to optimal investment of an insurer with hidden regime switching. (English) Zbl 1267.91087 Stochastic Anal. Appl. 31, No. 1, 1-18 (2013). MSC: 91G80 93E11 93E20 PDFBibTeX XMLCite \textit{T. K. Siu}, Stochastic Anal. Appl. 31, No. 1, 1--18 (2013; Zbl 1267.91087) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen A BSDE approach to convex risk measures for derivative securities. (English) Zbl 1254.91723 Stochastic Anal. Appl. 30, No. 6, 1083-1101 (2012). MSC: 91G20 91B30 60H10 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Stochastic Anal. Appl. 30, No. 6, 1083--1101 (2012; Zbl 1254.91723) Full Text: DOI
Shi, Jingtao; Wu, Zhen Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance. (English) Zbl 1252.49040 Stochastic Anal. Appl. 30, No. 6, 997-1018 (2012). MSC: 49K45 91G10 93E20 60H10 60H30 PDFBibTeX XMLCite \textit{J. Shi} and \textit{Z. Wu}, Stochastic Anal. Appl. 30, No. 6, 997--1018 (2012; Zbl 1252.49040) Full Text: DOI
van der Hoek, John; Elliott, Robert J. Asset pricing using finite state Markov chain stochastic discount functions. (English) Zbl 1258.91079 Stochastic Anal. Appl. 30, No. 5, 865-894 (2012). Reviewer: Antoine Jacquier (London) MSC: 91B25 60J27 91G20 PDFBibTeX XMLCite \textit{J. van der Hoek} and \textit{R. J. Elliott}, Stochastic Anal. Appl. 30, No. 5, 865--894 (2012; Zbl 1258.91079) Full Text: DOI
Wang, Yumin; Yin, G. Quantile hedging for guaranteed minimum death benefits with regime switching. (English) Zbl 1251.91041 Stochastic Anal. Appl. 30, No. 5, 799-826 (2012). MSC: 91B30 91B70 91G80 93E20 PDFBibTeX XMLCite \textit{Y. Wang} and \textit{G. Yin}, Stochastic Anal. Appl. 30, No. 5, 799--826 (2012; Zbl 1251.91041) Full Text: DOI
Zhang, Shuaiqi Impulse stochastic control for the optimization of the dividend payments of the compound Poisson risk model perturbed by diffusion. (English) Zbl 1246.91158 Stochastic Anal. Appl. 30, No. 4, 642-661 (2012). MSC: 91G70 93E20 91G80 PDFBibTeX XMLCite \textit{S. Zhang}, Stochastic Anal. Appl. 30, No. 4, 642--661 (2012; Zbl 1246.91158) Full Text: DOI
Spreij, Peter; Veerman, Enno Affine diffusions with non-canonical state space. (English) Zbl 1260.60112 Stochastic Anal. Appl. 30, No. 4, 605-641 (2012). Reviewer: Stefan Tappe (Hannover) MSC: 60H10 60J25 91G80 PDFBibTeX XMLCite \textit{P. Spreij} and \textit{E. Veerman}, Stochastic Anal. Appl. 30, No. 4, 605--641 (2012; Zbl 1260.60112) Full Text: DOI arXiv
Leonenko, N. N.; Petherick, S.; Sikorskii, A. Fractal activity time models for risky asset with dependence and generalized hyperbolic distributions. (English) Zbl 1251.91062 Stochastic Anal. Appl. 30, No. 3, 476-492 (2012). Reviewer: Rudolf Gorenflo (Berlin) MSC: 91G20 60G18 60G10 62M10 PDFBibTeX XMLCite \textit{N. N. Leonenko} et al., Stochastic Anal. Appl. 30, No. 3, 476--492 (2012; Zbl 1251.91062) Full Text: DOI
Banerjee, Tamal; Ghosh, Mrinal K.; Iyer, Srikanth K. Pricing defaultable bonds in a Markov modulated market. (English) Zbl 1248.91039 Stochastic Anal. Appl. 30, No. 3, 448-475 (2012). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B24 91G20 91B70 PDFBibTeX XMLCite \textit{T. Banerjee} et al., Stochastic Anal. Appl. 30, No. 3, 448--475 (2012; Zbl 1248.91039) Full Text: DOI
Khedher, Asma Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models. (English) Zbl 1242.91188 Stochastic Anal. Appl. 30, No. 3, 403-425 (2012). MSC: 91G20 60H07 60H35 PDFBibTeX XMLCite \textit{A. Khedher}, Stochastic Anal. Appl. 30, No. 3, 403--425 (2012; Zbl 1242.91188) Full Text: DOI Link
Xiong, Dewen; Kohlmann, Michael Modeling the forward CDS spreads with jumps. (English) Zbl 1242.91198 Stochastic Anal. Appl. 30, No. 3, 375-402 (2012). MSC: 91G20 60H30 60G44 PDFBibTeX XMLCite \textit{D. Xiong} and \textit{M. Kohlmann}, Stochastic Anal. Appl. 30, No. 3, 375--402 (2012; Zbl 1242.91198) Full Text: DOI
Xiong, Dewen; Kohlmann, Michael Defaultable Bond markets with jumps. (English) Zbl 1257.91055 Stochastic Anal. Appl. 30, No. 2, 285-321 (2012). Reviewer: Henryk Gzyl (Caracas) MSC: 91G80 60H30 60G44 PDFBibTeX XMLCite \textit{D. Xiong} and \textit{M. Kohlmann}, Stochastic Anal. Appl. 30, No. 2, 285--321 (2012; Zbl 1257.91055) Full Text: DOI
Benth, Fred Espen; Sgarra, Carlo The risk premium and the Esscher transform in power markets. (English) Zbl 1250.62053 Stochastic Anal. Appl. 30, No. 1, 20-43 (2012). Reviewer: Zakhar Kabluchko (Ulm) MSC: 62P05 91B30 60G51 91G20 62P20 PDFBibTeX XMLCite \textit{F. E. Benth} and \textit{C. Sgarra}, Stochastic Anal. Appl. 30, No. 1, 20--43 (2012; Zbl 1250.62053) Full Text: DOI Link
Zhao, Fei; Yue, Rong-Xian; Wang, Han-Xing A Markov risk model with two classes of insurance business. (English) Zbl 1232.91357 Stochastic Anal. Appl. 29, No. 6, 1102-1110 (2011). MSC: 91B30 60J75 PDFBibTeX XMLCite \textit{F. Zhao} et al., Stochastic Anal. Appl. 29, No. 6, 1102--1110 (2011; Zbl 1232.91357) Full Text: DOI
Chen, Yiqing; Ng, Kai W.; Yuen, Kam C. The maximum of randomly weighted sums with long tails in insurance and finance. (English) Zbl 1232.62136 Stochastic Anal. Appl. 29, No. 6, 1033-1044 (2011). MSC: 62P05 91B30 62E99 PDFBibTeX XMLCite \textit{Y. Chen} et al., Stochastic Anal. Appl. 29, No. 6, 1033--1044 (2011; Zbl 1232.62136) Full Text: DOI Link
Herrera, M.; García-Díaz, J. C.; Izquierdo, J.; Pérez-García, R. Municipal water demand forecasting: tools for intervention time series. (English) Zbl 1232.62158 Stochastic Anal. Appl. 29, No. 6, 998-1007 (2011). MSC: 62P12 62M45 91B76 PDFBibTeX XMLCite \textit{M. Herrera} et al., Stochastic Anal. Appl. 29, No. 6, 998--1007 (2011; Zbl 1232.62158) Full Text: DOI Link
Bourguin, Solesne; Tudor, Ciprian A. Berry-Esséen bounds for long memory moving averages via Stein’s method and Malliavin calculus. (English) Zbl 1236.60022 Stochastic Anal. Appl. 29, No. 5, 881-905 (2011). Reviewer: V. M. Kruglov (Moskva) MSC: 60F05 60H05 91G70 PDFBibTeX XMLCite \textit{S. Bourguin} and \textit{C. A. Tudor}, Stochastic Anal. Appl. 29, No. 5, 881--905 (2011; Zbl 1236.60022) Full Text: DOI arXiv