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Found 154 Documents (Results 1–100)

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).
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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).
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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
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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).
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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).
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