Cui, Sheng; Jiang, Tao; Ming, Ruixing Uniform asymptotic estimates in a time-dependent renewal risk model with stochastic investment returns. (Chinese. English summary) Zbl 1488.91090 Sci. Sin., Math. 44, No. 11, 1185-1202 (2014). MSC: 91G05 60K10 60G51 PDFBibTeX XMLCite \textit{S. Cui} et al., Sci. Sin., Math. 44, No. 11, 1185--1202 (2014; Zbl 1488.91090) Full Text: DOI
Imai, Junichi Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process. (English) Zbl 1461.91352 Math. Comput. Simul. 100, 54-71 (2014). MSC: 91G60 65C05 60G51 91G20 PDFBibTeX XMLCite \textit{J. Imai}, Math. Comput. Simul. 100, 54--71 (2014; Zbl 1461.91352) Full Text: DOI
Oh, Jae-Pill Financial models induced from auxiliary indices and Twitter data. (English) Zbl 1488.91123 Korean J. Math. 22, No. 3, 529-552 (2014). MSC: 91G10 60G51 PDFBibTeX XMLCite \textit{J.-P. Oh}, Korean J. Math. 22, No. 3, 529--552 (2014; Zbl 1488.91123) Full Text: DOI
Rakotonasy, S. H.; Néel, M. C.; Joelson, M. Characterizing anomalous diffusion by studying displacements. (English) Zbl 1457.60064 Commun. Nonlinear Sci. Numer. Simul. 19, No. 7, 2284-2293 (2014). MSC: 60G51 60J60 PDFBibTeX XMLCite \textit{S. H. Rakotonasy} et al., Commun. Nonlinear Sci. Numer. Simul. 19, No. 7, 2284--2293 (2014; Zbl 1457.60064) Full Text: DOI
Zou, Xiaoling; Wang, Ke Numerical simulations and modeling for stochastic biological systems with jumps. (English) Zbl 1457.65007 Commun. Nonlinear Sci. Numer. Simul. 19, No. 5, 1557-1568 (2014). MSC: 65C30 60J76 92B05 PDFBibTeX XMLCite \textit{X. Zou} and \textit{K. Wang}, Commun. Nonlinear Sci. Numer. Simul. 19, No. 5, 1557--1568 (2014; Zbl 1457.65007) Full Text: DOI
Yin, Chuancun; Wen, Yuzhen; Zhao, Yongxia On the optimal dividend problem for a spectrally positive Lévy process. (English) Zbl 1431.91430 ASTIN Bull. 44, No. 3, 635-651 (2014). MSC: 91G50 91G05 60G51 93E20 PDFBibTeX XMLCite \textit{C. Yin} et al., ASTIN Bull. 44, No. 3, 635--651 (2014; Zbl 1431.91430) Full Text: DOI arXiv Link
Chuang, Shuo-Li; Brockett, Patrick L. Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform. (English) Zbl 1412.91040 N. Am. Actuar. J. 18, No. 1, 22-37 (2014). MSC: 91B30 91G20 60G51 PDFBibTeX XMLCite \textit{S.-L. Chuang} and \textit{P. L. Brockett}, N. Am. Actuar. J. 18, No. 1, 22--37 (2014; Zbl 1412.91040) Full Text: DOI
Zhou, Liuwei; Wang, Zhijie Portfolio strategy of financial market with regime switching driven by geometric Lévy process. (English) Zbl 1406.91430 Abstr. Appl. Anal. 2014, Article ID 538041, 9 p. (2014). MSC: 91G10 91G20 60G51 35Q91 PDFBibTeX XMLCite \textit{L. Zhou} and \textit{Z. Wang}, Abstr. Appl. Anal. 2014, Article ID 538041, 9 p. (2014; Zbl 1406.91430) Full Text: DOI
Novikov, Alexander A.; Ling, Timothy G.; Kordzakhia, Nino Pricing of volume-weighted average options: analytical approximations and numerical results. (English) Zbl 1418.91531 Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 461-474 (2014). MSC: 91G20 60J60 60G51 91G60 PDFBibTeX XMLCite \textit{A. A. Novikov} et al., in: Inspired by finance. The Musiela Festschrift. Cham: Springer. 461--474 (2014; Zbl 1418.91531) Full Text: DOI
Molchanov, Ilya; Schmutz, Michael Multiasset derivatives and joint distributions of asset prices. (English) Zbl 1418.91528 Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 439-459 (2014). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{I. Molchanov} and \textit{M. Schmutz}, in: Inspired by finance. The Musiela Festschrift. Cham: Springer. 439--459 (2014; Zbl 1418.91528) Full Text: DOI
Nieto-Barajas, Luis E. Bayesian semiparametric analysis of short- and long-term hazard ratios with covariates. (English) Zbl 1471.62150 Comput. Stat. Data Anal. 71, 477-490 (2014). MSC: 62-08 62F15 62G05 60G57 62P10 PDFBibTeX XMLCite \textit{L. E. Nieto-Barajas}, Comput. Stat. Data Anal. 71, 477--490 (2014; Zbl 1471.62150) Full Text: DOI
Landriault, David; Shi, Tianxiang First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications. (English) Zbl 1401.91160 Scand. Actuar. J. 2014, No. 4, 368-382 (2014). MSC: 91B30 91G20 60J75 60G51 PDFBibTeX XMLCite \textit{D. Landriault} and \textit{T. Shi}, Scand. Actuar. J. 2014, No. 4, 368--382 (2014; Zbl 1401.91160) Full Text: DOI
Letemplier, Julien; Simon, Thomas Unimodality of hitting times for stable processes. (English) Zbl 1390.60175 Donati-Martin, Catherine (ed.) et al., Séminaire de Probabilités XLVI. Cham: Springer (ISBN 978-3-319-11969-4/pbk; 978-3-319-11970-0/ebook). Lecture Notes in Mathematics 2123. Séminaire de Probabilités, 345-357 (2014). MSC: 60G52 60G51 PDFBibTeX XMLCite \textit{J. Letemplier} and \textit{T. Simon}, Lect. Notes Math. 2123, 345--357 (2014; Zbl 1390.60175) Full Text: DOI arXiv
Grahovac, Danijel; Leonenko, Nikolai N. Detecting multifractal stochastic processes under heavy-tailed effects. (English) Zbl 1348.60064 Chaos Solitons Fractals 65, 78-89 (2014). MSC: 60G35 62M15 37M10 37M05 37N40 PDFBibTeX XMLCite \textit{D. Grahovac} and \textit{N. N. Leonenko}, Chaos Solitons Fractals 65, 78--89 (2014; Zbl 1348.60064) Full Text: DOI
Aryasova, Olga; Pilipenko, Andrey On differentiability with respect to the initial data of the solution to an SDE with a Lévy noise and discontinuous coefficients. (English) Zbl 1337.60114 Stochastics 86, No. 4, 643-654 (2014). MSC: 60H10 60G51 PDFBibTeX XMLCite \textit{O. Aryasova} and \textit{A. Pilipenko}, Stochastics 86, No. 4, 643--654 (2014; Zbl 1337.60114) Full Text: DOI arXiv
León, Jorge A.; Solé, Josep L.; Utzet, Frederic; Vives, Josep Local Malliavin calculus for Lévy processes and applications. (English) Zbl 1337.60112 Stochastics 86, No. 4, 551-572 (2014). MSC: 60H07 60G51 60H05 60H10 PDFBibTeX XMLCite \textit{J. A. León} et al., Stochastics 86, No. 4, 551--572 (2014; Zbl 1337.60112) Full Text: DOI arXiv
Bai, Ling; Li, Jingshi; Zhang, Kai; Zhao, Wenju Analysis of a stochastic ratio-dependent predator-prey model driven by Lévy noise. (English) Zbl 1334.92326 Appl. Math. Comput. 233, 480-493 (2014). MSC: 92D25 60J75 PDFBibTeX XMLCite \textit{L. Bai} et al., Appl. Math. Comput. 233, 480--493 (2014; Zbl 1334.92326) Full Text: DOI
Sabel, Till Simultaneous confidence statements about the diffusion coefficient of an Itô-process with application to spot volatility estimation. (English) Zbl 1338.60005 Göttingen: Univ. Göttingen (Diss.). x, 86 p., xi. (2014). MSC: 60-02 60J60 62G05 60G51 91G80 PDFBibTeX XMLCite \textit{T. Sabel}, Simultaneous confidence statements about the diffusion coefficient of an Itô-process with application to spot volatility estimation. Göttingen: Univ. Göttingen (Diss.) (2014; Zbl 1338.60005) Full Text: Link Link
Chen, Xin; Wang, Jian Intrinsic ultracontractivity for general Lévy processes on bounded open sets. (English) Zbl 1333.60092 Ill. J. Math. 58, No. 4, 1117-1144 (2014). Reviewer: Alexander Schnurr (Siegen) MSC: 60G51 60J75 60G52 60J25 PDFBibTeX XMLCite \textit{X. Chen} and \textit{J. Wang}, Ill. J. Math. 58, No. 4, 1117--1144 (2014; Zbl 1333.60092) Full Text: arXiv Euclid
Mishura, Yu.; Zubchenko, V. Properties of integrals with respect to fractional Poisson processes with compact kernels. (English) Zbl 1326.60080 Theory Probab. Math. Stat. 89, 143-152 (2014); translation from Teor. Jmovirn. Mat. Stat. 89, 130–139 (2013). MSC: 60H05 60G22 60G55 60G51 PDFBibTeX XMLCite \textit{Yu. Mishura} and \textit{V. Zubchenko}, Theory Probab. Math. Stat. 89, 143--152 (2014; Zbl 1326.60080); translation from Teor. Jmovirn. Mat. Stat. 89, 130--139 (2013) Full Text: DOI
Limnios, N.; Samoilenko, I. V. Poisson approximation of processes with locally independent increments and Markov switching. (English) Zbl 1329.60077 Theory Probab. Math. Stat. 89, 115-126 (2014); translation from Teor. Jmovirn. Mat. Stat. 89, 104–114 (2013). MSC: 60F17 60F05 60J55 60G55 60G51 60B10 60G48 60G60 PDFBibTeX XMLCite \textit{N. Limnios} and \textit{I. V. Samoilenko}, Theory Probab. Math. Stat. 89, 115--126 (2014; Zbl 1329.60077); translation from Teor. Jmovirn. Mat. Stat. 89, 104--114 (2013) Full Text: DOI
Smii, Boubaker Feynman graph representation to stochastic differential equations driven by Lévy noise. (English) Zbl 1318.60070 Kilicman, Adem (ed.) et al., International conference on mathematical sciences and statistics 2013. Selected papers. ICMSS 2013, Kuala Lumpur, Malaysia, February 5–7, 2013. Singapore: Springer (ISBN 978-981-4585-32-3/hbk; 978-981-4585-33-0/ebook). 213-222 (2014). MSC: 60H15 60G51 PDFBibTeX XMLCite \textit{B. Smii}, in: International conference on mathematical sciences and statistics 2013. Selected papers. ICMSS 2013, Kuala Lumpur, Malaysia, February 5--7, 2013. Singapore: Springer. 213--222 (2014; Zbl 1318.60070) Full Text: DOI
Ishitani, Kensuke; Kato, Takashi Optimal execution for uncertain market impact: derivation and characterization of a continuous-time value function. (English) Zbl 1314.91197 Takahashi, Akihiko (ed.) et al., Recent advances in financial engineering 2012. Proceedings of the international workshop on finance, Tokyo, Japan, October 30–31, 2012. Hackensack, NJ: World Scientific (ISBN 978-981-4571-63-0/hbk; 978-981-4571-65-4/ebook). 93-116 (2014). MSC: 91G10 91G20 60G51 93E20 PDFBibTeX XMLCite \textit{K. Ishitani} and \textit{T. Kato}, in: Recent advances in financial engineering 2012. Proceedings of the international workshop on finance, Tokyo, Japan, October 30--31, 2012. Hackensack, NJ: World Scientific. 93--116 (2014; Zbl 1314.91197) Full Text: DOI arXiv
Bayracı, Selçuk; Ünal, Gazanfer Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model. (English) Zbl 1314.91221 J. Comput. Appl. Math. 259 B, 464-473 (2014). MSC: 91G30 62M10 62P05 PDFBibTeX XMLCite \textit{S. Bayracı} and \textit{G. Ünal}, J. Comput. Appl. Math. 259, Part B, 464--473 (2014; Zbl 1314.91221) Full Text: DOI
Gayrard, Véronique; Švejda, Adéla Convergence of clock processes on infinite graphs and aging in Bouchaud’s asymmetric trap model \(\mathbb Z^d\). (English) Zbl 1318.82039 ALEA, Lat. Am. J. Probab. Math. Stat. 11, No. 2, 781-822 (2014). Reviewer: Dazmir Shulaia (Tbilisi) MSC: 82C44 60K35 60K37 PDFBibTeX XMLCite \textit{V. Gayrard} and \textit{A. Švejda}, ALEA, Lat. Am. J. Probab. Math. Stat. 11, No. 2, 781--822 (2014; Zbl 1318.82039) Full Text: arXiv Link
Sengupta, Indranil Pricing Asian options in financial markets using Mellin transforms. (English) Zbl 1310.91145 Electron. J. Differ. Equ. 2014, Paper No. 234, 9 p. (2014). MSC: 91G60 91G20 91G80 44A15 60G51 PDFBibTeX XMLCite \textit{I. Sengupta}, Electron. J. Differ. Equ. 2014, Paper No. 234, 9 p. (2014; Zbl 1310.91145) Full Text: EMIS
Chen, Zhen-Qing; Zhang, Xicheng Hölder estimates for nonlocal-diffusion equations with drifts. (English) Zbl 1310.60103 Commun. Math. Stat. 2, No. 3-4, 331-348 (2014). MSC: 60H30 35K57 35K05 60J45 47G20 PDFBibTeX XMLCite \textit{Z.-Q. Chen} and \textit{X. Zhang}, Commun. Math. Stat. 2, No. 3--4, 331--348 (2014; Zbl 1310.60103) Full Text: DOI arXiv
Hainaut, Donatien; Le Courtois, Olivier An intensity model for credit risk with switching Lévy processes. (English) Zbl 1402.91846 Quant. Finance 14, No. 8, 1453-1465 (2014). MSC: 91G40 60G51 60J75 60J20 PDFBibTeX XMLCite \textit{D. Hainaut} and \textit{O. Le Courtois}, Quant. Finance 14, No. 8, 1453--1465 (2014; Zbl 1402.91846) Full Text: DOI
Øksendal, Bernt; Sandal, Leif; Ubøe, Jan Stackelberg equilibria in a continuous-time vertical contracting model with uncertain demand and delayed information. (English) Zbl 1337.60156 J. Appl. Probab. 51A, Spec. Vol., 213-226 (2014). MSC: 60H30 60H10 60G51 60K10 91A15 91A23 49N70 90B30 PDFBibTeX XMLCite \textit{B. Øksendal} et al., J. Appl. Probab. 51A, 213--226 (2014; Zbl 1337.60156) Full Text: DOI Euclid
Madan, Dilip B. Momentum and reversion in risk neutral martingale probabilities. (English) Zbl 1308.91167 Quant. Finance 14, No. 5, 777-787 (2014). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{D. B. Madan}, Quant. Finance 14, No. 5, 777--787 (2014; Zbl 1308.91167) Full Text: DOI
Jo, Sihun; Yang, Minsuk An estimate of the second moment of a sampling of the Riemann zeta function on the critical line. (English) Zbl 1308.11077 J. Math. Anal. Appl. 415, No. 1, 121-134 (2014). MSC: 11M06 60G51 PDFBibTeX XMLCite \textit{S. Jo} and \textit{M. Yang}, J. Math. Anal. Appl. 415, No. 1, 121--134 (2014; Zbl 1308.11077) Full Text: DOI arXiv
Zong, Gaofeng Anticipated backward stochastic differential equations driven by the Teugels martingales. (English) Zbl 1308.60076 J. Math. Anal. Appl. 412, No. 2, 989-997 (2014). MSC: 60H10 PDFBibTeX XMLCite \textit{G. Zong}, J. Math. Anal. Appl. 412, No. 2, 989--997 (2014; Zbl 1308.60076) Full Text: DOI
Wang, Feng-Yu; Wang, Jian Harnack inequalities for stochastic equations driven by Lévy noise. (English) Zbl 1307.60088 J. Math. Anal. Appl. 410, No. 1, 513-523 (2014). MSC: 60H10 60H15 60G51 60J65 PDFBibTeX XMLCite \textit{F.-Y. Wang} and \textit{J. Wang}, J. Math. Anal. Appl. 410, No. 1, 513--523 (2014; Zbl 1307.60088) Full Text: DOI arXiv
Kundu, Debasis Geometric skew normal distribution. (English) Zbl 1329.62073 Sankhyā, Ser. B 76, No. 2, 167-189 (2014). MSC: 62E15 62H10 PDFBibTeX XMLCite \textit{D. Kundu}, Sankhyā, Ser. B 76, No. 2, 167--189 (2014; Zbl 1329.62073) Full Text: DOI
Sangüesa, Carmen; Badía, Francisco German; Cha, Ji Hwan Preservation of ageing classes in deterioration models with independent increments. (English) Zbl 1334.60077 J. Inequal. Appl. 2014, Paper No. 200, 16 p. (2014). MSC: 60G51 60K10 60E15 26A51 PDFBibTeX XMLCite \textit{C. Sangüesa} et al., J. Inequal. Appl. 2014, Paper No. 200, 16 p. (2014; Zbl 1334.60077) Full Text: DOI
Renaud, Jean-François On the time spent in the red by a refracted Lévy risk process. (English) Zbl 1321.60099 J. Appl. Probab. 51, No. 4, 1171-1188 (2014). Reviewer: Alexander Schnurr (Siegen) MSC: 60G51 91B30 PDFBibTeX XMLCite \textit{J.-F. Renaud}, J. Appl. Probab. 51, No. 4, 1171--1188 (2014; Zbl 1321.60099) Full Text: arXiv Euclid
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng Regime-switching shot-noise processes and longevity bond pricing. (English) Zbl 1341.60069 Lith. Math. J. 54, No. 4, 383-402 (2014). MSC: 60H30 60H10 60G51 60J25 91G40 91G80 PDFBibTeX XMLCite \textit{Y. Dong} et al., Lith. Math. J. 54, No. 4, 383--402 (2014; Zbl 1341.60069) Full Text: DOI
Jurek, Zbigniew J. A random integral calculus on generalized \(s\)-selfdecomposable probability measures. (English) Zbl 1322.60141 Sankhyā, Ser. A 76, No. 1, 1-14 (2014). MSC: 60H99 60H05 60E07 60G51 60F05 60B11 60B10 PDFBibTeX XMLCite \textit{Z. J. Jurek}, Sankhyā, Ser. A 76, No. 1, 1--14 (2014; Zbl 1322.60141) Full Text: DOI arXiv
Wang, Jiun-Chau The central limit theorem for monotone convolution with applications to free Lévy processes and infinite ergodic theory. (English) Zbl 1320.46050 Indiana Univ. Math. J. 63, No. 2, 303-327 (2014). MSC: 46L54 46L53 60F05 28D05 PDFBibTeX XMLCite \textit{J.-C. Wang}, Indiana Univ. Math. J. 63, No. 2, 303--327 (2014; Zbl 1320.46050) Full Text: DOI arXiv Link
Vershik, A. M.; Smorodina, N. V. Nonsingular transformations of symmetric Lévy processes. (English. Russian original) Zbl 1317.60057 J. Math. Sci., New York 199, No. 2, 123-129 (2014); translation from Zap. Nauchn. Semin. POMI 408, 102-114 (2012). MSC: 60G51 60G52 PDFBibTeX XMLCite \textit{A. M. Vershik} and \textit{N. V. Smorodina}, J. Math. Sci., New York 199, No. 2, 123--129 (2014; Zbl 1317.60057); translation from Zap. Nauchn. Semin. POMI 408, 102--114 (2012) Full Text: DOI
Lee, O. Continuous time approximations to GARCH(1,1)-family models and their limiting properties. (English) Zbl 1305.62324 Commun. Stat. Appl. Methods 21, No. 4, 327-334 (2014). MSC: 62M10 60F05 60G51 60H05 PDFBibTeX XMLCite \textit{O. Lee}, Commun. Stat. Appl. Methods 21, No. 4, 327--334 (2014; Zbl 1305.62324) Full Text: DOI
Liu, Xiangdong; Yang, Fei The research of parameter estimations under the Lévy process based on option pricing. (Chinese. English summary) Zbl 1313.91168 J. Shenzhen Univ., Sci. Eng. 31, No. 3, 325-330 (2014). MSC: 91G20 60G51 62P05 62F10 PDFBibTeX XMLCite \textit{X. Liu} and \textit{F. Yang}, J. Shenzhen Univ., Sci. Eng. 31, No. 3, 325--330 (2014; Zbl 1313.91168) Full Text: DOI
Xu, Rui; Shen, Guangjun; Zhu, Dongjin The existence and joint continuity of local time of an iterated bifractional Brownian motion. (Chinese. English summary) Zbl 1313.60077 Math. Appl. 27, No. 3, 637-646 (2014). MSC: 60G22 60J55 60J65 PDFBibTeX XMLCite \textit{R. Xu} et al., Math. Appl. 27, No. 3, 637--646 (2014; Zbl 1313.60077)
Lü, Xuebin; Li, Jinfeng; Ma, Shujian Tempered fractional Lévy processes. (English) Zbl 1313.60074 Math. Appl. 27, No. 3, 564-569 (2014). MSC: 60G22 60G51 PDFBibTeX XMLCite \textit{X. Lü} et al., Math. Appl. 27, No. 3, 564--569 (2014; Zbl 1313.60074)
Hackmann, D.; Kuznetsov, A. Asian options and meromorphic Lévy processes. (English) Zbl 1307.60058 Finance Stoch. 18, No. 4, 825-844 (2014). MSC: 60G51 60H30 91G80 65C50 PDFBibTeX XMLCite \textit{D. Hackmann} and \textit{A. Kuznetsov}, Finance Stoch. 18, No. 4, 825--844 (2014; Zbl 1307.60058) Full Text: DOI arXiv
Capponi, Agostino; Pagliarani, Stefano; Vargiolu, Tiziano Pricing vulnerable claims in a Lévy-driven model. (English) Zbl 1326.60095 Finance Stoch. 18, No. 4, 755-789 (2014). MSC: 60H30 60H10 60G51 91G80 60J60 60J65 60G70 PDFBibTeX XMLCite \textit{A. Capponi} et al., Finance Stoch. 18, No. 4, 755--789 (2014; Zbl 1326.60095) Full Text: DOI
Zhang, Huiming; Liu, Yunxiao; Li, Bo Notes on discrete compound Poisson model with applications to risk theory. (English) Zbl 1306.60050 Insur. Math. Econ. 59, 325-336 (2014). MSC: 60G51 60J75 91G40 62P05 PDFBibTeX XMLCite \textit{H. Zhang} et al., Insur. Math. Econ. 59, 325--336 (2014; Zbl 1306.60050) Full Text: DOI
Beghin, Luisa; D’Ovidio, Mirko Fractional Poisson process with random drift. (English) Zbl 1334.60053 Electron. J. Probab. 19, Paper No. 122, 26 p. (2014). MSC: 60G22 60G55 60G51 35R11 60G50 60G35 PDFBibTeX XMLCite \textit{L. Beghin} and \textit{M. D'Ovidio}, Electron. J. Probab. 19, Paper No. 122, 26 p. (2014; Zbl 1334.60053) Full Text: DOI arXiv
Hsiau, Shoou-Ren; Lin, Yi-Shen; Yao, Yi-Ching Logconcave reward functions and optimal stopping rules of threshold form. (English) Zbl 1325.60062 Electron. J. Probab. 19, Paper No. 120, 18 p. (2014). MSC: 60G40 60G50 60G51 62L15 60J10 60J65 PDFBibTeX XMLCite \textit{S.-R. Hsiau} et al., Electron. J. Probab. 19, Paper No. 120, 18 p. (2014; Zbl 1325.60062) Full Text: DOI
Eichelsbacher, Peter; Thäle, Christoph New Berry-Esseen bounds for non-linear functionals of Poisson random measures. (English) Zbl 1307.60066 Electron. J. Probab. 19, Paper No. 102, 25 p. (2014). MSC: 60G57 60F05 60G55 60G51 60H05 60H07 60D05 PDFBibTeX XMLCite \textit{P. Eichelsbacher} and \textit{C. Thäle}, Electron. J. Probab. 19, Paper No. 102, 25 p. (2014; Zbl 1307.60066) Full Text: DOI arXiv
Hansen, Niels Richard; Sokol, Alexander Causal interpretation of stochastic differential equations. (English) Zbl 1307.60080 Electron. J. Probab. 19, Paper No. 100, 24 p. (2014). MSC: 60H10 60G51 62A01 PDFBibTeX XMLCite \textit{N. R. Hansen} and \textit{A. Sokol}, Electron. J. Probab. 19, Paper No. 100, 24 p. (2014; Zbl 1307.60080) Full Text: DOI arXiv
Delong, Łukasz Pricing and hedging of variable annuities with state-dependent fees. (English) Zbl 1304.91098 Insur. Math. Econ. 58, 24-33 (2014). MSC: 91B30 91G20 60H10 60H30 60G51 PDFBibTeX XMLCite \textit{Ł. Delong}, Insur. Math. Econ. 58, 24--33 (2014; Zbl 1304.91098) Full Text: DOI
Fu, Ke-Ang; Ng, Cheuk Yin Andrew Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims. (English) Zbl 1304.60098 Insur. Math. Econ. 56, 80-87 (2014). MSC: 60K10 60G51 91B30 60F10 PDFBibTeX XMLCite \textit{K.-A. Fu} and \textit{C. Y. A. Ng}, Insur. Math. Econ. 56, 80--87 (2014; Zbl 1304.60098) Full Text: DOI
Privault, N.; Yang, Xiangfeng; Zambrini, J.-C. Feynman-Kac formula for Lévy processes and semiclassical (Euclidean) momentum representation. (English) Zbl 1310.60057 Markov Process. Relat. Fields 20, No. 3, 577-600 (2014). MSC: 60G51 60J75 60F10 47D06 47G20 PDFBibTeX XMLCite \textit{N. Privault} et al., Markov Process. Relat. Fields 20, No. 3, 577--600 (2014; Zbl 1310.60057) Full Text: arXiv
Imai, Junichi; Tan, Ken Seng Pricing derivative securities using integrated quasi-Monte Carlo methods with dimension reduction and discontinuity realignment. (English) Zbl 1307.65003 SIAM J. Sci. Comput. 36, No. 5, A2101-A2121 (2014). MSC: 65C05 91G60 PDFBibTeX XMLCite \textit{J. Imai} and \textit{K. S. Tan}, SIAM J. Sci. Comput. 36, No. 5, A2101--A2121 (2014; Zbl 1307.65003) Full Text: DOI
Fageot, Julien; Amini, Arash; Unser, Michael On the continuity of characteristic functionals and sparse stochastic modeling. (English) Zbl 1306.60036 J. Fourier Anal. Appl. 20, No. 6, 1179-1211 (2014). MSC: 60G20 60H40 60H10 60G18 PDFBibTeX XMLCite \textit{J. Fageot} et al., J. Fourier Anal. Appl. 20, No. 6, 1179--1211 (2014; Zbl 1306.60036) Full Text: DOI arXiv
Ben Salah, Zied On a generalization of the expected discounted penalty function to include deficits at and beyond ruin. (English) Zbl 1307.91094 Eur. Actuar. J. 4, No. 1, 219-246 (2014). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 91G50 60K10 60G51 62P05 PDFBibTeX XMLCite \textit{Z. Ben Salah}, Eur. Actuar. J. 4, No. 1, 219--246 (2014; Zbl 1307.91094) Full Text: DOI arXiv
Umarov, Sabir; Daum, Frederick; Nelson, Kenric Fractional generalizations of filtering problems and their associated fractional Zakai equations. (English) Zbl 1306.60081 Fract. Calc. Appl. Anal. 17, No. 3, 745-764 (2014). MSC: 60H10 60G51 60H05 35S10 26A33 PDFBibTeX XMLCite \textit{S. Umarov} et al., Fract. Calc. Appl. Anal. 17, No. 3, 745--764 (2014; Zbl 1306.60081) Full Text: DOI arXiv Link
Kerss, Alexander; Leonenko, Nikolai N.; Sikorskii, Alla Fractional Skellam processes with applications to finance. (English) Zbl 1310.60034 Fract. Calc. Appl. Anal. 17, No. 2, 532-551 (2014). MSC: 60G22 60E05 60G51 26A33 PDFBibTeX XMLCite \textit{A. Kerss} et al., Fract. Calc. Appl. Anal. 17, No. 2, 532--551 (2014; Zbl 1310.60034) Full Text: DOI
Kosenkova, T.; Kulik, A. Transportation distance between the Lévy measures and stochastic equations for Lévy-type processes. (English) Zbl 1396.60091 Mod. Stoch., Theory Appl. 1, No. 1, 49-64 (2014). MSC: 60J75 60G51 60H10 PDFBibTeX XMLCite \textit{T. Kosenkova} and \textit{A. Kulik}, Mod. Stoch., Theory Appl. 1, No. 1, 49--64 (2014; Zbl 1396.60091) Full Text: DOI
Kiessling, Jonas; Tempone, Raúl Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models. (English) Zbl 1310.65168 BIT 54, No. 4, 1023-1065 (2014). Reviewer: Ivan Secrieru (Chişinău) MSC: 65R20 45K05 91B24 91G60 PDFBibTeX XMLCite \textit{J. Kiessling} and \textit{R. Tempone}, BIT 54, No. 4, 1023--1065 (2014; Zbl 1310.65168) Full Text: DOI
Kevei, Péter; Mason, David M. The limit distribution of ratios of jumps and sums of jumps of subordinators. (English) Zbl 1329.60033 ALEA, Lat. Am. J. Probab. Math. Stat. 11, No. 2, 631-642 (2014). MSC: 60F05 60G51 PDFBibTeX XMLCite \textit{P. Kevei} and \textit{D. M. Mason}, ALEA, Lat. Am. J. Probab. Math. Stat. 11, No. 2, 631--642 (2014; Zbl 1329.60033) Full Text: arXiv Link
Faye, Ibrahima; Sow, Ahmadou Bamba Backward doubly stochastic differential equation driven by Lévy process: a comparison theorem. (English) Zbl 1305.60043 Afr. Mat. 25, No. 4, 869-880 (2014). MSC: 60H10 60G51 60G57 60H05 60G44 PDFBibTeX XMLCite \textit{I. Faye} and \textit{A. B. Sow}, Afr. Mat. 25, No. 4, 869--880 (2014; Zbl 1305.60043) Full Text: DOI
D’Ovidio, Mirko; Orsingher, Enzo; Toaldo, Bruno Time-changed processes governed by space-time fractional telegraph equations. (English) Zbl 1309.60046 Stochastic Anal. Appl. 32, No. 6, 1009-1045 (2014). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G52 60G51 26A33 35R11 34A08 34K37 35C05 33C10 PDFBibTeX XMLCite \textit{M. D'Ovidio} et al., Stochastic Anal. Appl. 32, No. 6, 1009--1045 (2014; Zbl 1309.60046) Full Text: DOI arXiv
Faraud, Gabriel; Goutte, Stéphane Bessel bridges decomposition with varying dimension: applications to finance. (English) Zbl 1307.60077 J. Theor. Probab. 27, No. 4, 1375-1403 (2014). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 60H10 60G07 60H35 91B70 91G40 91G80 PDFBibTeX XMLCite \textit{G. Faraud} and \textit{S. Goutte}, J. Theor. Probab. 27, No. 4, 1375--1403 (2014; Zbl 1307.60077) Full Text: DOI arXiv
Deng, Chang-Song Harnack inequalities for SDEs driven by subordinate Brownian motions. (English) Zbl 1306.60071 J. Math. Anal. Appl. 417, No. 2, 970-978 (2014). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H10 60G51 60J65 PDFBibTeX XMLCite \textit{C.-S. Deng}, J. Math. Anal. Appl. 417, No. 2, 970--978 (2014; Zbl 1306.60071) Full Text: DOI
Bull, Adam D. Estimating time-changes in noisy Lévy models. (English) Zbl 1305.62387 Ann. Stat. 42, No. 5, 2026-2057 (2014). MSC: 62P20 62G08 62G20 62G35 PDFBibTeX XMLCite \textit{A. D. Bull}, Ann. Stat. 42, No. 5, 2026--2057 (2014; Zbl 1305.62387) Full Text: DOI arXiv
Lindgren, Georg; Rootzén, Holger; Sandsten, Maria Stationary stochastic processes for scientists and engineers. (English) Zbl 1312.60001 Boca Raton, FL: CRC Press (ISBN 978-1-4665-8618-5/hbk). xvi, 314 p. (2014). Reviewer: Miroslav M. Ristić (Niš) MSC: 60-01 60G10 62M10 60G15 60G55 60G51 62M15 62M20 60G35 PDFBibTeX XMLCite \textit{G. Lindgren} et al., Stationary stochastic processes for scientists and engineers. Boca Raton, FL: CRC Press (2014; Zbl 1312.60001)
Kosenkova, T. I. On a method of the Lévy type processes construction. (English) Zbl 1313.60102 Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 2014, No. 2, 23-28 (2014). MSC: 60H10 60H35 PDFBibTeX XMLCite \textit{T. I. Kosenkova}, Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 2014, No. 2, 23--28 (2014; Zbl 1313.60102)
Karnaukh, E. V. Distribution of some functionals for a Lévy process with matrix-exponential jumps of the same sign. (English) Zbl 1313.60085 Theory Stoch. Process. 19, No. 1, 26-36 (2014). MSC: 60G51 60K10 PDFBibTeX XMLCite \textit{E. V. Karnaukh}, Theory Stoch. Process. 19, No. 1, 26--36 (2014; Zbl 1313.60085) Full Text: arXiv
Gao, Hongjun; Liang, Fei On the stochastic beam equation driven by a non-Gaussian Lévy process. (English) Zbl 1319.60139 Discrete Contin. Dyn. Syst., Ser. B 19, No. 4, 1027-1045 (2014). Reviewer: Dora Seleši (Novi Sad) MSC: 60H15 60G51 35R60 35L70 35Q74 PDFBibTeX XMLCite \textit{H. Gao} and \textit{F. Liang}, Discrete Contin. Dyn. Syst., Ser. B 19, No. 4, 1027--1045 (2014; Zbl 1319.60139) Full Text: DOI
Liu, Guangying; Tang, Jiashan; Zhang, Xinsheng Central limit theorems for power variation of Gaussian integral processes with jumps. (English) Zbl 1309.60013 Sci. China, Math. 57, No. 8, 1671-1685 (2014). MSC: 60F05 60G15 60G51 60H05 60G99 PDFBibTeX XMLCite \textit{G. Liu} et al., Sci. China, Math. 57, No. 8, 1671--1685 (2014; Zbl 1309.60013) Full Text: DOI
Yeressian, Karen Asymptotic behavior of elliptic nonlocal equations set in cylinders. (English) Zbl 1306.35022 Asymptotic Anal. 89, No. 1-2, 21-35 (2014). Reviewer: Dagmar Medková (Praha) MSC: 35J25 35R11 35R06 35D30 35B40 PDFBibTeX XMLCite \textit{K. Yeressian}, Asymptotic Anal. 89, No. 1--2, 21--35 (2014; Zbl 1306.35022) Full Text: DOI
Khikhol, S. A. Averaging the local characteristics brings a semimartingale with independent increments closer to Lévy processes. (English. Russian original) Zbl 1310.60047 Theory Probab. Appl. 58, No. 3, 413-429 (2014); translation from Teor. Veroyatn. Primen. 58, No. 3, 486-505 (2013). MSC: 60G48 60G51 PDFBibTeX XMLCite \textit{S. A. Khikhol}, Theory Probab. Appl. 58, No. 3, 413--429 (2014; Zbl 1310.60047); translation from Teor. Veroyatn. Primen. 58, No. 3, 486--505 (2013) Full Text: DOI
Tardif, Camille Lyapunov spectrum of a relativistic stochastic flow in the Poincaré group. (English) Zbl 1373.37130 Stoch. Dyn. 14, No. 4, Article ID 1450013, 29 p. (2014). MSC: 37H15 60G51 83A05 PDFBibTeX XMLCite \textit{C. Tardif}, Stoch. Dyn. 14, No. 4, Article ID 1450013, 29 p. (2014; Zbl 1373.37130) Full Text: DOI arXiv
Maejima, Makoto; Takamune, Taisuke; Ueda, Yohei The dichotomy of recurrence and transience of semi-Lévy processes. (English) Zbl 1321.60096 J. Theor. Probab. 27, No. 3, 982-996 (2014). Reviewer: Alexander Schnurr (Siegen) MSC: 60G51 60G50 60F15 60F05 PDFBibTeX XMLCite \textit{M. Maejima} et al., J. Theor. Probab. 27, No. 3, 982--996 (2014; Zbl 1321.60096) Full Text: DOI arXiv
Tappe, Stefan; Weber, Stefan Stochastic mortality models: an infinite-dimensional approach. (English) Zbl 1308.60065 Finance Stoch. 18, No. 1, 209-248 (2014). Reviewer: Jonas Šiaulys (Vilnius) MSC: 60G55 60G57 60G51 60H15 91D20 PDFBibTeX XMLCite \textit{S. Tappe} and \textit{S. Weber}, Finance Stoch. 18, No. 1, 209--248 (2014; Zbl 1308.60065) Full Text: DOI arXiv
Park, Hyunchul; Song, Renming Trace estimates for relativistic stable processes. (English) Zbl 1308.60059 Potential Anal. 41, No. 4, 1273-1291 (2014). MSC: 60G51 60G52 60J35 PDFBibTeX XMLCite \textit{H. Park} and \textit{R. Song}, Potential Anal. 41, No. 4, 1273--1291 (2014; Zbl 1308.60059) Full Text: DOI arXiv
Foucart, Clément; Uribe Bravo, Gerónimo Local extinction in continuous-state branching processes with immigration. (English) Zbl 1314.60146 Bernoulli 20, No. 4, 1819-1844 (2014). Reviewer: Heinrich Hering (Rockenberg) MSC: 60J80 60G51 60G52 PDFBibTeX XMLCite \textit{C. Foucart} and \textit{G. Uribe Bravo}, Bernoulli 20, No. 4, 1819--1844 (2014; Zbl 1314.60146) Full Text: DOI arXiv Euclid
Kohatsu-Higa, Arturo; Nualart, Eulalia; Tran, Ngoc Khue LAN property for a simple Lévy process. (Propriété LAN pour un processus de Lévy simple.) (English. French summary) Zbl 1306.60048 C. R., Math., Acad. Sci. Paris 352, No. 10, 859-864 (2014). Reviewer: Masafumi Akahira (Ibaraki) MSC: 60G51 60J65 60H07 62F12 PDFBibTeX XMLCite \textit{A. Kohatsu-Higa} et al., C. R., Math., Acad. Sci. Paris 352, No. 10, 859--864 (2014; Zbl 1306.60048) Full Text: DOI arXiv
Chen, Zhiyin; Song, He EPV-operators in barrier option with a simple time dependent barrier. (English) Zbl 1313.91166 Acta Sci. Nat. Univ. Nankaiensis 47, No. 2, 58-68 (2014). MSC: 91G20 60G51 60G40 PDFBibTeX XMLCite \textit{Z. Chen} and \textit{H. Song}, Acta Sci. Nat. Univ. Nankaiensis 47, No. 2, 58--68 (2014; Zbl 1313.91166)
Zhao, Huiyan Reflected non-Lipschitz backward stochastic differential equations with jumps and RCLL barrier. (English) Zbl 1313.60118 Adv. Math., Beijing 43, No. 1, 118-132 (2014). MSC: 60H10 60G51 PDFBibTeX XMLCite \textit{H. Zhao}, Adv. Math., Beijing 43, No. 1, 118--132 (2014; Zbl 1313.60118)
Jurek, Zbigniew J. Remarks on the factorization property of some random integrals. (English) Zbl 1302.60088 Stat. Probab. Lett. 94, 192-195 (2014). MSC: 60H05 60E07 60B11 44A05 60B10 PDFBibTeX XMLCite \textit{Z. J. Jurek}, Stat. Probab. Lett. 94, 192--195 (2014; Zbl 1302.60088) Full Text: DOI
Trabs, Mathias On infinitely divisible distributions with polynomially decaying characteristic functions. (English) Zbl 1302.60038 Stat. Probab. Lett. 94, 56-62 (2014). MSC: 60E07 46N30 60E10 62G07 60G51 PDFBibTeX XMLCite \textit{M. Trabs}, Stat. Probab. Lett. 94, 56--62 (2014; Zbl 1302.60038) Full Text: DOI arXiv
Crane, Harry The cut-and-paste process. (English) Zbl 1317.60034 Ann. Probab. 42, No. 5, 1952-1979 (2014). MSC: 60G09 60J25 60J35 60K35 60B20 PDFBibTeX XMLCite \textit{H. Crane}, Ann. Probab. 42, No. 5, 1952--1979 (2014; Zbl 1317.60034) Full Text: DOI arXiv Euclid
Lindskog, Filip; Resnick, Sidney I.; Roy, Joyjit Regularly varying measures on metric spaces: hidden regular variation and hidden jumps. (English) Zbl 1317.60007 Probab. Surv. 11, 270-314 (2014). Reviewer: Sophia L. Kalpazidou (Thessaloniki) MSC: 60B05 28A33 60G17 60G51 60G70 PDFBibTeX XMLCite \textit{F. Lindskog} et al., Probab. Surv. 11, 270--314 (2014; Zbl 1317.60007) Full Text: DOI arXiv Euclid
Yang, Yang; Wang, Kaiyong; Konstantinides, Dimitrios G. Uniform asymptotics for discounted aggregate claims in dependent risk models. (English) Zbl 1303.91097 J. Appl. Probab. 51, No. 3, 669-684 (2014). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 60G51 60K05 60G70 PDFBibTeX XMLCite \textit{Y. Yang} et al., J. Appl. Probab. 51, No. 3, 669--684 (2014; Zbl 1303.91097) Full Text: DOI Euclid
Samoĭlenko, I. V. Large deviations for impulsive processes in the scheme of the Lévy approximation. (English. Ukrainian original) Zbl 1329.60057 Theory Probab. Math. Stat. 88, 151-160 (2014); translation from Teor. Jmovirn. Mat. Stat. 88, 135-143 (2013). MSC: 60F10 60G51 60J75 60J55 60F17 60B10 60G60 60G46 PDFBibTeX XMLCite \textit{I. V. Samoĭlenko}, Theory Probab. Math. Stat. 88, 151--160 (2014; Zbl 1329.60057); translation from Teor. Jmovirn. Mat. Stat. 88, 135--143 (2013) Full Text: DOI
Etoré, Pierre; Mariucci, Ester \(L_1\)-distance for additive processes with time-homogeneous Lévy measures. (English) Zbl 1300.60017 Electron. Commun. Probab. 19, Paper No. 57, 10 p. (2014). MSC: 60B10 60E15 60G51 PDFBibTeX XMLCite \textit{P. Etoré} and \textit{E. Mariucci}, Electron. Commun. Probab. 19, Paper No. 57, 10 p. (2014; Zbl 1300.60017) Full Text: DOI arXiv
Brockwell, P. J. Recent results in the theory and applications of CARMA processes. (English) Zbl 1334.60003 Ann. Inst. Stat. Math. 66, No. 4, 647-685 (2014). MSC: 60-02 60G10 60G12 60G51 62M10 62M20 PDFBibTeX XMLCite \textit{P. J. Brockwell}, Ann. Inst. Stat. Math. 66, No. 4, 647--685 (2014; Zbl 1334.60003) Full Text: DOI
Klusik, Przemysław; Palmowski, Zbigniew A note on Wiener-Hopf factorization for Markov additive processes. (English) Zbl 1305.60034 J. Theor. Probab. 27, No. 1, 202-219 (2014). Reviewer: Ze-Chun Hu (Nanjing) MSC: 60G51 60G05 60J25 60J75 PDFBibTeX XMLCite \textit{P. Klusik} and \textit{Z. Palmowski}, J. Theor. Probab. 27, No. 1, 202--219 (2014; Zbl 1305.60034) Full Text: DOI arXiv
Fasen, Vicky Limit theory for high frequency sampled MCARMA models. (English) Zbl 1429.62394 Adv. Appl. Probab. 46, No. 3, 846-877 (2014). MSC: 62M10 60F05 60G51 PDFBibTeX XMLCite \textit{V. Fasen}, Adv. Appl. Probab. 46, No. 3, 846--877 (2014; Zbl 1429.62394) Full Text: DOI Euclid
Matsui, Muneya Prediction in a non-homogeneous Poisson cluster model. (English) Zbl 1296.60128 Insur. Math. Econ. 55, 10-17 (2014). MSC: 60G55 60G51 60G25 91B30 PDFBibTeX XMLCite \textit{M. Matsui}, Insur. Math. Econ. 55, 10--17 (2014; Zbl 1296.60128) Full Text: DOI arXiv
Kim, Panki; Mimica, Ante Green function estimates for subordinate Brownian motions: stable and beyond. (English) Zbl 1327.60165 Trans. Am. Math. Soc. 366, No. 8, 4383-4422 (2014). Reviewer: Mohamed Hmissi (Riyadh) MSC: 60J65 60J45 60G51 60G52 60J75 PDFBibTeX XMLCite \textit{P. Kim} and \textit{A. Mimica}, Trans. Am. Math. Soc. 366, No. 8, 4383--4422 (2014; Zbl 1327.60165) Full Text: DOI arXiv
Baghery, Fouzia; Khelfallah, Nabil; Mezerdi, Brahim; Turpin, Isabelle Fully coupled forward backward stochastic differential equations driven by Lévy processes and application to differential games. (English) Zbl 1300.60073 Random Oper. Stoch. Equ. 22, No. 3, 151-161 (2014). MSC: 60H10 49N70 65K10 91A15 93E20 PDFBibTeX XMLCite \textit{F. Baghery} et al., Random Oper. Stoch. Equ. 22, No. 3, 151--161 (2014; Zbl 1300.60073) Full Text: DOI
Chen, Zhen-Qing; Kim, Kyeong-Hun An \(L_{p}\)-theory for non-divergence form SPDEs driven by Lévy processes. (English) Zbl 1296.60163 Forum Math. 26, No. 5, 1381-1411 (2014). MSC: 60H15 35R60 PDFBibTeX XMLCite \textit{Z.-Q. Chen} and \textit{K.-H. Kim}, Forum Math. 26, No. 5, 1381--1411 (2014; Zbl 1296.60163) Full Text: DOI arXiv
Jaimungal, Sebastian; Chong, Yuxiang Valuing clustering in catastrophe derivatives. (English) Zbl 1294.91077 Quant. Finance 14, No. 2, 259-270 (2014). MSC: 91B30 91G20 91G60 PDFBibTeX XMLCite \textit{S. Jaimungal} and \textit{Y. Chong}, Quant. Finance 14, No. 2, 259--270 (2014; Zbl 1294.91077) Full Text: DOI
Zhang, Xicheng Fundamental solution of kinetic Fokker-Planck operator with anisotropic nonlocal dissipativity. (English) Zbl 1307.60089 SIAM J. Math. Anal. 46, No. 3, 2254-2280 (2014). Reviewer: Dominique Lepingle (Orléans) MSC: 60H10 60H07 60G51 35Q84 82C31 PDFBibTeX XMLCite \textit{X. Zhang}, SIAM J. Math. Anal. 46, No. 3, 2254--2280 (2014; Zbl 1307.60089) Full Text: DOI arXiv
Bogdan, Krzysztof; Komorowski, Tomasz Principal eigenvalue of the fractional Laplacian with a large incompressible drift. (English) Zbl 1296.35101 NoDEA, Nonlinear Differ. Equ. Appl. 21, No. 4, 541-566 (2014). MSC: 35P20 35R11 35R09 47G20 60G51 60J75 PDFBibTeX XMLCite \textit{K. Bogdan} and \textit{T. Komorowski}, NoDEA, Nonlinear Differ. Equ. Appl. 21, No. 4, 541--566 (2014; Zbl 1296.35101) Full Text: DOI arXiv
Okhrati, Ramin; Balbás, Alejandro; Garrido, José Hedging of defaultable claims in a structural model using a locally risk-minimizing approach. (English) Zbl 1348.60067 Stochastic Processes Appl. 124, No. 9, 2868-2891 (2014). MSC: 60G48 60G51 91G80 PDFBibTeX XMLCite \textit{R. Okhrati} et al., Stochastic Processes Appl. 124, No. 9, 2868--2891 (2014; Zbl 1348.60067) Full Text: DOI arXiv