## Found 2,776 Documents (Results 1–100)

100
MathJax

MSC:  62Mxx
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### Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory. (English)Zbl 07526586

MSC:  60J25 60Hxx 60G51
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MSC:  62-XX
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MSC:  46L54
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### Background driving distribution functions and series representations for log-gamma self-decomposable random variables. (English)Zbl 07523562

Theory Probab. Appl. 67, No. 1, 105-117 (2022) and Teor. Veroyatn. Primen. 67, No. 1, 134-149 (2022).
MSC:  60-XX 62-XX
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### Time-changed space-time fractional Poisson process. (English)Zbl 07523355

MSC:  60G22 60G55
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### Tempered stable processes with time-varying exponential tails. (English)Zbl 07518203

MSC:  91G20 60G51 62P05
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### Additive normal tempered stable processes for equity derivatives and power-law scaling. (English)Zbl 07518201

MSC:  91G20 60G51
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### Signal processing with Lévy information. (English)Zbl 07516347

Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 215-236 (2022).
MSC:  94A12 94A15 60G51
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MSC:  82-XX
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### Scalar conservation laws with white noise initial data. (English)Zbl 07511158

MSC:  60G51 60J65 60J60 60J75 35L65
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### The suprema of infinitely divisible processes. (English)Zbl 07496864

MSC:  60G15 60G17
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### Interior Schauder estimates for elliptic equations associated with Lévy operators. (English)Zbl 07496363

MSC:  60G51 45K05 60J35
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### Probabilistic Stirling numbers of the second kind and applications. (English)Zbl 07491649

MSC:  60E05 05A19 60G51
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MSC:  60H10
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### Transition densities of spectrally positive Lévy processes. (English)Zbl 07488660

MSC:  60J35 60G51
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### Coupling approach for exponential ergodicity of stochastic Hamiltonian systems with Lévy noises. (English)Zbl 07485070

MSC:  60H10 60J60 60J76
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### Ergodic convergence rates for time-changed symmetric Lévy processes in dimension one. (English)Zbl 07484414

MSC:  60G51 60J25 60J76
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MSC:  90Bxx
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### General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes. (English)Zbl 07475147

MSC:  60G51 91G50 60E10
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MSC:  62-XX
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### Path decomposition of a reflected Lévy process on first passage over high levels. (English)Zbl 1480.60118

MSC:  60G51 60F17
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### Nonlocal elliptic equation in Hölder space and the martingale problem. (English)Zbl 07471762

MSC:  60H10 35R09 60G51
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### The $$\alpha$$-dependence of the invariant measure of stochastic real Ginzburg-Landau equation driven by $$\alpha$$-stable Lévy processes. (English)Zbl 07471756

MSC:  60Hxx 60Gxx 35Rxx
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### A Ray-Knight representation of up-down Chinese restaurants. (English)Zbl 1482.60102

MSC:  60J27 60G51
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### Risk modelling on liquidations with Lévy processes. (English)Zbl 07426988

MSC:  60G51 91B05 91G05
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### On the $$\alpha$$-dependence of stochastic differential equations with Hölder drift and driven by $$\alpha$$-stable Lévy processes. (English)Zbl 1481.60113

MSC:  60H10 60G51
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### Homogenization of symmetric Lévy processes on $$\mathbb{R}^d$$. (English)Zbl 07523897

MSC:  60G51 31C25 60J45

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### Estimates of heat kernels of non-symmetric Lévy processes. (English)Zbl 07502418

MSC:  60G51 60B05
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### The VIX and future information. (English)Zbl 07488285

MSC:  91G20 91G10
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### Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times. (English)Zbl 07488280

MSC:  91G40 60G51
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### Exponential ergodicity for SDEs and McKean-Vlasov processes with Lévy noise. (English)Zbl 1480.60163

MSC:  60H10 60J25 60J76
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### Lévy processes on smooth manifolds with a connection. (English)Zbl 07478675

MSC:  60G51 58J65 60J25
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### On the explosion of a class of continuous-state nonlinear branching processes. (English)Zbl 07478660

MSC:  60J80 60G51
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### A time-changed stochastic control problem and its maximum principle maximum principle. (English)Zbl 07473153

MSC:  93E20 60G51 60H30
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### Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes. (English)Zbl 07472379

MSC:  62P05 62E10 60F05
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### Periodic homogenization of nonsymmetric Lévy-type processes. (English)Zbl 07467486

MSC:  60F17 60G51 60J25
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### Limits of multiplicative inhomogeneous random graphs and Lévy trees: limit theorems. (English)Zbl 1481.05139

MSC:  05C80 60C05 60J50
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### Optimally stopping at a given distance from the ultimate supremum of a spectrally negative Lévy process. (English)Zbl 07458587

MSC:  60G40 62M20
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### Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process. (English)Zbl 1478.60144

MSC:  60G51 60G70 60E07
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### A dual Yamada-Watanabe theorem for Lévy driven stochastic differential equations. (English)Zbl 07453009

MSC:  60G51 60H05 60H10
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### A new approach to wind power futures pricing. (English)Zbl 1480.91289

MSC:  91G20 60J74 60G51
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### Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes. (English)Zbl 1479.91343

MSC:  91G05 91B64 60G51
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### Fractional Kirchhoff-type equation with singular potential and critical exponent. (English)Zbl 07441709

MSC:  35R11 35J62 35R09
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### A geometric representation of fragmentation processes on stable trees. (English)Zbl 07441182

MSC:  60C05 60F17 05A05
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### Necessity of weak subordination for some strongly subordinated Lévy processes. (English)Zbl 1475.60087

MSC:  60G51 60G55
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### Rough volatility and CGMY jumps with a finite history and the rough Heston model – small-time asymptotics in the $$k\sqrt{t}$$ regime. (Rough volatility, CGMY jumps with a finite history and the rough Heston model – small-time asymptotics in the $$k\sqrt{t}$$ regime.) (English)Zbl 1477.91053

Quant. Finance 21, No. 4, 541-563 (2021); correction ibid. 21, No. 4, i (2021).
MSC:  91G20 60G51 91B70
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### Aspects of non-causal and non-invertible CARMA processes. (English)Zbl 1475.62235

MSC:  62M10 60G51 60G10
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### Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes. (English)Zbl 1476.93166

MSC:  93E20 91G80 60G51
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### The Gorin-Shkolnikov identity and its random tree generalization. (English)Zbl 1477.60128

MSC:  60J80 60G51 60J55
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### An extension of local time. (English. Russian original)Zbl 07427275

J. Math. Sci., New York 258, No. 6, 838-844 (2021); translation from Zap. Nauchn. Semin. POMI 486, 148-163 (2019).
MSC:  60G51
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### Limit behavior of a compound Poisson process with switching between multiple values. (English. Russian original)Zbl 1478.60146

J. Math. Sci., New York 258, No. 6, 764-776 (2021); translation from Zap. Nauchn. Semin. POMI 486, 44-62 (2019).
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### A structural approach to default modelling with pure jump processes. (English)Zbl 1475.91381

MSC:  91G40 60J74 60G51
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### A stochastic vaccinated epidemic model incorporating Lévy processes with a general awareness-induced incidence. (English)Zbl 1475.92101

MSC:  92C60 60G51 60H30
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### A Gaussian approximation theorem for Lévy processes. (English)Zbl 1476.60045

MSC:  60F05 60G51
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MSC:  60G51
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### Occupation times for spectrally negative Lévy processes on the last exit time. (English)Zbl 1482.60062

MSC:  60G51 60J55
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### Optimization based model order reduction for stochastic systems. (English)Zbl 07422825

MSC:  93A15 93B40 65C30 93E03
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### Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process. (English)Zbl 1479.60112

MSC:  60H10 60H35 60H05
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### Do generalized draw-down times lead to better dividends? A Pontryagin principle-based answer. (English)Zbl 1474.91147

MSC:  91G05 93E20 60G51
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### Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process. (English)Zbl 1476.91134

MSC:  91G05 60G51 60K10
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### Supercritical SDEs driven by multiplicative stable-like Lévy processes. (English)Zbl 07412256

MSC:  60H10 35R09 60G51
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### On the analysis of deep drawdowns for the Lévy insurance risk model. (English)Zbl 1478.91165

MSC:  91G05 60G51
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### The dividend problem under a hybrid observation scheme for a spectrally positive Lévy process. (Chinese. English summary)Zbl 07404123

MSC:  91G05 60G51 44A10
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### Parisian ruin for spectrally negative Lévy processes under a hybrid observation scheme. (Chinese. English summary)Zbl 07403545

MSC:  91B05 60G51 44A10

### Stability of heat kernel estimates for symmetric non-local Dirichlet forms. (English)Zbl 07403473

Memoirs of the American Mathematical Society 1330. Providence, RI: American Mathematical Society (AMS) (ISBN 978-1-4704-4863-9/pbk; 978-1-4704-6638-1/ebook). v, 89 p. (2021).
MSC:  60-02 60J35 35K08 60J75 31C25 60J25 60J45
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### A transient Cramér-Lundberg model with applications to credit risk. (English)Zbl 1477.60073

MSC:  60G51 62P05
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### Asymptotic results for heavy-tailed Lévy processes and their exponential functionals. (English)Zbl 07394108

MSC:  60G51 60J80 60G50
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### Pure-jump semimartingales. (English)Zbl 07394103

MSC:  60H05 60G51 60G55
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