Lefebvre, Mario; Moutassim, Abderrazak Exact solutions to the homing problem for a Wiener process with jumps. (English) Zbl 07313468 Optimization 70, No. 2, 307-319 (2021). MSC: 93E20 60J70 93C15 PDF BibTeX XML Cite \textit{M. Lefebvre} and \textit{A. Moutassim}, Optimization 70, No. 2, 307--319 (2021; Zbl 07313468) Full Text: DOI
Favero, Martina; Hult, Henrik; Koski, Timo A dual process for the coupled Wright-Fisher diffusion. (English) Zbl 07303131 J. Math. Biol. 82, No. 1-2, Paper No. 6, 29 p. (2021). MSC: 60J70 92D25 60J60 92D10 PDF BibTeX XML Cite \textit{M. Favero} et al., J. Math. Biol. 82, No. 1--2, Paper No. 6, 29 p. (2021; Zbl 07303131) Full Text: DOI
Xu, Fen; Yao, Dacheng; Zhang, Hanqin Impulse control with discontinuous setup costs: discounted cost criterion. (English) Zbl 07299446 SIAM J. Control Optim. 59, No. 1, 267-295 (2021). MSC: 90B05 93E20 60J70 49N25 PDF BibTeX XML Cite \textit{F. Xu} et al., SIAM J. Control Optim. 59, No. 1, 267--295 (2021; Zbl 07299446) Full Text: DOI
Yang, Zhanwen; Yang, Huizi; Yao, Zichen Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions. (English) Zbl 1451.60079 J. Comput. Appl. Math. 383, Article ID 113156, 10 p. (2021). MSC: 60H35 91B70 PDF BibTeX XML Cite \textit{Z. Yang} et al., J. Comput. Appl. Math. 383, Article ID 113156, 10 p. (2021; Zbl 1451.60079) Full Text: DOI
Sabino, Piergiacomo Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives. (English) Zbl 07307493 Appl. Math. Finance 27, No. 3, 207-227 (2020). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{P. Sabino}, Appl. Math. Finance 27, No. 3, 207--227 (2020; Zbl 07307493) Full Text: DOI
Zhao, Yu; Zhai, Changsheng Stationary distribution and ergodicity of a stochastic single-species model under regime switching in a polluted environment. (English) Zbl 07305623 Int. J. Comput. Sci. Math. 11, No. 1, 81-92 (2020). MSC: 92D25 60J70 62P12 PDF BibTeX XML Cite \textit{Y. Zhao} and \textit{C. Zhai}, Int. J. Comput. Sci. Math. 11, No. 1, 81--92 (2020; Zbl 07305623) Full Text: DOI
Zeddouk, Fadoua; Devolder, Pierre Mean reversion in stochastic mortality: why and how? (English) Zbl 07299074 Eur. Actuar. J. 10, No. 2, 499-525 (2020). MSC: 91G05 60J70 PDF BibTeX XML Cite \textit{F. Zeddouk} and \textit{P. Devolder}, Eur. Actuar. J. 10, No. 2, 499--525 (2020; Zbl 07299074) Full Text: DOI
Wei, Zhu’e; He, Jiawen Valuation on quanto chooser option in a stochastic volatility model with jump risks. (English) Zbl 07296048 Math. Pract. Theory 50, No. 12, 94-101 (2020). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{Z. Wei} and \textit{J. He}, Math. Pract. Theory 50, No. 12, 94--101 (2020; Zbl 07296048)
Xi, Huan; Hu, Zhiming Pricing geometric average trigger reset option with predetermined levels based on double exponential jump-diffusion model with stochastic interest rate. (Chinese. English summary) Zbl 07296003 Math. Pract. Theory 50, No. 10, 21-32 (2020). MSC: 91G20 91G30 60J70 PDF BibTeX XML Cite \textit{H. Xi} and \textit{Z. Hu}, Math. Pract. Theory 50, No. 10, 21--32 (2020; Zbl 07296003)
Chen, Guo; Liang, Xue Pricing of endowment insurance products under the mortality dependence model. (Chinese. English summary) Zbl 07295769 J. Suzhou Univ. Sci. Technol., Nat. Sci. 37, No. 2, 32-37 (2020). MSC: 91G05 91D20 60J70 PDF BibTeX XML Cite \textit{G. Chen} and \textit{X. Liang}, J. Suzhou Univ. Sci. Technol., Nat. Sci. 37, No. 2, 32--37 (2020; Zbl 07295769) Full Text: DOI
Ellis, John R.; Petrovskaya, Natalia B. A computational study of density-dependent individual movement and the formation of population clusters in two-dimensional spatial domains. (English) Zbl 07294136 J. Theor. Biol. 505, Article ID 110421, 23 p. (2020). MSC: 92D50 60J70 PDF BibTeX XML Cite \textit{J. R. Ellis} and \textit{N. B. Petrovskaya}, J. Theor. Biol. 505, Article ID 110421, 23 p. (2020; Zbl 07294136) Full Text: DOI
Aghajani, Reza; Ramanan, Kavita The limit of stationary distributions of many-server queues in the Halfin-Whitt regime. (English) Zbl 1451.90043 Math. Oper. Res. 45, No. 3, 1016-1055 (2020). MSC: 90B22 60K25 60J70 90B15 68M20 PDF BibTeX XML Cite \textit{R. Aghajani} and \textit{K. Ramanan}, Math. Oper. Res. 45, No. 3, 1016--1055 (2020; Zbl 1451.90043) Full Text: DOI
Budhiraja, Amarjit; Johnson, Dane Control policies approaching hierarchical greedy ideal performance in heavy traffic for resource sharing networks. (English) Zbl 1451.90073 Math. Oper. Res. 45, No. 3, 797-832 (2020). MSC: 90B36 60K25 68M20 60J70 PDF BibTeX XML Cite \textit{A. Budhiraja} and \textit{D. Johnson}, Math. Oper. Res. 45, No. 3, 797--832 (2020; Zbl 1451.90073) Full Text: DOI
Nica, Mihai; Quastel, Jeremy; Remenik, Daniel One-sided reflected Brownian motions and the KPZ fixed point. (English) Zbl 07289297 Forum Math. Sigma 8, Paper No. e63, 16 p. (2020). MSC: 60K35 82C22 PDF BibTeX XML Cite \textit{M. Nica} et al., Forum Math. Sigma 8, Paper No. e63, 16 p. (2020; Zbl 07289297) Full Text: DOI
Ji, Lanpeng On the cumulative parisian ruin of multi-dimensional Brownian motion risk models. (English) Zbl 07286472 Scand. Actuar. J. 2020, No. 9, 819-842 (2020). MSC: 91G05 60J70 PDF BibTeX XML Cite \textit{L. Ji}, Scand. Actuar. J. 2020, No. 9, 819--842 (2020; Zbl 07286472) Full Text: DOI
Jasnovidov, Grigori Approximation of ruin probability and ruin time in discrete Brownian risk models. (English) Zbl 07286466 Scand. Actuar. J. 2020, No. 8, 718-735 (2020). MSC: 91G05 60J70 PDF BibTeX XML Cite \textit{G. Jasnovidov}, Scand. Actuar. J. 2020, No. 8, 718--735 (2020; Zbl 07286466) Full Text: DOI
Eisenberg, Julia; Mishura, Yuliya Optimising dividends and consumption under an exponential CIR as a discount factor. (English) Zbl 07285840 Math. Methods Oper. Res. 92, No. 2, 285-309 (2020). MSC: 91G05 91B42 93E20 60J70 PDF BibTeX XML Cite \textit{J. Eisenberg} and \textit{Y. Mishura}, Math. Methods Oper. Res. 92, No. 2, 285--309 (2020; Zbl 07285840) Full Text: DOI
Christensen, Troels Sønderby; Benth, Fred Espen Modelling the joint behaviour of electricity prices in interconnected markets. (English) Zbl 07282787 Quant. Finance 20, No. 9, 1441-1456 (2020). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{T. S. Christensen} and \textit{F. E. Benth}, Quant. Finance 20, No. 9, 1441--1456 (2020; Zbl 07282787) Full Text: DOI
Wu, Lan; Zang, Xin; Zhao, Hongxin Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process. (English) Zbl 07282778 Quant. Finance 20, No. 8, 1285-1306 (2020). MSC: 91G15 60J70 60G51 PDF BibTeX XML Cite \textit{L. Wu} et al., Quant. Finance 20, No. 8, 1285--1306 (2020; Zbl 07282778) Full Text: DOI
Sabino, Piergiacomo Forward or backward simulation? A comparative study. (English) Zbl 07282773 Quant. Finance 20, No. 7, 1213-1226 (2020). Reviewer: George Stoica (Saint John) MSC: 91G20 60G40 60G51 60G55 60J70 PDF BibTeX XML Cite \textit{P. Sabino}, Quant. Finance 20, No. 7, 1213--1226 (2020; Zbl 07282773) Full Text: DOI
Zhang, Yuxin; Brockett, Patrick Modeling stochastic mortality for joint lives through subordinators. (English) Zbl 1452.91285 Insur. Math. Econ. 95, 166-172 (2020). MSC: 91G05 91D20 60J70 PDF BibTeX XML Cite \textit{Y. Zhang} and \textit{P. Brockett}, Insur. Math. Econ. 95, 166--172 (2020; Zbl 1452.91285) Full Text: DOI
Ocejo, Adriana Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion. (English) Zbl 1452.91312 Results Appl. Math. 5, Article ID 100087, 4 p. (2020). MSC: 91G20 45E05 60J70 PDF BibTeX XML Cite \textit{A. Ocejo}, Results Appl. Math. 5, Article ID 100087, 4 p. (2020; Zbl 1452.91312) Full Text: DOI
Calvia, Alessandro; Gianin, Emanuela Rosazza Risk measures and progressive enlargement of filtration: a BSDE approach. (English) Zbl 1452.91331 SIAM J. Financ. Math. 11, No. 3, 815-848 (2020). MSC: 91G70 60H30 60J70 PDF BibTeX XML Cite \textit{A. Calvia} and \textit{E. R. Gianin}, SIAM J. Financ. Math. 11, No. 3, 815--848 (2020; Zbl 1452.91331) Full Text: DOI
Abdellaoui, M. Correction to: “Perturbation effects for some nonlinear parabolic equations with lower order term and \(L^1\)-data”. (English) Zbl 07270576 J. Elliptic Parabol. Equ. 6, No. 2, 947 (2020). MSC: 35B35 35B45 65J15 60J70 32U20 PDF BibTeX XML Cite \textit{M. Abdellaoui}, J. Elliptic Parabol. Equ. 6, No. 2, 947 (2020; Zbl 07270576) Full Text: DOI
Abdellaoui, M. Perturbation effects for some nonlinear parabolic equations with lower order term and \(L^1\)-data. (English) Zbl 1451.35079 J. Elliptic Parabol. Equ. 6, No. 2, 599-631 (2020); correction ibid. 6, No. 2, 947 (2020). MSC: 35K92 35K20 35B35 35B45 65J15 60J70 32U20 PDF BibTeX XML Cite \textit{M. Abdellaoui}, J. Elliptic Parabol. Equ. 6, No. 2, 599--631 (2020; Zbl 1451.35079) Full Text: DOI
Hess, Markus A pure-jump mean-reverting short rate model. (English) Zbl 1452.91318 Mod. Stoch., Theory Appl. 7, No. 2, 113-134 (2020). MSC: 91G30 91G20 60G51 60J70 PDF BibTeX XML Cite \textit{M. Hess}, Mod. Stoch., Theory Appl. 7, No. 2, 113--134 (2020; Zbl 1452.91318) Full Text: DOI
Bandt, Christoph Order patterns, their variation and change points in financial time series and Brownian motion. (English) Zbl 1452.62617 Stat. Pap. 61, No. 4, 1565-1588 (2020). MSC: 62M10 91B84 62G10 60G18 60J70 62P05 PDF BibTeX XML Cite \textit{C. Bandt}, Stat. Pap. 61, No. 4, 1565--1588 (2020; Zbl 1452.62617) Full Text: DOI
Wei, Zhu’e; He, Jiawen Pricing quanto reset options in a stochastic volatility model with jump risks. (Chinese. English summary) Zbl 07267364 Math. Pract. Theory 50, No. 3, 48-59 (2020). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{Z. Wei} and \textit{J. He}, Math. Pract. Theory 50, No. 3, 48--59 (2020; Zbl 07267364)
Huang, Qing; Ma, Shixia; Gong, Xiaoqin Optimization problem of excess-of-loss reinsurance and investment with delay and mispricing under the jump-diffusion model. (English) Zbl 07266906 J. Math., Wuhan Univ. 40, No. 2, 185-198 (2020). MSC: 91G05 34K50 91G80 60J70 PDF BibTeX XML Cite \textit{Q. Huang} et al., J. Math., Wuhan Univ. 40, No. 2, 185--198 (2020; Zbl 07266906) Full Text: DOI
Ditlevsen, Susanne; Cencerrado Rubio, Alejandro; Lansky, Petr Transient dynamics of Pearson diffusions facilitates estimation of rate parameters. (English) Zbl 07265069 Commun. Nonlinear Sci. Numer. Simul. 82, Article ID 105034, 15 p. (2020). MSC: 60J60 60J70 62F10 PDF BibTeX XML Cite \textit{S. Ditlevsen} et al., Commun. Nonlinear Sci. Numer. Simul. 82, Article ID 105034, 15 p. (2020; Zbl 07265069) Full Text: DOI
Wang, Lifu; Shen, Bo The collective behaviors of self-excitation information diffusion processes for a large number of individuals. (English) Zbl 1445.91046 Complexity 2020, Article ID 1861583, 14 p. (2020). MSC: 91D30 60J60 60J70 PDF BibTeX XML Cite \textit{L. Wang} and \textit{B. Shen}, Complexity 2020, Article ID 1861583, 14 p. (2020; Zbl 1445.91046) Full Text: DOI
FitzGerald, Will; Warren, Jon Point-to-line last passage percolation and the invariant measure of a system of reflecting Brownian motions. (English) Zbl 07250113 Probab. Theory Relat. Fields 178, No. 1-2, 121-171 (2020). MSC: 60J65 60B20 60K35 PDF BibTeX XML Cite \textit{W. FitzGerald} and \textit{J. Warren}, Probab. Theory Relat. Fields 178, No. 1--2, 121--171 (2020; Zbl 07250113) Full Text: DOI
Huillet, Thierry; Martinez, Servet Truncation in duality and intertwining kernels. (English) Zbl 07249106 Markov Process. Relat. Fields 26, No. 3, 423-445 (2020). MSC: 60J10 60J70 60J80 PDF BibTeX XML Cite \textit{T. Huillet} and \textit{S. Martinez}, Markov Process. Relat. Fields 26, No. 3, 423--445 (2020; Zbl 07249106) Full Text: Link
Girardin, Valerie; Senoussi, Rachid Filling the gap between continuous and discrete time dynamics of autoregressive processes. (English) Zbl 07248381 J. Time Ser. Anal. 41, No. 4, 590-602 (2020). MSC: 60G10 60J70 60J75 62M10 PDF BibTeX XML Cite \textit{V. Girardin} and \textit{R. Senoussi}, J. Time Ser. Anal. 41, No. 4, 590--602 (2020; Zbl 07248381) Full Text: DOI
Rosa, Wojciech Stochastic approximation procedure in semi-Markov environment applied to alcohol consumption model. (English) Zbl 1450.60019 Appl. Math. 47, No. 1, 45-57 (2020). MSC: 60F05 60J70 92C50 PDF BibTeX XML Cite \textit{W. Rosa}, Appl. Math. 47, No. 1, 45--57 (2020; Zbl 1450.60019) Full Text: DOI
Dorobantu, Diana; Salhi, Yahia; Thérond, Pierre-E. Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities. (English) Zbl 1447.91135 Methodol. Comput. Appl. Probab. 22, No. 2, 711-745 (2020). MSC: 91G05 62P05 60J70 PDF BibTeX XML Cite \textit{D. Dorobantu} et al., Methodol. Comput. Appl. Probab. 22, No. 2, 711--745 (2020; Zbl 1447.91135) Full Text: DOI
Claeys, Tom; Neuschel, Thorsten; Venker, Martin Critical behavior of non-intersecting Brownian motions. (English) Zbl 1446.82062 Commun. Math. Phys. 378, No. 2, 1501-1537 (2020). MSC: 82C27 82C31 60J65 15A18 42B10 PDF BibTeX XML Cite \textit{T. Claeys} et al., Commun. Math. Phys. 378, No. 2, 1501--1537 (2020; Zbl 1446.82062) Full Text: DOI
Gackou, Gorgui; Guillin, Arnaud; Personne, Arnaud Quantitative approximation of the discrete Moran process by a Wright-Fisher diffusion. (English) Zbl 07236035 J. Math. Biol. 81, No. 2, 575-602 (2020). MSC: 60J70 92D10 PDF BibTeX XML Cite \textit{G. Gackou} et al., J. Math. Biol. 81, No. 2, 575--602 (2020; Zbl 07236035) Full Text: DOI
Zhang, Sumei; Zhao, Jieqiong Option pricing under mixed exponential jump diffusion model based on the FST method. (Chinese. English summary) Zbl 1449.91169 Chin. J. Eng. Math. 37, No. 2, 165-176 (2020). MSC: 91G20 60J70 60J74 45K05 91G80 PDF BibTeX XML Cite \textit{S. Zhang} and \textit{J. Zhao}, Chin. J. Eng. Math. 37, No. 2, 165--176 (2020; Zbl 1449.91169) Full Text: DOI
Lin, Jianwei; Li, Huimin Pricing of perpetual corporate debt with bankruptcy reorganization in a double exponential jump-diffusion model. (Chinese. English summary) Zbl 1449.91188 Chin. J. Eng. Math. 37, No. 1, 16-26 (2020). MSC: 91G50 60J70 60J74 PDF BibTeX XML Cite \textit{J. Lin} and \textit{H. Li}, Chin. J. Eng. Math. 37, No. 1, 16--26 (2020; Zbl 1449.91188) Full Text: DOI
Gugushvili, Shota; van der Meulen, Frank; Schauer, Moritz; Spreij, Peter Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient. (English) Zbl 1445.62071 Braz. J. Probab. Stat. 34, No. 3, 537-579 (2020). MSC: 62G07 60J60 60J70 60H10 62P20 91B84 PDF BibTeX XML Cite \textit{S. Gugushvili} et al., Braz. J. Probab. Stat. 34, No. 3, 537--579 (2020; Zbl 1445.62071) Full Text: DOI Euclid
Oyelami, B. O.; Bishop, S. A. Impulsive jump-diffusion models for pricing securities. (English) Zbl 1447.91194 Int. J. Math. Comput. Sci. 15, No. 2, 463-483 (2020). MSC: 91G60 65C05 91G20 60J70 60J74 60G51 60H15 PDF BibTeX XML Cite \textit{B. O. Oyelami} and \textit{S. A. Bishop}, Int. J. Math. Comput. Sci. 15, No. 2, 463--483 (2020; Zbl 1447.91194) Full Text: Link
Osada, Hirofumi; Tanemura, Hideki Infinite-dimensional stochastic differential equations and tail \(\sigma\)-fields. (English) Zbl 07227785 Probab. Theory Relat. Fields 177, No. 3-4, 1137-1242 (2020). MSC: 60K35 60H10 82C22 60B20 PDF BibTeX XML Cite \textit{H. Osada} and \textit{H. Tanemura}, Probab. Theory Relat. Fields 177, No. 3--4, 1137--1242 (2020; Zbl 07227785) Full Text: DOI
Egami, Masahiko; Kevkhishvili, Rusudan Time reversal and last passage time of diffusions with applications to credit risk management. (English) Zbl 1447.91186 Finance Stoch. 24, No. 3, 795-825 (2020). MSC: 91G40 60J70 PDF BibTeX XML Cite \textit{M. Egami} and \textit{R. Kevkhishvili}, Finance Stoch. 24, No. 3, 795--825 (2020; Zbl 1447.91186) Full Text: DOI
Afanasyev, Valeriy I. Functional limit theorem for the local time of stopped random walk. (English. Russian original) Zbl 1446.60030 Discrete Math. Appl. 30, No. 3, 147-157 (2020); translation from Diskretn. Mat. 31, No. 3, 7-20 (2019). MSC: 60F17 60G50 60F05 60J55 PDF BibTeX XML Cite \textit{V. I. Afanasyev}, Discrete Math. Appl. 30, No. 3, 147--157 (2020; Zbl 1446.60030); translation from Diskretn. Mat. 31, No. 3, 7--20 (2019) Full Text: DOI
Hening, Alexandru; Tran, Ky Quan Harvesting and seeding of stochastic populations: analysis and numerical approximation. (English) Zbl 1441.91055 J. Math. Biol. 81, No. 1, 65-112 (2020). MSC: 91B76 92D25 60J70 60J60 PDF BibTeX XML Cite \textit{A. Hening} and \textit{K. Q. Tran}, J. Math. Biol. 81, No. 1, 65--112 (2020; Zbl 1441.91055) Full Text: DOI
Kosloff, Zemer; Soo, Terry Finitary isomorphisms of Brownian motions. (English) Zbl 1451.37012 Ann. Probab. 48, No. 4, 1966-1979 (2020). Reviewer: Oleg K. Zakusilo (Kyïv) MSC: 37A50 37A35 60J65 60G15 60G55 60J10 PDF BibTeX XML Cite \textit{Z. Kosloff} and \textit{T. Soo}, Ann. Probab. 48, No. 4, 1966--1979 (2020; Zbl 1451.37012) Full Text: DOI Euclid
Prasolov, Timofeĭ Vycheslavovich Stochastic stability of a system of perfect integrate-and-fire inhibitory neurons. (English) Zbl 1447.60009 Sib. Èlektron. Mat. Izv. 17, 971-987 (2020). Reviewer: Carlo Sempi (Lecce) MSC: 60B10 60G51 60J70 92B20 PDF BibTeX XML Cite \textit{T. V. Prasolov}, Sib. Èlektron. Mat. Izv. 17, 971--987 (2020; Zbl 1447.60009) Full Text: DOI
Louchard, Guy Some large polyominoes’ perimeter: a stochastic analysis. (English) Zbl 1442.05014 Online J. Anal. Comb. 15, Article 6, 42 p. (2020). MSC: 05A16 05B50 60C05 60F05 PDF BibTeX XML Cite \textit{G. Louchard}, Online J. Anal. Comb. 15, Article 6, 42 p. (2020; Zbl 1442.05014) Full Text: Link
Devineau, Laurent; Arrouy, Pierre-Edouard; Bonnefoy, Paul; Boumezoued, Alexandre Fast calibration of the libor market model with stochastic volatility and displaced diffusion. (English) Zbl 1449.60125 J. Ind. Manag. Optim. 16, No. 4, 1699-1729 (2020). MSC: 60J70 62P05 91G20 91G60 PDF BibTeX XML Cite \textit{L. Devineau} et al., J. Ind. Manag. Optim. 16, No. 4, 1699--1729 (2020; Zbl 1449.60125) Full Text: DOI
Soares, Cíntia Dalila; Lessard, Sabin First-order effect of frequency-dependent selection on fixation probability in an age-structured population with application to a public goods game. (English) Zbl 07208405 Theor. Popul. Biol. 133, 80-96 (2020). MSC: 92D25 60J70 PDF BibTeX XML Cite \textit{C. D. Soares} and \textit{S. Lessard}, Theor. Popul. Biol. 133, 80--96 (2020; Zbl 07208405) Full Text: DOI
Garra, Roberto; Issoglio, Elena; Taverna, Giorgio S. Fractional Brownian motions ruled by nonlinear equations. (English) Zbl 1441.60030 Appl. Math. Lett. 102, Article ID 106160, 6 p. (2020). MSC: 60G22 26A33 35R11 PDF BibTeX XML Cite \textit{R. Garra} et al., Appl. Math. Lett. 102, Article ID 106160, 6 p. (2020; Zbl 1441.60030) Full Text: DOI
Koltai, Péter; Weiss, Stephan Diffusion maps embedding and transition matrix analysis of the large-scale flow structure in turbulent Rayleigh-Bénard convection. (English) Zbl 1439.58021 Nonlinearity 33, No. 4, 1723-1756 (2020). MSC: 58J65 60J60 60J70 62M05 62M15 76R10 76F35 PDF BibTeX XML Cite \textit{P. Koltai} and \textit{S. Weiss}, Nonlinearity 33, No. 4, 1723--1756 (2020; Zbl 1439.58021) Full Text: DOI
Yu, Xingwang; Yuan, Sanling Asymptotic properties of a stochastic chemostat model with two distributed delays and nonlinear perturbation. (English) Zbl 1443.34093 Discrete Contin. Dyn. Syst., Ser. B 25, No. 7, 2373-2390 (2020). MSC: 34K60 34K20 34K50 34K25 34K27 92D25 60J70 PDF BibTeX XML Cite \textit{X. Yu} and \textit{S. Yuan}, Discrete Contin. Dyn. Syst., Ser. B 25, No. 7, 2373--2390 (2020; Zbl 1443.34093) Full Text: DOI
Leimkuhler, Benedict; Sachs, Matthias; Stoltz, Gabriel Hypocoercivity properties of adaptive Langevin dynamics. (English) Zbl 1434.60236 SIAM J. Appl. Math. 80, No. 3, 1197-1222 (2020). MSC: 60J70 35B40 46N30 35Q84 65C30 PDF BibTeX XML Cite \textit{B. Leimkuhler} et al., SIAM J. Appl. Math. 80, No. 3, 1197--1222 (2020; Zbl 1434.60236) Full Text: DOI
Lewicka, Marta A course on tug-of-war games with random noise. Introduction and basic constructions. (English) Zbl 1452.91002 Universitext. Cham: Springer (ISBN 978-3-030-46208-6/pbk; 978-3-030-46209-3/ebook). ix, 254 p. (2020). Reviewer: Esteban Induraín (Pamplona) MSC: 91-01 91A15 91A24 35B30 35G30 60J70 PDF BibTeX XML Cite \textit{M. Lewicka}, A course on tug-of-war games with random noise. Introduction and basic constructions. Cham: Springer (2020; Zbl 1452.91002) Full Text: DOI
Choquet, Catherine; Néel, Marie-Christine Derivation of Feynman-Kac and Bloch-Torrey equations in a trapping medium. (English) Zbl 1437.60045 Methodol. Comput. Appl. Probab. 22, No. 1, 49-74 (2020). MSC: 60J27 82C31 35J65 60J76 60J70 PDF BibTeX XML Cite \textit{C. Choquet} and \textit{M.-C. Néel}, Methodol. Comput. Appl. Probab. 22, No. 1, 49--74 (2020; Zbl 1437.60045) Full Text: DOI
Wu, Tung-Lung Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries. (English) Zbl 1437.60050 Methodol. Comput. Appl. Probab. 22, No. 1, 13-24 (2020). MSC: 60J65 60J70 60J60 60J10 PDF BibTeX XML Cite \textit{T.-L. Wu}, Methodol. Comput. Appl. Probab. 22, No. 1, 13--24 (2020; Zbl 1437.60050) Full Text: DOI
Murayama, Takuya On the slit motion obeying chordal Komatu-Loewner equation with finite explosion time. (English) Zbl 1434.60232 J. Evol. Equ. 20, No. 1, 233-255 (2020). MSC: 60J67 30C20 60J70 60H10 PDF BibTeX XML Cite \textit{T. Murayama}, J. Evol. Equ. 20, No. 1, 233--255 (2020; Zbl 1434.60232) Full Text: DOI
Tu, Zhe; Zhao, Dazhi; Qiu, Fei; Yu, Tao Stochastic resonance in coupled underdamped harmonic oscillators with fluctuating frequency driven by dichotomous noise. (English) Zbl 1444.60077 J. Stat. Phys. 179, No. 1, 247-262 (2020). MSC: 60J70 60J65 82C31 34F15 PDF BibTeX XML Cite \textit{Z. Tu} et al., J. Stat. Phys. 179, No. 1, 247--262 (2020; Zbl 1444.60077) Full Text: DOI
Cheng, Yiying; Hu, Yaozhong; Long, Hongwei Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations. (English) Zbl 1436.62084 Stat. Inference Stoch. Process. 23, No. 1, 53-81 (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 62F12 62M05 60G52 60G65 60H10 PDF BibTeX XML Cite \textit{Y. Cheng} et al., Stat. Inference Stoch. Process. 23, No. 1, 53--81 (2020; Zbl 1436.62084) Full Text: DOI
Christensen, Sören; Lindensjö, Kristoffer On time-inconsistent stopping problems and mixed strategy stopping times. (English) Zbl 1435.60029 Stochastic Processes Appl. 130, No. 5, 2886-2917 (2020). MSC: 60G40 60J70 91A10 91A25 91G80 91B02 91B51 PDF BibTeX XML Cite \textit{S. Christensen} and \textit{K. Lindensjö}, Stochastic Processes Appl. 130, No. 5, 2886--2917 (2020; Zbl 1435.60029) Full Text: DOI
Caraballo, Tomás; Fatini, Mohamed El; Sekkak, Idriss; Taki, Regragui; Laaribi, Aziz A stochastic threshold for an epidemic model with isolation and a non linear incidence. (English) Zbl 1435.92068 Commun. Pure Appl. Anal. 19, No. 5, 2513-2531 (2020). MSC: 92D30 60J70 PDF BibTeX XML Cite \textit{T. Caraballo} et al., Commun. Pure Appl. Anal. 19, No. 5, 2513--2531 (2020; Zbl 1435.92068) Full Text: DOI
Liu, Ruyi; Wu, Zhen; Zhang, Qing Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses. (English) Zbl 1436.91107 Automatica 115, Article ID 108912, 6 p. (2020). MSC: 91G15 93E20 PDF BibTeX XML Cite \textit{R. Liu} et al., Automatica 115, Article ID 108912, 6 p. (2020; Zbl 1436.91107) Full Text: DOI
Wiese, Kay Jörg Span observables: “when is a foraging rabbit no longer hungry?”. (English) Zbl 1441.60066 J. Stat. Phys. 178, No. 2, 625-643 (2020). MSC: 60J70 PDF BibTeX XML Cite \textit{K. J. Wiese}, J. Stat. Phys. 178, No. 2, 625--643 (2020; Zbl 1441.60066) Full Text: DOI
Cao, Alexander; Lindner, Benjamin; Thomas, Peter J. A partial differential equation for the mean-return-time phase of planar stochastic oscillators. (English) Zbl 1435.60042 SIAM J. Appl. Math. 80, No. 1, 422-447 (2020). MSC: 60G99 60J70 60J25 92B25 PDF BibTeX XML Cite \textit{A. Cao} et al., SIAM J. Appl. Math. 80, No. 1, 422--447 (2020; Zbl 1435.60042) Full Text: DOI
Grandits, P. A ruin problem for a two-dimensional Brownian motion with controllable drift in the positive quadrant. (English) Zbl 1450.91033 Theory Probab. Appl. 64, No. 4, 646-655 (2020) and Teor. Veroyatn. Primen. 64, No. 4, 811-823 (2019). Reviewer: Claudio Fontana (Paris) MSC: 91G50 93E20 60J70 PDF BibTeX XML Cite \textit{P. Grandits}, Theory Probab. Appl. 64, No. 4, 646--655 (2020; Zbl 1450.91033) Full Text: DOI Link
Huss, Elisabeth; Pfaffelhuber, Peter Genealogical distances under low levels of selection. (English) Zbl 07157305 Theor. Popul. Biol. 131, 2-11 (2020). MSC: 92D15 60J70 PDF BibTeX XML Cite \textit{E. Huss} and \textit{P. Pfaffelhuber}, Theor. Popul. Biol. 131, 2--11 (2020; Zbl 07157305) Full Text: DOI
de la Cruz, H.; Jimenez, J. C. Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes. (English) Zbl 1433.60075 Appl. Math. Comput. 366, Article ID 124734, 10 p. (2020). MSC: 60H35 60H10 65C30 60J60 60J70 PDF BibTeX XML Cite \textit{H. de la Cruz} and \textit{J. C. Jimenez}, Appl. Math. Comput. 366, Article ID 124734, 10 p. (2020; Zbl 1433.60075) Full Text: DOI
Biswas, Anup; Jarohs, Sven On overdetermined problems for a general class of nonlocal operators. (English) Zbl 1435.35264 J. Differ. Equations 268, No. 5, 2368-2393 (2020). Reviewer: Antonio Greco (Cagliari) MSC: 35N25 35B50 35D40 35B06 35B07 PDF BibTeX XML Cite \textit{A. Biswas} and \textit{S. Jarohs}, J. Differ. Equations 268, No. 5, 2368--2393 (2020; Zbl 1435.35264) Full Text: DOI
De Angelis, Tiziano Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. (English) Zbl 1430.91127 Finance Stoch. 24, No. 1, 71-123 (2020). Reviewer: George Stoica (Saint John) MSC: 91G50 60J70 60G40 93E20 PDF BibTeX XML Cite \textit{T. De Angelis}, Finance Stoch. 24, No. 1, 71--123 (2020; Zbl 1430.91127) Full Text: DOI arXiv
Wang, Wen-Kai Building recombining trinomial trees for time-homogeneous diffusion processes. (English) Zbl 1432.91127 J. Comput. Appl. Math. 364, Article ID 112351, 13 p. (2020). Reviewer: Monique Pontier (Toulouse) MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{W.-K. Wang}, J. Comput. Appl. Math. 364, Article ID 112351, 13 p. (2020; Zbl 1432.91127) Full Text: DOI
Dadashi, Hassan Optimal investment strategy post retirement without ruin possibility: a numerical algorithm. (English) Zbl 1422.91762 J. Comput. Appl. Math. 363, 325-336 (2020). MSC: 91G60 65N06 91G10 60H35 60J70 93E20 PDF BibTeX XML Cite \textit{H. Dadashi}, J. Comput. Appl. Math. 363, 325--336 (2020; Zbl 1422.91762) Full Text: DOI
Bekiros, Stelios; Kouloumpou, Dimitra On the pricing of exotic options: a new closed-form valuation approach. (English) Zbl 1448.91292 Chaos Solitons Fractals 122, 153-162 (2019). MSC: 91G20 60J65 60J70 PDF BibTeX XML Cite \textit{S. Bekiros} and \textit{D. Kouloumpou}, Chaos Solitons Fractals 122, 153--162 (2019; Zbl 1448.91292) Full Text: DOI
Wu, Sang; Xu, Chao; Dong, Yinghui Pricing vulnerable European options under a jump-diffusion model with stochastic rate. (Chinese. English summary) Zbl 07266316 Acta Math. Appl. Sin. 42, No. 4, 518-534 (2019). MSC: 91G20 91G30 60J70 PDF BibTeX XML Cite \textit{S. Wu} et al., Acta Math. Appl. Sin. 42, No. 4, 518--534 (2019; Zbl 07266316)
Sin, Chung-Sik; O, Hyong-Chol; Kim, Sang-Mun Diffusion equations with general nonlocal time and space derivatives. (English) Zbl 1443.60076 Comput. Math. Appl. 78, No. 10, 3268-3284 (2019). MSC: 60J60 35R11 60G51 60J70 PDF BibTeX XML Cite \textit{C.-S. Sin} et al., Comput. Math. Appl. 78, No. 10, 3268--3284 (2019; Zbl 1443.60076) Full Text: DOI
He, Jiawen; Wei, Zhu’e Valuation on outer performance option in a non-affine stochastic volatility jump-diffusion model. (Chinese. English summary) Zbl 1449.91152 Math. Pract. Theory 49, No. 20, 132-139 (2019). MSC: 91G20 60J70 60J74 PDF BibTeX XML Cite \textit{J. He} and \textit{Z. Wei}, Math. Pract. Theory 49, No. 20, 132--139 (2019; Zbl 1449.91152)
Zhang, Xuefang; Jin, Yansheng Optimal investment and reinsurance under the influence of threshold dividend. (Chinese. English summary) Zbl 1449.91116 J. Nat. Sci. Heilongjiang Univ. 36, No. 5, 536-543 (2019). MSC: 91G05 60J70 60J74 93E20 PDF BibTeX XML Cite \textit{X. Zhang} and \textit{Y. Jin}, J. Nat. Sci. Heilongjiang Univ. 36, No. 5, 536--543 (2019; Zbl 1449.91116) Full Text: DOI
Sun, Yudong; Tian, Jingren; Chen, Ying Pricing of arithmetic average Asian option under the fractional jump diffusion Heston model. (Chinese. English summary) Zbl 1449.91160 J. Hangzhou Norm. Univ., Nat. Sci. 18, No. 6, 629-635 (2019). MSC: 91G20 60J70 60J74 60G22 PDF BibTeX XML Cite \textit{Y. Sun} et al., J. Hangzhou Norm. Univ., Nat. Sci. 18, No. 6, 629--635 (2019; Zbl 1449.91160) Full Text: DOI
Lv, Wenxin; Dong, Yinghui; Wu, Sang; Xu, Chao Pricing dynamic fund protections under a jump-diffusion model with stochastic protection level. (Chinese. English summary) Zbl 1449.91155 Appl. Math., Ser. A (Chin. Ed.) 34, No. 4, 409-419 (2019). MSC: 91G20 60J70 60J74 PDF BibTeX XML Cite \textit{W. Lv} et al., Appl. Math., Ser. A (Chin. Ed.) 34, No. 4, 409--419 (2019; Zbl 1449.91155) Full Text: DOI
Xu, Chao; Dong, Yinghui Pricing a chained dynamic fund protection with exponential protection level. (Chinese. English summary) Zbl 1449.91164 Math. Pract. Theory 49, No. 18, 7-14 (2019). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{C. Xu} and \textit{Y. Dong}, Math. Pract. Theory 49, No. 18, 7--14 (2019; Zbl 1449.91164)
Yang, Zhaoqiang Pricing European lookback option in a special kind of mixed jump-diffusion Black-Scholes model. (Chinese. English summary) Zbl 1449.91167 Acta Math. Sci., Ser. A, Chin. Ed. 39, No. 6, 1514-1531 (2019). MSC: 91G20 60J70 60J74 60G22 PDF BibTeX XML Cite \textit{Z. Yang}, Acta Math. Sci., Ser. A, Chin. Ed. 39, No. 6, 1514--1531 (2019; Zbl 1449.91167)
Khan, Tahir; Jung, Ii Hyo; Zaman, Gul A stochastic model for the transmission dynamics of hepatitis B virus. (English) Zbl 1448.92309 J. Biol. Dyn. 13, No. 1, 328-344 (2019). Reviewer: Yilun Shang (Newcastle) MSC: 92D30 60J70 PDF BibTeX XML Cite \textit{T. Khan} et al., J. Biol. Dyn. 13, No. 1, 328--344 (2019; Zbl 1448.92309) Full Text: DOI
Arguin, Louis-Pierre; Persechino, Roberto The free energy of the GREM with random magnetic field. (English) Zbl 1446.82038 Gayrard, Véronique (ed.) et al., Statistical mechanics of classical and disordered systems. Proceedings of the international conference “Advances in statistical mechanics”, CIRM, Luminy, France, August 28–31, 2018. Cham: Springer. Springer Proc. Math. Stat. 293, 37-61 (2019). MSC: 82B44 60J70 60F10 82D30 60G70 82D40 PDF BibTeX XML Cite \textit{L.-P. Arguin} and \textit{R. Persechino}, Springer Proc. Math. Stat. 293, 37--61 (2019; Zbl 1446.82038) Full Text: DOI
Barbata, A.; Zasadzinski, M.; Chatbouri, R.; Ali, H. Souley Uniform asymptotic stability in probability of nontrivial solution of nonlinear stochastic systems. (English) Zbl 1440.93258 Nonlinear Dyn. Syst. Theory 19, No. 4, 464-473 (2019). MSC: 93E15 93D20 93C15 60H10 PDF BibTeX XML Cite \textit{A. Barbata} et al., Nonlinear Dyn. Syst. Theory 19, No. 4, 464--473 (2019; Zbl 1440.93258)
Cai, Siyang; Cai, Yongmei; Mao, Xuerong A stochastic differential equation SIS epidemic model with two correlated Brownian motions. (English) Zbl 1430.37109 Nonlinear Dyn. 97, No. 4, 2175-2187 (2019). MSC: 37N25 92D30 60H10 PDF BibTeX XML Cite \textit{S. Cai} et al., Nonlinear Dyn. 97, No. 4, 2175--2187 (2019; Zbl 1430.37109) Full Text: DOI
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
Bae, Hyeong-Ohk; Ha, Seung-Yeal; Kim, Doheon; Kim, Yongsik; Lim, Hyuncheul; Yoo, Jane Emergent dynamics of the first-order stochastic Cucker-Smale model and application to finance. (English) Zbl 1431.91447 Math. Methods Appl. Sci. 42, No. 18, 6029-6048 (2019). MSC: 91G99 91G80 60J70 PDF BibTeX XML Cite \textit{H.-O. Bae} et al., Math. Methods Appl. Sci. 42, No. 18, 6029--6048 (2019; Zbl 1431.91447) Full Text: DOI
Ichiba, Tomoyuki; Ludkovski, Michael; Sarantsev, Andrey Dynamic contagion in a banking system with births and defaults. (English) Zbl 1431.91421 Ann. Finance 15, No. 4, 489-538 (2019). MSC: 91G45 60J70 60J76 60J85 PDF BibTeX XML Cite \textit{T. Ichiba} et al., Ann. Finance 15, No. 4, 489--538 (2019; Zbl 1431.91421) Full Text: DOI
Drechsel, Paul Foundation of quantum mechanics: once again. (English) Zbl 1431.81014 Found. Sci. 24, No. 2, 375-389 (2019). MSC: 81P05 81P45 81P40 81Q05 60J70 PDF BibTeX XML Cite \textit{P. Drechsel}, Found. Sci. 24, No. 2, 375--389 (2019; Zbl 1431.81014) Full Text: DOI
Wei, Zhu’e; Xi, Huan; He, Jiawen Valuation on Quanto options in jump-diffusion model with stochastic volatility. (Chinese. English summary) Zbl 1449.91163 Math. Pract. Theory 49, No. 11, 306-312 (2019). MSC: 91G20 60J70 60J74 PDF BibTeX XML Cite \textit{Z. Wei} et al., Math. Pract. Theory 49, No. 11, 306--312 (2019; Zbl 1449.91163)
Tian, Yingxu Pricing measure thoughts and option pricing. (English) Zbl 1449.91161 Acta Sci. Nat. Univ. Nankaiensis 52, No. 3, 83-89 (2019). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{Y. Tian}, Acta Sci. Nat. Univ. Nankaiensis 52, No. 3, 83--89 (2019; Zbl 1449.91161)
Xu, Congcong; Xu, Zuoliang Option pricing method and parameter calibration for jump-diffusion model. (Chinese. English summary) Zbl 1449.91165 Acta Math. Sci., Ser. A, Chin. Ed. 39, No. 3, 649-663 (2019). MSC: 91G20 60J70 60J74 PDF BibTeX XML Cite \textit{C. Xu} and \textit{Z. Xu}, Acta Math. Sci., Ser. A, Chin. Ed. 39, No. 3, 649--663 (2019; Zbl 1449.91165)
El-Hadidy, Mohamed Abd Allah Study of water pollution through a Lévy flight jump diffusion model with stochastic jumps of pollutants. (English) Zbl 1428.60121 Int. J. Mod. Phys. B 33, No. 19, Article ID 1950210, 10 p. (2019). MSC: 60J70 PDF BibTeX XML Cite \textit{M. A. A. El-Hadidy}, Int. J. Mod. Phys. B 33, No. 19, Article ID 1950210, 10 p. (2019; Zbl 1428.60121) Full Text: DOI
Roberts, Gareth O.; Rosenthal, Jeffrey S. Hitting time and convergence rate bounds for symmetric Langevin diffusions. (English) Zbl 1428.60123 Methodol. Comput. Appl. Probab. 21, No. 3, 921-929 (2019). MSC: 60J70 60J60 60J25 PDF BibTeX XML Cite \textit{G. O. Roberts} and \textit{J. S. Rosenthal}, Methodol. Comput. Appl. Probab. 21, No. 3, 921--929 (2019; Zbl 1428.60123) Full Text: DOI arXiv
D’Onofrio, G.; Pirozzi, E. Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes. (English) Zbl 1439.60038 Methodol. Comput. Appl. Probab. 21, No. 3, 735-752 (2019). MSC: 60G15 60J70 60J60 PDF BibTeX XML Cite \textit{G. D'Onofrio} and \textit{E. Pirozzi}, Methodol. Comput. Appl. Probab. 21, No. 3, 735--752 (2019; Zbl 1439.60038) Full Text: DOI
Neha; Katyal, Divya; Kant, Rama Anomalous stretching dynamics of tagged monomer of branched polymer in layered random flows. (English) Zbl 1431.82040 J. Stat. Phys. 177, No. 5, 936-959 (2019). MSC: 82D60 82C31 60J70 60K35 PDF BibTeX XML Cite \textit{Neha} et al., J. Stat. Phys. 177, No. 5, 936--959 (2019; Zbl 1431.82040) Full Text: DOI
Burkhardt, Theodore W. Tagged-particle statistics in single-file motion with random-acceleration and Langevin dynamics. (English) Zbl 1439.60077 J. Stat. Phys. 177, No. 5, 806-824 (2019). MSC: 60J70 60K35 82C21 82C22 PDF BibTeX XML Cite \textit{T. W. Burkhardt}, J. Stat. Phys. 177, No. 5, 806--824 (2019; Zbl 1439.60077) Full Text: DOI
Goreac, Dan Border avoidance: necessary regularity for coefficients and viscosity approach. (English) Zbl 1430.92033 SIAM J. Control Optim. 57, No. 6, 4175-4204 (2019). Reviewer: Irina Ioana Mohorianu (Oxford) MSC: 92C42 92D10 49L25 60J70 PDF BibTeX XML Cite \textit{D. Goreac}, SIAM J. Control Optim. 57, No. 6, 4175--4204 (2019; Zbl 1430.92033) Full Text: DOI Link arXiv
Barbu, Viorel The dynamic programming equation for a stochastic volatility optimal control problem. (English) Zbl 1429.93414 Automatica 107, 119-124 (2019). MSC: 93E20 93B52 90C39 37L05 PDF BibTeX XML Cite \textit{V. Barbu}, Automatica 107, 119--124 (2019; Zbl 1429.93414) Full Text: DOI