Chen, May-Ru; Yen, Ju-Yi On excursions inside an excursion. (English) Zbl 07355173 Stochastic Processes Appl. 138, 96-116 (2021). MSC: 60J65 60G55 60E05 PDF BibTeX XML Cite \textit{M.-R. Chen} and \textit{J.-Y. Yen}, Stochastic Processes Appl. 138, 96--116 (2021; Zbl 07355173) Full Text: DOI
Peralta, Liliana Distribution function of the blow up time of the solution of an anticipating random fatigue equation. (English) Zbl 07347402 Acta Math. Sin., Engl. Ser. 37, No. 4, 551-564 (2021). MSC: 60H10 91B70 60H05 60J65 PDF BibTeX XML Cite \textit{L. Peralta}, Acta Math. Sin., Engl. Ser. 37, No. 4, 551--564 (2021; Zbl 07347402) Full Text: DOI
Huang, Chunfeng; Li, Ao On Lévy’s Brownian motion and white noise space on the circle. (English) Zbl 07325880 Stat. Probab. Lett. 171, Article ID 109041, 6 p. (2021). Reviewer: Ilie Valuşescu (Bucureşti) MSC: 60G10 60J65 60G65 PDF BibTeX XML Cite \textit{C. Huang} and \textit{A. Li}, Stat. Probab. Lett. 171, Article ID 109041, 6 p. (2021; Zbl 07325880) Full Text: DOI
McGill, Paul Absolute continuity of diffusion bridges. (English) Zbl 1459.60171 Sankhyā, Ser. B 82, No. 2, 240-246 (2020). MSC: 60J65 60H10 PDF BibTeX XML Cite \textit{P. McGill}, Sankhyā, Ser. B 82, No. 2, 240--246 (2020; Zbl 1459.60171) Full Text: DOI
Dorogovtsev, A. A.; Vovchanskii, N. B. Representations of the finite-dimensional point densities in Arratia flows with drift. (English) Zbl 07329590 Theory Stoch. Process. 25, No. 1, 25-36 (2020). MSC: 60H10 60K35 60G57 60G55 PDF BibTeX XML Cite \textit{A. A. Dorogovtsev} and \textit{N. B. Vovchanskii}, Theory Stoch. Process. 25, No. 1, 25--36 (2020; Zbl 07329590) Full Text: Link
Rybakov, Konstantin Aleksandrovich Modeling linear nonstationary stochastic systems by spectral method. (Russian. English summary) Zbl 1459.93169 Differ. Uravn. Protsessy Upr. 2020, No. 3, 98-128 (2020). MSC: 93E03 60J70 93C05 PDF BibTeX XML Cite \textit{K. A. Rybakov}, Differ. Uravn. Protsessy Upr. 2020, No. 3, 98--128 (2020; Zbl 1459.93169) Full Text: Link
Dubey, Paromita; Müller, Hans-Georg Fréchet change-point detection. (English) Zbl 07315912 Ann. Stat. 48, No. 6, 3312-3335 (2020). MSC: 62R20 62M10 62H20 62G10 62P10 PDF BibTeX XML Cite \textit{P. Dubey} and \textit{H.-G. Müller}, Ann. Stat. 48, No. 6, 3312--3335 (2020; Zbl 07315912) Full Text: DOI Euclid
Jang, Hanbyeol; Kim, Hyundong; Jo, Subeom; Kim, Hanrim; Lee, Seri; Lee, Juwon; Kim, Junseok Fast Android implementation of Monte Carlo simulation for pricing equity-linked securities. (English) Zbl 1458.91227 J. Korean Soc. Ind. Appl. Math. 24, No. 1, 79-84 (2020). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{H. Jang} et al., J. Korean Soc. Ind. Appl. Math. 24, No. 1, 79--84 (2020; Zbl 1458.91227) Full Text: DOI
Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model. (English) Zbl 1454.91359 Quant. Finance 20, No. 9, 1457-1473 (2020). MSC: 91G60 91G20 65C05 65D30 65D32 PDF BibTeX XML Cite \textit{C. Bayer} et al., Quant. Finance 20, No. 9, 1457--1473 (2020; Zbl 1454.91359) Full Text: DOI
Angoshtari, Bahman; Leung, Tim Optimal trading of a basket of futures contracts. (English) Zbl 1443.91282 Ann. Finance 16, No. 2, 253-280 (2020). MSC: 91G20 49L12 PDF BibTeX XML Cite \textit{B. Angoshtari} and \textit{T. Leung}, Ann. Finance 16, No. 2, 253--280 (2020; Zbl 1443.91282) Full Text: DOI
Hildebrandt, Florian; Rœlly, Sylvie Pinned diffusions and Markov bridges. (English) Zbl 1456.60085 J. Theor. Probab. 33, No. 2, 906-917 (2020). MSC: 60G15 60H10 60J60 PDF BibTeX XML Cite \textit{F. Hildebrandt} and \textit{S. Rœlly}, J. Theor. Probab. 33, No. 2, 906--917 (2020; Zbl 1456.60085) Full Text: DOI
De Angelis, Tiziano; Milazzo, Alessandro Optimal stopping for the exponential of a Brownian bridge. (English) Zbl 1434.60120 J. Appl. Probab. 57, No. 1, 361-384 (2020). MSC: 60G40 60J65 35R35 PDF BibTeX XML Cite \textit{T. De Angelis} and \textit{A. Milazzo}, J. Appl. Probab. 57, No. 1, 361--384 (2020; Zbl 1434.60120) Full Text: DOI
Zhao, Shoujiang; Liu, Qiaojing A large deviation result for maximum likelihood estimator of non-homogeneous Ornstein-Uhlenbeck processes. (English) Zbl 1437.60017 Stat. Probab. Lett. 162, Article ID 108753, 8 p. (2020). MSC: 60F10 62M05 PDF BibTeX XML Cite \textit{S. Zhao} and \textit{Q. Liu}, Stat. Probab. Lett. 162, Article ID 108753, 8 p. (2020; Zbl 1437.60017) Full Text: DOI
Ekström, Erik; Vaicenavicius, Juozas Optimal stopping of a Brownian bridge with an unknown pinning point. (English) Zbl 1441.60034 Stochastic Processes Appl. 130, No. 2, 806-823 (2020). MSC: 60G40 60G35 60J25 PDF BibTeX XML Cite \textit{E. Ekström} and \textit{J. Vaicenavicius}, Stochastic Processes Appl. 130, No. 2, 806--823 (2020; Zbl 1441.60034) Full Text: DOI arXiv
Zhao, Wenzhi; Xia, Zhiming Weighted-residual based detection methods for gradual structure-changes in linear models. (Chinese. English summary) Zbl 1449.62041 Chin. J. Eng. Math. 36, No. 6, 637-646 (2019). MSC: 62F05 62F12 62J05 PDF BibTeX XML Cite \textit{W. Zhao} and \textit{Z. Xia}, Chin. J. Eng. Math. 36, No. 6, 637--646 (2019; Zbl 1449.62041) Full Text: DOI
McGill, Paul Brownian representation of a Floquet basis. (English) Zbl 1444.60076 Markov Process. Relat. Fields 25, No. 5, 797-820 (2019). MSC: 60J65 34C25 28C20 PDF BibTeX XML Cite \textit{P. McGill}, Markov Process. Relat. Fields 25, No. 5, 797--820 (2019; Zbl 1444.60076)
Jang, Hanbyeol; Wang, Jian; Kim, Junseok Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge. (English) Zbl 1432.91138 Monte Carlo Methods Appl. 25, No. 4, 291-305 (2019). MSC: 91G60 65C05 91G20 60J70 PDF BibTeX XML Cite \textit{H. Jang} et al., Monte Carlo Methods Appl. 25, No. 4, 291--305 (2019; Zbl 1432.91138) Full Text: DOI
Gautié, Tristan; Le Doussal, Pierre; Majumdar, Satya N.; Schehr, Grégory Non-crossing Brownian paths and Dyson Brownian motion under a moving boundary. (English) Zbl 1439.60076 J. Stat. Phys. 177, No. 5, 752-805 (2019). MSC: 60J65 82B41 60K35 60B20 PDF BibTeX XML Cite \textit{T. Gautié} et al., J. Stat. Phys. 177, No. 5, 752--805 (2019; Zbl 1439.60076) Full Text: DOI
Angoshtari, Bahman; Leung, Tim Optimal dynamic basis trading. (English) Zbl 1426.91260 Ann. Finance 15, No. 3, 307-335 (2019). MSC: 91G20 PDF BibTeX XML Cite \textit{B. Angoshtari} and \textit{T. Leung}, Ann. Finance 15, No. 3, 307--335 (2019; Zbl 1426.91260) Full Text: DOI
Lei, Tao Scaling limit of random forests with prescribed degree sequences. (English) Zbl 1431.62263 Bernoulli 25, No. 4A, 2409-2438 (2019). Reviewer: Denis Sidorov (Irkutsk) MSC: 62H30 60J65 60F17 PDF BibTeX XML Cite \textit{T. Lei}, Bernoulli 25, No. 4A, 2409--2438 (2019; Zbl 1431.62263) Full Text: DOI Euclid arXiv
Ji, Lanpeng; Liu, Peng; Robert, Stephan Tail asymptotic behavior of the supremum of a class of chi-square processes. (English) Zbl 1458.60042 Stat. Probab. Lett. 154, Article ID 108551, 11 p. (2019). MSC: 60G15 60G70 PDF BibTeX XML Cite \textit{L. Ji} et al., Stat. Probab. Lett. 154, Article ID 108551, 11 p. (2019; Zbl 1458.60042) Full Text: DOI arXiv
Lagnoux, Agnès; Mercier, Sabine; Vallois, Pierre Probability density function of the local score position. (English) Zbl 1422.60062 Stochastic Processes Appl. 129, No. 10, 3664-3689 (2019). MSC: 60G17 60J25 60J65 PDF BibTeX XML Cite \textit{A. Lagnoux} et al., Stochastic Processes Appl. 129, No. 10, 3664--3689 (2019; Zbl 1422.60062) Full Text: DOI
Kaushansky, Vadim; Reisinger, Christoph Simulation of a simple particle system interacting through hitting times. (English) Zbl 07098998 Discrete Contin. Dyn. Syst., Ser. B 24, No. 10, 5481-5502 (2019). MSC: 65C35 60K35 PDF BibTeX XML Cite \textit{V. Kaushansky} and \textit{C. Reisinger}, Discrete Contin. Dyn. Syst., Ser. B 24, No. 10, 5481--5502 (2019; Zbl 07098998) Full Text: DOI
Gu, Lijie; Wang, Suojin; Yang, Lijian Simultaneous confidence bands for the distribution function of a finite population in stratified sampling. (English) Zbl 1426.62121 Ann. Inst. Stat. Math. 71, No. 4, 983-1005 (2019). MSC: 62G08 62G05 62G07 62D05 62G15 PDF BibTeX XML Cite \textit{L. Gu} et al., Ann. Inst. Stat. Math. 71, No. 4, 983--1005 (2019; Zbl 1426.62121) Full Text: DOI
Kuznetsov, Alexander; Shishkina, Elina; Sitnik, Sergey Probabilistic properties of near-optimal trajectories of an agent moving over a lattice. (English) Zbl 1421.49018 J. Optim. Theory Appl. 182, No. 2, 768-784 (2019). MSC: 49J55 49M30 37B15 PDF BibTeX XML Cite \textit{A. Kuznetsov} et al., J. Optim. Theory Appl. 182, No. 2, 768--784 (2019; Zbl 1421.49018) Full Text: DOI
Barrieu, Pauline (ed.) Risk and stochastics. Ragnar Norberg. With an autobiography by Ragnar Norberg. (English) Zbl 1453.91004 Hackensack, NJ: World Scientific (ISBN 978-1-78634-194-5/hbk; 978-1-78634-196-9/ebook). cxxxvii, 180 p. (2019). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91-06 60-06 91G05 91G45 91G70 62P05 60H10 60J70 60G40 00B15 00B30 PDF BibTeX XML Cite \textit{P. Barrieu} (ed.), Risk and stochastics. Ragnar Norberg. With an autobiography by Ragnar Norberg. Hackensack, NJ: World Scientific (2019; Zbl 1453.91004) Full Text: DOI
Lisovskii, D. I. Bayesian sequential testing problem for a Brownian bridge. (English. Russian original) Zbl 1442.62183 Theory Probab. Appl. 63, No. 4, 556-579 (2019); translation from Teor. Veroyatn. Primen. 63, No. 4, 683-712 (2018). MSC: 62L10 62L15 62F03 60G40 PDF BibTeX XML Cite \textit{D. I. Lisovskii}, Theory Probab. Appl. 63, No. 4, 556--579 (2019; Zbl 1442.62183); translation from Teor. Veroyatn. Primen. 63, No. 4, 683--712 (2018) Full Text: DOI
Güneysu, Batu On the semimartingale property of Brownian bridges on complete manifolds. (English) Zbl 1407.82051 ALEA, Lat. Am. J. Probab. Math. Stat. 16, No. 1, 15-31 (2019). MSC: 82C44 60K35 60G70 PDF BibTeX XML Cite \textit{B. Güneysu}, ALEA, Lat. Am. J. Probab. Math. Stat. 16, No. 1, 15--31 (2019; Zbl 1407.82051) Full Text: Link
Akahori, Jiro; Song, Xiaoming; Wang, Tai-Ho Bridge representation and modal-path approximation. (English) Zbl 1403.60033 Stochastic Processes Appl. 129, No. 1, 174-204 (2019). MSC: 60G22 60G15 60H07 PDF BibTeX XML Cite \textit{J. Akahori} et al., Stochastic Processes Appl. 129, No. 1, 174--204 (2019; Zbl 1403.60033) Full Text: DOI arXiv
McGill, Paul On drifting Brownian motion made periodic. (English) Zbl 1454.60126 Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités XLIX. Cham: Springer. Lect. Notes Math. 2215, 363-373 (2018). MSC: 60J65 60H10 28C20 PDF BibTeX XML Cite \textit{P. McGill}, Lect. Notes Math. 2215, 363--373 (2018; Zbl 1454.60126) Full Text: DOI
Schäfer, Helge The cycle structure of random permutations without macroscopic cycles. (English) Zbl 1423.60003 Darmstadt: TU Darmstadt, Fachbereich Mathematik (Diss.). 124 p. (2018). MSC: 60-02 60B15 60C05 60F05 PDF BibTeX XML Cite \textit{H. Schäfer}, The cycle structure of random permutations without macroscopic cycles. Darmstadt: TU Darmstadt, Fachbereich Mathematik (Diss.) (2018; Zbl 1423.60003) Full Text: Link
Alvarez-Andrade, Sergio; Bouzebda, Salim; Lachal, Aimé Strong approximations for the \(p\)-fold integrated empirical process with applications to statistical tests. (English) Zbl 1420.62218 Test 27, No. 4, 826-849 (2018). MSC: 62G30 62G20 60F17 62F03 62F12 60F15 PDF BibTeX XML Cite \textit{S. Alvarez-Andrade} et al., Test 27, No. 4, 826--849 (2018; Zbl 1420.62218) Full Text: DOI
Oh, Haejune; Lee, Sangyeol On score vector- and residual-based CUSUM tests in ARMA-GARCH models. (English) Zbl 1427.62104 Stat. Methods Appl. 27, No. 3, 385-406 (2018). MSC: 62M10 62L10 60J65 PDF BibTeX XML Cite \textit{H. Oh} and \textit{S. Lee}, Stat. Methods Appl. 27, No. 3, 385--406 (2018; Zbl 1427.62104) Full Text: DOI
Grothaus, Martin; Vosshall, Robert Integration by parts on the law of the modulus of the Brownian bridge. (English) Zbl 1426.60063 Stoch. Partial Differ. Equ., Anal. Comput. 6, No. 3, 335-363 (2018). MSC: 60H07 60H40 46F25 31C25 PDF BibTeX XML Cite \textit{M. Grothaus} and \textit{R. Vosshall}, Stoch. Partial Differ. Equ., Anal. Comput. 6, No. 3, 335--363 (2018; Zbl 1426.60063) Full Text: DOI
Sun, Xiaoxia Fractional Brownian bridge measures and their integration by parts formula. (English) Zbl 1424.60055 J. Math. Res. Appl. 38, No. 4, 418-426 (2018). MSC: 60G22 60G57 60H30 PDF BibTeX XML Cite \textit{X. Sun}, J. Math. Res. Appl. 38, No. 4, 418--426 (2018; Zbl 1424.60055) Full Text: DOI
Dong, Yanqi; Huang, Rong; Liu, Yongping Average error of optimal quadrature formulae on the integral Brownian bridge measure. (Chinese. English summary) Zbl 1424.41053 J. Beijing Norm. Univ., Nat. Sci. 54, No. 5, 567-571 (2018). MSC: 41A55 65D30 PDF BibTeX XML Cite \textit{Y. Dong} et al., J. Beijing Norm. Univ., Nat. Sci. 54, No. 5, 567--571 (2018; Zbl 1424.41053) Full Text: DOI
Flores, S.; Govindan, T. E. An alternative to Itô’s formula to solve linear financial stochastic differential equations. (English) Zbl 1414.60041 Dyn. Contin. Discrete Impuls. Syst., Ser. A, Math. Anal. 25, No. 6, 419-434 (2018). MSC: 60H10 PDF BibTeX XML Cite \textit{S. Flores} and \textit{T. E. Govindan}, Dyn. Contin. Discrete Impuls. Syst., Ser. A, Math. Anal. 25, No. 6, 419--434 (2018; Zbl 1414.60041) Full Text: Link
Alabert, Aureli; Caballero, Ricard On the minimum of a conditioned Brownian bridge. (English) Zbl 1416.90036 Stoch. Models 34, No. 3, 269-291 (2018). MSC: 90C26 60J65 65C05 PDF BibTeX XML Cite \textit{A. Alabert} and \textit{R. Caballero}, Stoch. Models 34, No. 3, 269--291 (2018; Zbl 1416.90036) Full Text: DOI arXiv
Thompson, James Brownian bridges to submanifolds. (English) Zbl 1406.58021 Potential Anal. 49, No. 4, 555-581 (2018). Reviewer: René L. Schilling (Dresden) MSC: 58J65 53B21 60J55 PDF BibTeX XML Cite \textit{J. Thompson}, Potential Anal. 49, No. 4, 555--581 (2018; Zbl 1406.58021) Full Text: DOI arXiv
Kuang, Nenghui; Liu, Bingquan Least squares estimator for \(\alpha\)-sub-fractional bridges. (English) Zbl 1401.62132 Stat. Pap. 59, No. 3, 893-912 (2018). MSC: 62M05 62F12 60G22 60H05 PDF BibTeX XML Cite \textit{N. Kuang} and \textit{B. Liu}, Stat. Pap. 59, No. 3, 893--912 (2018; Zbl 1401.62132) Full Text: DOI
Gorin, Vadim; Shkolnikov, Mykhaylo Stochastic Airy semigroup through tridiagonal matrices. (English) Zbl 1430.60011 Ann. Probab. 46, No. 4, 2287-2344 (2018). MSC: 60B20 15B52 60H25 47D08 60J55 PDF BibTeX XML Cite \textit{V. Gorin} and \textit{M. Shkolnikov}, Ann. Probab. 46, No. 4, 2287--2344 (2018; Zbl 1430.60011) Full Text: DOI Euclid arXiv
Velilla, Santiago; Thu, Huong Nguyen A goodness-of-fit test for VARMA\((p, q)\) models. (English) Zbl 1392.62279 J. Stat. Plann. Inference 197, 126-140 (2018). MSC: 62M10 62G10 PDF BibTeX XML Cite \textit{S. Velilla} and \textit{H. N. Thu}, J. Stat. Plann. Inference 197, 126--140 (2018; Zbl 1392.62279) Full Text: DOI
Zhao, Shoujiang; Liu, Qiaojing; Chen, Ting On the large deviation principle for maximum likelihood estimator of \(\alpha\)-Brownian bridge. (English) Zbl 1391.60050 Stat. Probab. Lett. 138, 143-150 (2018). MSC: 60F10 62M05 PDF BibTeX XML Cite \textit{S. Zhao} et al., Stat. Probab. Lett. 138, 143--150 (2018; Zbl 1391.60050) Full Text: DOI
Alvarez-Andrade, Sergio; Bouzebda, Salim Almost sure central limit theorem for the hybrid process. (English) Zbl 1391.60040 Statistics 52, No. 3, 519-532 (2018). MSC: 60F05 60F15 PDF BibTeX XML Cite \textit{S. Alvarez-Andrade} and \textit{S. Bouzebda}, Statistics 52, No. 3, 519--532 (2018; Zbl 1391.60040) Full Text: DOI
Pagès, Gilles Numerical probability. An introduction with applications to finance. (English) Zbl 1418.91016 Universitext. Cham: Springer (ISBN 978-3-319-90274-6/pbk; 978-3-319-90276-0/ebook). xxi, 579 p. (2018). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91-02 91G60 65C05 91G20 62P05 60G40 65C10 60J65 60H30 PDF BibTeX XML Cite \textit{G. Pagès}, Numerical probability. An introduction with applications to finance. Cham: Springer (2018; Zbl 1418.91016) Full Text: DOI
Uchiyama, Kôhei The Brownian hitting distributions in space-time of bounded sets and the expected volume of the Wiener sausage for a Brownian bridge. (English) Zbl 1391.60204 Proc. Lond. Math. Soc. (3) 116, No. 3, 575-628 (2018). Reviewer: Oleg K. Zakusilo (Kyïv) MSC: 60J65 60J45 35K20 PDF BibTeX XML Cite \textit{K. Uchiyama}, Proc. Lond. Math. Soc. (3) 116, No. 3, 575--628 (2018; Zbl 1391.60204) Full Text: DOI
Ferger, Dietmar On the supremum of a Brownian bridge standardized by its maximizing point with applications to statistics. (English) Zbl 1428.60116 Stat. Probab. Lett. 134, 63-69 (2018). MSC: 60J65 60F17 62G10 PDF BibTeX XML Cite \textit{D. Ferger}, Stat. Probab. Lett. 134, 63--69 (2018; Zbl 1428.60116) Full Text: DOI
Gontscharuk, Veronika; Finner, Helmut On the asymptotics of a normal beta-transformed empirical process. (English) Zbl 1377.60045 J. Stat. Plann. Inference 193, 103-108 (2018). MSC: 60F15 62E20 62G30 PDF BibTeX XML Cite \textit{V. Gontscharuk} and \textit{H. Finner}, J. Stat. Plann. Inference 193, 103--108 (2018; Zbl 1377.60045) Full Text: DOI
Bedini, Matteo Ludovico; Buckdahn, Rainer; Engelbert, Hans-Jürgen On the compensator of the default process in an information-based model. (English) Zbl 1444.60034 Probab. Uncertain. Quant. Risk 2, Paper No. 10, 21 p. (2017). MSC: 60G44 91B24 PDF BibTeX XML Cite \textit{M. L. Bedini} et al., Probab. Uncertain. Quant. Risk 2, Paper No. 10, 21 p. (2017; Zbl 1444.60034) Full Text: DOI
Singham, Dashi I.; Atkinson, Michael P. Boundary crossing probabilities for the cumulative sample mean. (English) Zbl 1411.60048 Probab. Eng. Inf. Sci. 32, No. 2, 275-295 (2018). MSC: 60F17 60K10 62E20 62G15 PDF BibTeX XML Cite \textit{D. I. Singham} and \textit{M. P. Atkinson}, Probab. Eng. Inf. Sci. 32, No. 2, 275--295 (2017; Zbl 1411.60048) Full Text: DOI
Ishitani, Kensuke Computation of first-order greeks for barrier options using chain rules for Wiener path integrals. (English) Zbl 1419.91619 JSIAM Lett. 9, 13-16 (2017). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{K. Ishitani}, JSIAM Lett. 9, 13--16 (2017; Zbl 1419.91619) Full Text: DOI
Wang, Jing Conformal transforms and Doob’s \(h\)-processes on Heisenberg groups. (English) Zbl 1412.60121 Baudoin, Fabrice (ed.) et al., Stochastic analysis and related topics. A festschrift in honor of Rodrigo Bañuelos, Purdue University, West Lafayette, IN, USA, May 20–22, 2015. Cham: Birkhäuser. Prog. Probab. 72, 165-177 (2017). MSC: 60J65 30C20 35H20 35R03 PDF BibTeX XML Cite \textit{J. Wang}, Prog. Probab. 72, 165--177 (2017; Zbl 1412.60121) Full Text: DOI arXiv
Swanepoel, Jan W. H. A note on Brownian areas and arcsine laws. (English) Zbl 1397.60112 S. Afr. Stat. J. 51, No. 1, 127-138 (2017). MSC: 60J65 PDF BibTeX XML Cite \textit{J. W. H. Swanepoel}, S. Afr. Stat. J. 51, No. 1, 127--138 (2017; Zbl 1397.60112) Full Text: Link
Yanovich, Leonid; Khudyakov, Andrei Construction of approximate formulas for functionals of the Wiener and some other processes and also numerical examples. (English) Zbl 1388.60083 Nonlinear Phenom. Complex Syst., Minsk 20, No. 3, 258-266 (2017). MSC: 60G15 60G55 PDF BibTeX XML Cite \textit{L. Yanovich} and \textit{A. Khudyakov}, Nonlinear Phenom. Complex Syst., Minsk 20, No. 3, 258--266 (2017; Zbl 1388.60083) Full Text: Link
Ng, Pin; Wong, Wing-Keung; Xiao, Zhijie Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency. (English) Zbl 1403.62072 Eur. J. Oper. Res. 261, No. 2, 666-678 (2017). MSC: 62G10 60E15 62G08 62P05 91G10 PDF BibTeX XML Cite \textit{P. Ng} et al., Eur. J. Oper. Res. 261, No. 2, 666--678 (2017; Zbl 1403.62072) Full Text: DOI
Sinha, Kalyan B. Brownian bridge in quantum probability. (English) Zbl 1387.81252 Indian J. Pure Appl. Math. 48, No. 4, 551-560 (2017). MSC: 81S22 60J65 30H20 PDF BibTeX XML Cite \textit{K. B. Sinha}, Indian J. Pure Appl. Math. 48, No. 4, 551--560 (2017; Zbl 1387.81252) Full Text: DOI
Huang, Jingyu; Lê, Khoa; Nualart, David Large time asymptotics for the parabolic Anderson model driven by space and time correlated noise. (English) Zbl 1387.60064 Stoch. Partial Differ. Equ., Anal. Comput. 5, No. 4, 614-651 (2017). MSC: 60G15 60H07 60H15 60F10 65C30 PDF BibTeX XML Cite \textit{J. Huang} et al., Stoch. Partial Differ. Equ., Anal. Comput. 5, No. 4, 614--651 (2017; Zbl 1387.60064) Full Text: DOI
Yin, Gang; Bui, Trang Stochastic systems arising from Markov modulated empirical measures. (English) Zbl 1380.93242 J. Syst. Sci. Complex. 30, No. 5, 999-1011 (2017). MSC: 93E03 60J10 93C65 93A30 PDF BibTeX XML Cite \textit{G. Yin} and \textit{T. Bui}, J. Syst. Sci. Complex. 30, No. 5, 999--1011 (2017; Zbl 1380.93242) Full Text: DOI
Tang, Chuan-Fa; Wang, Dewei; Tebbs, Joshua M. Nonparametric goodness-of-fit tests for uniform stochastic ordering. (English) Zbl 1388.62134 Ann. Stat. 45, No. 6, 2565-2589 (2017). Reviewer: Oleksandr Kukush (Kyïv) MSC: 62G10 60E15 62F30 62P10 PDF BibTeX XML Cite \textit{C.-F. Tang} et al., Ann. Stat. 45, No. 6, 2565--2589 (2017; Zbl 1388.62134) Full Text: DOI Euclid
Chen, Xinxin; Miermont, Grégory Long Brownian bridges in hyperbolic spaces converge to Brownian trees. (English) Zbl 1386.60121 Electron. J. Probab. 22, Paper No. 58, 15 p. (2017). MSC: 60F17 58J65 PDF BibTeX XML Cite \textit{X. Chen} and \textit{G. Miermont}, Electron. J. Probab. 22, Paper No. 58, 15 p. (2017; Zbl 1386.60121) Full Text: DOI Euclid
Katchekpele, Edoh; Gneyou, Kossi Essona; Diongue, Abdou Kâ On change-point detection in volatile series using GARCH models. (English. French summary) Zbl 1373.62428 Afr. Stat. 12, No. 2, 1333-1346 (2017). MSC: 62M02 62L10 62M10 62F03 62F05 62P05 PDF BibTeX XML Cite \textit{E. Katchekpele} et al., Afr. Stat. 12, No. 2, 1333--1346 (2017; Zbl 1373.62428) Full Text: DOI Euclid
Zhao, Shoujiang; Chen, Ting Large deviation expansion for maximum-likelihood estimator of \(\alpha\)-Brownian bridge. (English) Zbl 1376.62048 Commun. Stat., Theory Methods 46, No. 15, 7313-7326 (2017). MSC: 62M05 60F10 60J65 PDF BibTeX XML Cite \textit{S. Zhao} and \textit{T. Chen}, Commun. Stat., Theory Methods 46, No. 15, 7313--7326 (2017; Zbl 1376.62048) Full Text: DOI
Cárcamo, Javier Integrated empirical processes in \(L^{p}\) with applications to estimate probability metrics. (English) Zbl 1407.60045 Bernoulli 23, No. 4B, 3412-3436 (2017). MSC: 60F25 60B10 60F17 PDF BibTeX XML Cite \textit{J. Cárcamo}, Bernoulli 23, No. 4B, 3412--3436 (2017; Zbl 1407.60045) Full Text: DOI Euclid
Huang, Jingyu; Lê, Khoa; Nualart, David Large time asymptotics for the parabolic Anderson model driven by spatially correlated noise. (English. French summary) Zbl 1372.60092 Ann. Inst. Henri Poincaré, Probab. Stat. 53, No. 3, 1305-1340 (2017). MSC: 60H15 60G15 60H07 60F10 PDF BibTeX XML Cite \textit{J. Huang} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 53, No. 3, 1305--1340 (2017; Zbl 1372.60092) Full Text: DOI
Alvarez-Andrade, Sergio; Bouzebda, Salim; Lachal, Aimé Some asymptotic results for the integrated empirical process with applications to statistical tests. (English) Zbl 1368.62121 Commun. Stat., Theory Methods 46, No. 7, 3365-3392 (2017). MSC: 62G30 62G10 62G20 60F17 62F03 62F12 60F15 PDF BibTeX XML Cite \textit{S. Alvarez-Andrade} et al., Commun. Stat., Theory Methods 46, No. 7, 3365--3392 (2017; Zbl 1368.62121) Full Text: DOI
Mojirsheibani, Majid; Pouliot, William Weighted bootstrapped kernel density estimators in two-sample problems. (English) Zbl 1364.62085 J. Nonparametric Stat. 29, No. 1, 61-84 (2017). MSC: 62G07 62G08 62G09 PDF BibTeX XML Cite \textit{M. Mojirsheibani} and \textit{W. Pouliot}, J. Nonparametric Stat. 29, No. 1, 61--84 (2017; Zbl 1364.62085) Full Text: DOI
Godrèche, Claude Longest interval between zeros of the tied-down random walk, the Brownian bridge and related renewal processes. (English) Zbl 1371.60075 J. Phys. A, Math. Theor. 50, No. 19, Article ID 195003, 28 p. (2017). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G50 60K05 60J65 60G18 60G52 60G70 PDF BibTeX XML Cite \textit{C. Godrèche}, J. Phys. A, Math. Theor. 50, No. 19, Article ID 195003, 28 p. (2017; Zbl 1371.60075) Full Text: DOI arXiv
Kim, Jaehee; Lee, Geung-Hee Local Fourier tests for structural change based on residuals. (English) Zbl 1360.62130 Commun. Stat., Theory Methods 46, No. 1, 133-147 (2017). MSC: 62G05 62G20 62E17 62P05 62P20 91B72 91G70 PDF BibTeX XML Cite \textit{J. Kim} and \textit{G.-H. Lee}, Commun. Stat., Theory Methods 46, No. 1, 133--147 (2017; Zbl 1360.62130) Full Text: DOI
Covo, Shai; Elalouf, Amir A new stochastic model and its diffusion approximation. (English) Zbl 1380.60085 Braz. J. Probab. Stat. 31, No. 1, 62-86 (2017). MSC: 60K25 90B22 60F17 68M20 PDF BibTeX XML Cite \textit{S. Covo} and \textit{A. Elalouf}, Braz. J. Probab. Stat. 31, No. 1, 62--86 (2017; Zbl 1380.60085) Full Text: DOI Euclid
Van Nieuland, Steffie; Baetens, Jan M.; De Meyer, Hans; De Baets, Bernard An analytical description of the time-integrated Brownian bridge. (English) Zbl 1362.92092 Comput. Appl. Math. 36, No. 1, 627-645 (2017). MSC: 92D50 60J65 PDF BibTeX XML Cite \textit{S. Van Nieuland} et al., Comput. Appl. Math. 36, No. 1, 627--645 (2017; Zbl 1362.92092) Full Text: DOI
Bedini, Matteo L.; Buckdahn, Rainer; Engelbert, Hans-Jürgen Brownian bridges on random intervals. (English. Russian original) Zbl 1358.91105 Theory Probab. Appl. 61, No. 1, 15-39 (2017); translation from Teor. Veroyatn. Primen. 61, No. 1, 129-157 (2016). MSC: 91G40 60J65 60H30 PDF BibTeX XML Cite \textit{M. L. Bedini} et al., Theory Probab. Appl. 61, No. 1, 15--39 (2017; Zbl 1358.91105); translation from Teor. Veroyatn. Primen. 61, No. 1, 129--157 (2016) Full Text: DOI
Bedini, Matteo L.; Hinz, Michael Credit default prediction and parabolic potential theory. (English) Zbl 06689780 Stat. Probab. Lett. 124, 121-125 (2017). MSC: 91G40 PDF BibTeX XML Cite \textit{M. L. Bedini} and \textit{M. Hinz}, Stat. Probab. Lett. 124, 121--125 (2017; Zbl 06689780) Full Text: DOI arXiv
Xiang, Jim X. Sample size determination of a nonparametric test based on weighted \(L_2\)-Wasserstein distance. (English) Zbl 1360.62229 Stat. Probab. Lett. 123, 160-164 (2017). MSC: 62G10 62G20 PDF BibTeX XML Cite \textit{J. X. Xiang}, Stat. Probab. Lett. 123, 160--164 (2017; Zbl 1360.62229) Full Text: DOI
Liu, Peng; Ji, Lanpeng Extremes of locally stationary chi-square processes with trend. (English) Zbl 1354.60057 Stochastic Processes Appl. 127, No. 2, 497-525 (2017). MSC: 60G70 60J65 60J60 60G22 60G15 60G10 PDF BibTeX XML Cite \textit{P. Liu} and \textit{L. Ji}, Stochastic Processes Appl. 127, No. 2, 497--525 (2017; Zbl 1354.60057) Full Text: DOI arXiv
Vossoughi, Mehrdad; Ayatollahi, S. M. T.; Towhidi, Mina; Heydari, Seyyed Taghi A distribution-free test of parallelism for two-sample repeated measurements. (English) Zbl 07037196 Stat. Methodol. 30, 31-44 (2016). MSC: 62 PDF BibTeX XML Cite \textit{M. Vossoughi} et al., Stat. Methodol. 30, 31--44 (2016; Zbl 07037196) Full Text: DOI
Wang, Jiangyan; Wang, Suojin; Yang, Lijian Simultaneous confidence bands for the distribution function of a finite population and of its superpopulation. (English) Zbl 1391.62077 Test 25, No. 4, 692-709 (2016). MSC: 62G15 62G08 62D05 62G05 62G20 PDF BibTeX XML Cite \textit{J. Wang} et al., Test 25, No. 4, 692--709 (2016; Zbl 1391.62077) Full Text: DOI
Barczy, Mátyás; Kern, Peter A link between Bougerol’s identity and a formula due to Donati-Martin, Matsumoto and Yor. (English) Zbl 1367.60034 Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités XLVIII. Cham: Springer (ISBN 978-3-319-44464-2/pbk; 978-3-319-44465-9/ebook). Lecture Notes in Mathematics 2168. Séminaire de Probabilités, 179-188 (2016). MSC: 60G15 60J65 PDF BibTeX XML Cite \textit{M. Barczy} and \textit{P. Kern}, Lect. Notes Math. 2168, 179--188 (2016; Zbl 1367.60034) Full Text: DOI arXiv
Dani, S.; Kandouci, A. Conditional full support for the Brownian bridge. (English) Zbl 1360.91134 J. Numer. Math. Stoch. 8, No. 1, 88-98 (2016). MSC: 91G10 60H30 PDF BibTeX XML Cite \textit{S. Dani} and \textit{A. Kandouci}, J. Numer. Math. Stoch. 8, No. 1, 88--98 (2016; Zbl 1360.91134) Full Text: Link
Lisovskii, D. I. Bayesian disorder problem for the Brownian bridge. (English. Russian original) Zbl 1360.62434 Russ. Math. Surv. 71, No. 5, 967-969 (2016); translation from Usp. Mat. Nauk 71, No. 5, 177-178 (2016). Reviewer: Vjacheslav Vasiliev (Tomsk) MSC: 62L10 62C10 62L15 60J60 PDF BibTeX XML Cite \textit{D. I. Lisovskii}, Russ. Math. Surv. 71, No. 5, 967--969 (2016; Zbl 1360.62434); translation from Usp. Mat. Nauk 71, No. 5, 177--178 (2016) Full Text: DOI
Guan, Mei; Yin, Xiuwei Parameter estimation for \(\alpha\)-weighted fractional bridge with discrete observations. (English) Zbl 1363.60058 J. Math., Wuhan Univ. 36, No. 1, 87-99 (2016). MSC: 60G22 62F12 PDF BibTeX XML Cite \textit{M. Guan} and \textit{X. Yin}, J. Math., Wuhan Univ. 36, No. 1, 87--99 (2016; Zbl 1363.60058)
Pap, Gyula; Szabó, Tamás T. Change detection in the Cox-Ingersoll-Ross model. (English) Zbl 1347.62181 Stat. Risk. Model. 33, No. 1-2, 21-40 (2016). MSC: 62M02 60J80 60F17 91B70 PDF BibTeX XML Cite \textit{G. Pap} and \textit{T. T. Szabó}, Stat. Risk. Model. 33, No. 1--2, 21--40 (2016; Zbl 1347.62181) Full Text: DOI arXiv
Račkauskas, Alfredas; Suquet, Charles Computing the distribution of sequential Hölder norms of the Brownian motion. (English) Zbl 1346.62024 Commun. Stat., Theory Methods 45, No. 15, 4378-4391 (2016). MSC: 62E20 62G10 60F17 PDF BibTeX XML Cite \textit{A. Račkauskas} and \textit{C. Suquet}, Commun. Stat., Theory Methods 45, No. 15, 4378--4391 (2016; Zbl 1346.62024) Full Text: DOI
Woo, Sook-young; Kim, Seonwoo; Kim, Jinheum Determining cutoff values of prognostic factors in survival data with competing risks. (English) Zbl 1342.65069 Comput. Stat. 31, No. 1, 369-386 (2016). MSC: 65C60 62P10 PDF BibTeX XML Cite \textit{S.-y. Woo} et al., Comput. Stat. 31, No. 1, 369--386 (2016; Zbl 1342.65069) Full Text: DOI
Grebenkov, Denis S.; Belyaev, Dmitry; Jones, Peter W. A multiscale guide to Brownian motion. (English) Zbl 1344.65016 J. Phys. A, Math. Theor. 49, No. 4, Article ID 043001, 31 p. (2016). MSC: 65C50 65T60 60J65 60G15 28A80 PDF BibTeX XML Cite \textit{D. S. Grebenkov} et al., J. Phys. A, Math. Theor. 49, No. 4, Article ID 043001, 31 p. (2016; Zbl 1344.65016) Full Text: DOI
Lee, Sangyeol; Lee, Youngmi; Chen, Cathy W. S. Parameter change test for zero-inflated generalized Poisson autoregressive models. (English) Zbl 1359.62376 Statistics 50, No. 3, 540-557 (2016). MSC: 62M10 62F03 62F12 60G22 62E20 PDF BibTeX XML Cite \textit{S. Lee} et al., Statistics 50, No. 3, 540--557 (2016; Zbl 1359.62376) Full Text: DOI
Niu, Mu; Blackwell, Paul G.; Skarin, Anna Modeling interdependent animal movement in continuous time. (English) Zbl 1419.62418 Biometrics 72, No. 2, 315-324 (2016). MSC: 62P10 60J70 62F15 92D50 PDF BibTeX XML Cite \textit{M. Niu} et al., Biometrics 72, No. 2, 315--324 (2016; Zbl 1419.62418) Full Text: DOI
Cartea, Álvaro; Jaimungal, Sebastian; Kinzebulatov, Damir Algorithmic trading with learning. (English) Zbl 1396.91720 Int. J. Theor. Appl. Finance 19, No. 4, Article ID 1650028, 30 p. (2016). MSC: 91G20 93E20 PDF BibTeX XML Cite \textit{Á. Cartea} et al., Int. J. Theor. Appl. Finance 19, No. 4, Article ID 1650028, 30 p. (2016; Zbl 1396.91720) Full Text: DOI
Fan, Chenxi; Wu, Qingbiao An iterative algorithm to determine the number of time steps in path generation methods. (English) Zbl 1338.65005 Math. Methods Appl. Sci. 39, No. 9, 2182-2192 (2016). MSC: 65C05 65D30 91G60 PDF BibTeX XML Cite \textit{C. Fan} and \textit{Q. Wu}, Math. Methods Appl. Sci. 39, No. 9, 2182--2192 (2016; Zbl 1338.65005) Full Text: DOI
Lee, Sangyeol; Oh, Haejune Parameter change test for autoregressive conditional duration models. (English) Zbl 1359.62351 Ann. Inst. Stat. Math. 68, No. 3, 621-637 (2016). MSC: 62M07 60F17 62F12 PDF BibTeX XML Cite \textit{S. Lee} and \textit{H. Oh}, Ann. Inst. Stat. Math. 68, No. 3, 621--637 (2016; Zbl 1359.62351) Full Text: DOI
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Ji, Lanpeng Extremes of a class of nonhomogeneous Gaussian random fields. (English) Zbl 1341.60044 Ann. Probab. 44, No. 2, 984-1012 (2016). Reviewer: Wiesław Dziubdziela (Miedziana Gora) MSC: 60G70 60G60 60G15 60G10 60G22 60J65 PDF BibTeX XML Cite \textit{K. Dȩbicki} et al., Ann. Probab. 44, No. 2, 984--1012 (2016; Zbl 1341.60044) Full Text: DOI Euclid arXiv
Gobet, Emmanuel Monte-Carlo methods and stochastic processes. From linear to non-linear. (English) Zbl 1359.65012 Boca Raton, FL: CRC Press (ISBN 978-1-4987-4622-9/hbk; 978-1-315-36875-7/ebook). xxv, 309 p. (2016). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 65C30 65C35 82C80 65C60 65C10 65C05 65-02 65C50 90C15 90C27 60H15 35R60 60F05 60H35 60H10 34F05 62J02 62F25 PDF BibTeX XML Cite \textit{E. Gobet}, Monte-Carlo methods and stochastic processes. From linear to non-linear. Boca Raton, FL: CRC Press (2016; Zbl 1359.65012)
Huang, Chunfeng; Zhang, Haimeng; Robeson, Scott M. Intrinsic random functions and universal kriging on the circle. (English) Zbl 1328.60095 Stat. Probab. Lett. 108, 33-39 (2016). MSC: 60G07 46N30 PDF BibTeX XML Cite \textit{C. Huang} et al., Stat. Probab. Lett. 108, 33--39 (2016; Zbl 1328.60095) Full Text: DOI
Wang, Hengxu; O’Hara, John G.; Constantinou, Nick A path-independent approach to integrated variance under the CEV model. (English) Zbl 07313334 Math. Comput. Simul. 109, 130-152 (2015). MSC: 91 62 PDF BibTeX XML Cite \textit{H. Wang} et al., Math. Comput. Simul. 109, 130--152 (2015; Zbl 07313334) Full Text: DOI
Mehrdoust, Farshid A new hybrid Monte Carlo simulation for Asian options pricing. (English) Zbl 1458.91228 J. Stat. Comput. Simulation 85, No. 3, 507-516 (2015). MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{F. Mehrdoust}, J. Stat. Comput. Simulation 85, No. 3, 507--516 (2015; Zbl 1458.91228) Full Text: DOI
Kartashov, Andrey Sergeevich; Sakhanenko, Alexander Ivanovich About conditions of Gaussian approximation of kernel estimates for distribution density. (Russian. English summary) Zbl 1343.62017 Sib. Èlektron. Mat. Izv. 12, 766-776 (2015). MSC: 62G07 PDF BibTeX XML Cite \textit{A. S. Kartashov} and \textit{A. I. Sakhanenko}, Sib. Èlektron. Mat. Izv. 12, 766--776 (2015; Zbl 1343.62017) Full Text: DOI
Chen, Robert W.; Grigorescu, Ilie; Kang, Min Optimal stopping for Shepp’s urn with risk aversion. (English) Zbl 1337.60070 Stochastics 87, No. 4, 702-722 (2015). MSC: 60G40 60C05 60J65 91A60 93E20 PDF BibTeX XML Cite \textit{R. W. Chen} et al., Stochastics 87, No. 4, 702--722 (2015; Zbl 1337.60070) Full Text: DOI
Mijatović, Aleksandar; Pistorius, Martijn R.; Stolte, Johannes Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications. (English) Zbl 1334.65008 J. Appl. Probab. 52, No. 4, 1076-1096 (2015). MSC: 65C05 91G60 60G51 60J60 60J65 65C50 PDF BibTeX XML Cite \textit{A. Mijatović} et al., J. Appl. Probab. 52, No. 4, 1076--1096 (2015; Zbl 1334.65008) Full Text: DOI Euclid
Lévy, Thierry; Maïda, Mylène On the Douglas-Kazakov phase transition. Weighted potential theory under constraint for probabilists. (English. French summary) Zbl 1336.60153 ESAIM, Proc. Surv. 51, 89-121 (2015). MSC: 60K40 81T13 82B26 60A10 60B15 60B20 PDF BibTeX XML Cite \textit{T. Lévy} and \textit{M. Maïda}, ESAIM, Proc. Surv. 51, 89--121 (2015; Zbl 1336.60153) Full Text: DOI
Rosenbaum, Mathieu; Yor, Marc Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling. (English) Zbl 1333.60181 ESAIM, Probab. Stat. 19, 578-589 (2015). MSC: 60J65 60J60 60G40 60J55 PDF BibTeX XML Cite \textit{M. Rosenbaum} and \textit{M. Yor}, ESAIM, Probab. Stat. 19, 578--589 (2015; Zbl 1333.60181) Full Text: DOI
Baurdoux, Erik J.; Chen, Nan; Surya, Budhi A.; Yamazaki, Kazutoshi Optimal double stopping of a Brownian bridge. (English) Zbl 1333.60080 Adv. Appl. Probab. 47, No. 4, 1212-1234 (2015). MSC: 60G40 60J65 60H30 PDF BibTeX XML Cite \textit{E. J. Baurdoux} et al., Adv. Appl. Probab. 47, No. 4, 1212--1234 (2015; Zbl 1333.60080) Full Text: DOI Euclid arXiv