Fearnhead, Paul; Papaspiliopoulos, Omiros; Roberts, Gareth O.; Stuart, Andrew Random-weight particle filtering of continuous time processes. (English) Zbl 1411.60109 J. R. Stat. Soc., Ser. B, Stat. Methodol. 72, No. 4, 497-512 (2010). MSC: 60J22 65C40 62M20 PDFBibTeX XMLCite \textit{P. Fearnhead} et al., J. R. Stat. Soc., Ser. B, Stat. Methodol. 72, No. 4, 497--512 (2010; Zbl 1411.60109) Full Text: DOI
Hipp, Christian; Taksar, Michael Optimal non-proportional reinsurance control. (English) Zbl 1231.91199 Insur. Math. Econ. 47, No. 2, 246-254 (2010). MSC: 91B30 60J70 PDFBibTeX XMLCite \textit{C. Hipp} and \textit{M. Taksar}, Insur. Math. Econ. 47, No. 2, 246--254 (2010; Zbl 1231.91199) Full Text: DOI
Albeverio, Sergio; Yoshida, Minoru W. Some abstract considerations on the homogenization problem of infinite dimensional diffusions. (English) Zbl 1242.60084 RIMS Kôkyûroku Bessatsu B21, 183-192 (2010). Reviewer: Jean Picard (Aubière) MSC: 60J60 60F05 PDFBibTeX XMLCite \textit{S. Albeverio} and \textit{M. W. Yoshida}, RIMS Kôkyûroku Bessatsu B21, 183--192 (2010; Zbl 1242.60084)
Cai, Ning; Chen, Nan; Wan, Xiangwei Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options. (English) Zbl 1218.60068 Math. Oper. Res. 35, No. 2, 412-437 (2010). Reviewer: Vivek S. Borkar (Mumbai) MSC: 60J75 60H30 60J60 60J70 91G20 91G80 PDFBibTeX XMLCite \textit{N. Cai} et al., Math. Oper. Res. 35, No. 2, 412--437 (2010; Zbl 1218.60068) Full Text: DOI Link
Bayraktar, Erhan; Egami, Masahiko On the one-dimensional optimal switching problem. (English) Zbl 1221.60058 Math. Oper. Res. 35, No. 1, 140-159 (2010). MSC: 60G40 60J60 93E20 PDFBibTeX XMLCite \textit{E. Bayraktar} and \textit{M. Egami}, Math. Oper. Res. 35, No. 1, 140--159 (2010; Zbl 1221.60058) Full Text: DOI arXiv
Höpfner, Reinhard; Kutoyants, Yury Estimating discontinuous periodic signals in a time inhomogeneous diffusion. (English) Zbl 1209.62195 Stat. Inference Stoch. Process. 13, No. 3, 193-230 (2010). MSC: 62M05 62F12 PDFBibTeX XMLCite \textit{R. Höpfner} and \textit{Y. Kutoyants}, Stat. Inference Stoch. Process. 13, No. 3, 193--230 (2010; Zbl 1209.62195) Full Text: DOI
Arapostathis, Ari; Borkar, Vivek S. Uniform recurrence properties of controlled diffusions and applications to optimal control. (English) Zbl 1210.93079 SIAM J. Control Optim. 48, No. 7, 4181-4223 (2010). MSC: 93E15 93E20 60J25 60J60 90C40 PDFBibTeX XMLCite \textit{A. Arapostathis} and \textit{V. S. Borkar}, SIAM J. Control Optim. 48, No. 7, 4181--4223 (2010; Zbl 1210.93079) Full Text: DOI Link
Carrillo, José Antonio; Lisini, Stefano On the asymptotic behavior of the gradient flow of a polyconvex functional. (English) Zbl 1223.35059 Holden, Helge (ed.) et al., Nonlinear partial differential equations and hyperbolic wave phenomena. The 2008–2009 research program on nonlinear partial differential equations, Centre for Advanced Study at the Norwegian Academy of Science and Letters, Oslo, Norway. Providence, RI: American Mathematical Society (AMS) (ISBN 978-0-8218-4976-7/pbk). Contemporary Mathematics 526, 37-51 (2010). Reviewer: M. Marin (Brasov) MSC: 35B40 35K51 35Q84 35K55 PDFBibTeX XMLCite \textit{J. A. Carrillo} and \textit{S. Lisini}, Contemp. Math. 526, 37--51 (2010; Zbl 1223.35059)
Makarov, Roman N.; Glew, Devin Exact simulation of Bessel diffusions. (English) Zbl 1206.65026 Monte Carlo Methods Appl. 16, No. 3-4, 283-306 (2010). MSC: 65C50 PDFBibTeX XMLCite \textit{R. N. Makarov} and \textit{D. Glew}, Monte Carlo Methods Appl. 16, No. 3--4, 283--306 (2010; Zbl 1206.65026) Full Text: DOI arXiv
Joulin, Aldéric; Ollivier, Yann Curvature, concentration and error estimates for Markov chain Monte Carlo. (English) Zbl 1207.65006 Ann. Probab. 38, No. 6, 2418-2442 (2010). Reviewer: Serghey G. Suvorov (Donetsk) MSC: 65C05 60J22 62E17 65C40 82C44 82C80 60K25 60J60 65C30 PDFBibTeX XMLCite \textit{A. Joulin} and \textit{Y. Ollivier}, Ann. Probab. 38, No. 6, 2418--2442 (2010; Zbl 1207.65006) Full Text: DOI arXiv
Profeta, Christophe Penalization of a positively recurrent diffusion by an exponential function of its local time. (English) Zbl 1203.60121 Publ. Res. Inst. Math. Sci. 46, No. 3, 681-718 (2010). Reviewer: Roman Urban (Wrocław) MSC: 60J60 60J55 60J65 PDFBibTeX XMLCite \textit{C. Profeta}, Publ. Res. Inst. Math. Sci. 46, No. 3, 681--718 (2010; Zbl 1203.60121) Full Text: DOI
Alvarez, Luis H. R. Minimum guaranteed payments and costly cancellation rights: a stopping game perspective. (English) Zbl 1232.91641 Math. Finance 20, No. 4, 733-751 (2010). MSC: 91G20 91A60 60G40 PDFBibTeX XMLCite \textit{L. H. R. Alvarez}, Math. Finance 20, No. 4, 733--751 (2010; Zbl 1232.91641) Full Text: DOI Link
Borkar, V. S.; Suresh Kumar, K. A new Markov selection procedure for degenerate diffusions. (English) Zbl 1214.60022 J. Theor. Probab. 23, No. 3, 729-747 (2010). Reviewer: Andrew Dale (Durban) MSC: 60H10 60J25 34F05 35K65 PDFBibTeX XMLCite \textit{V. S. Borkar} and \textit{K. Suresh Kumar}, J. Theor. Probab. 23, No. 3, 729--747 (2010; Zbl 1214.60022) Full Text: DOI
Bailleul, Ismaël A stochastic approach to relativistic diffusions. (English) Zbl 1206.60053 Ann. Inst. Henri Poincaré, Probab. Stat. 46, No. 3, 760-795 (2010). Reviewer: Jacques Franchi (Strasbourg) MSC: 60H10 83C99 58J65 53C50 83C10 PDFBibTeX XMLCite \textit{I. Bailleul}, Ann. Inst. Henri Poincaré, Probab. Stat. 46, No. 3, 760--795 (2010; Zbl 1206.60053) Full Text: DOI arXiv EuDML
Kusuoka, Shigeo; Liang, Song A classical mechanical model of Brownian motion with plural particles. (English) Zbl 1372.60096 Rev. Math. Phys. 22, No. 7, 733-838 (2010). MSC: 60H30 34F05 60J60 60J65 70F45 82C31 PDFBibTeX XMLCite \textit{S. Kusuoka} and \textit{S. Liang}, Rev. Math. Phys. 22, No. 7, 733--838 (2010; Zbl 1372.60096) Full Text: DOI
Nicolau, João Transition density and simulated likelihood estimation for time-inhomogeneous diffusions. (English) Zbl 1200.62096 Commun. Stat., Simulation Comput. 39, No. 7, 1421-1440 (2010). MSC: 62M05 65C05 60J60 60H10 62F10 PDFBibTeX XMLCite \textit{J. Nicolau}, Commun. Stat., Simulation Comput. 39, No. 7, 1421--1440 (2010; Zbl 1200.62096) Full Text: DOI
Osada, Hirofumi Tagged particle processes and their non-explosion criteria. (English) Zbl 1196.60166 J. Math. Soc. Japan 62, No. 3, 867-894 (2010). MSC: 60K35 60J60 82B21 82C22 PDFBibTeX XMLCite \textit{H. Osada}, J. Math. Soc. Japan 62, No. 3, 867--894 (2010; Zbl 1196.60166) Full Text: DOI arXiv
Alibaud, Nathaël; Andreianov, Boris; Bendahmane, Mostafa Renormalized solutions of the fractional Laplace equation. (English) Zbl 1198.35285 C. R., Math., Acad. Sci. Paris 348, No. 13-14, 759-762 (2010). MSC: 35R11 35R10 35R70 47N20 PDFBibTeX XMLCite \textit{N. Alibaud} et al., C. R., Math., Acad. Sci. Paris 348, No. 13--14, 759--762 (2010; Zbl 1198.35285) Full Text: DOI
Fernholz, Daniel; Karatzas, Ioannis On optimal arbitrage. (English) Zbl 1206.60055 Ann. Appl. Probab. 20, No. 4, 1179-1204 (2010). Reviewer: Henryk Gzyl (Caracas) MSC: 60H10 91G10 60G44 35B50 PDFBibTeX XMLCite \textit{D. Fernholz} and \textit{I. Karatzas}, Ann. Appl. Probab. 20, No. 4, 1179--1204 (2010; Zbl 1206.60055) Full Text: DOI arXiv
Crisan, Dan; Xiong, Jie Approximate McKean-Vlasov representations for a class of SPDEs. (English) Zbl 1211.60022 Stochastics 82, No. 1-3, 53-68 (2010). Reviewer: Nicolas Perkowski (Berlin) MSC: 60H15 60K35 35R60 93E11 60G35 PDFBibTeX XMLCite \textit{D. Crisan} and \textit{J. Xiong}, Stochastics 82, No. 1--3, 53--68 (2010; Zbl 1211.60022) Full Text: DOI arXiv
An, Ta Thi Kieu Combined optimal stopping and singular stochastic control. (English) Zbl 1205.49037 Stochastic Anal. Appl. 28, No. 3, 401-414 (2010). MSC: 49K45 47J20 49J40 93E20 PDFBibTeX XMLCite \textit{T. T. K. An}, Stochastic Anal. Appl. 28, No. 3, 401--414 (2010; Zbl 1205.49037) Full Text: DOI Link
Kang, Weining; Ramanan, Kavita A Dirichlet process characterization of a class of reflected diffusions. (English) Zbl 1202.60059 Ann. Probab. 38, No. 3, 1062-1105 (2010). Reviewer: Nijole Kalinauskaitė (Vilnius) MSC: 60G17 60J55 60J65 PDFBibTeX XMLCite \textit{W. Kang} and \textit{K. Ramanan}, Ann. Probab. 38, No. 3, 1062--1105 (2010; Zbl 1202.60059) Full Text: DOI arXiv
Cattiaux, Patrick; Chafaï, Djalil; Motsch, Sébastien Asymptotic analysis and diffusion limit of the Persistent Turning Walker model. (English) Zbl 1194.35468 Asymptotic Anal. 67, No. 1-2, 17-31 (2010). MSC: 35Q92 92D50 35B40 35Q84 60G15 60J60 PDFBibTeX XMLCite \textit{P. Cattiaux} et al., Asymptotic Anal. 67, No. 1--2, 17--31 (2010; Zbl 1194.35468) Full Text: DOI arXiv
Engländer, János; Harris, Simon C.; Kyprianou, Andreas E. Strong law of large numbers for branching diffusions. (English) Zbl 1196.60139 Ann. Inst. Henri Poincaré, Probab. Stat. 46, No. 1, 279-298 (2010). Reviewer: Valentin Topchii (Omsk) MSC: 60J60 60J80 60E15 PDFBibTeX XMLCite \textit{J. Engländer} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 46, No. 1, 279--298 (2010; Zbl 1196.60139) Full Text: DOI arXiv EuDML
Hurd, T. R.; Zhou, Zhuowei A Fourier transform method for spread option pricing. (English) Zbl 1188.91218 SIAM J. Financ. Math. 1, 142-157 (2010). MSC: 91G20 60H35 33B15 65T50 PDFBibTeX XMLCite \textit{T. R. Hurd} and \textit{Z. Zhou}, SIAM J. Financ. Math. 1, 142--157 (2010; Zbl 1188.91218) Full Text: DOI arXiv
Barlow, Martin T.; Bass, Richard F.; Kumagai, Takashi; Teplyaev, Alexander Uniqueness of Brownian motion on Sierpiński carpets. (English) Zbl 1200.60070 J. Eur. Math. Soc. (JEMS) 12, No. 3, 655-701 (2010). Reviewer: D. R. Bell (Jacksonville) MSC: 60J65 60G18 60J35 60J60 28A80 PDFBibTeX XMLCite \textit{M. T. Barlow} et al., J. Eur. Math. Soc. (JEMS) 12, No. 3, 655--701 (2010; Zbl 1200.60070) Full Text: DOI arXiv Link
Alili, L.; Patie, P. Boundary-crossing identities for diffusions having the time-inversion property. (English) Zbl 1197.60080 J. Theor. Probab. 23, No. 1, 65-84 (2010). Reviewer: Pavel Gapeev (London) MSC: 60J60 60J65 60G18 60G40 PDFBibTeX XMLCite \textit{L. Alili} and \textit{P. Patie}, J. Theor. Probab. 23, No. 1, 65--84 (2010; Zbl 1197.60080) Full Text: DOI arXiv
Bassi, Angelo; Dürr, Detlef; Kolb, Martin On the long time behavior of free stochastic Schrödinger evolutions. (English) Zbl 1187.82093 Rev. Math. Phys. 22, No. 1, 55-89 (2010). MSC: 82C31 60H30 60J60 81S99 35R60 PDFBibTeX XMLCite \textit{A. Bassi} et al., Rev. Math. Phys. 22, No. 1, 55--89 (2010; Zbl 1187.82093) Full Text: DOI arXiv
Barczy, M.; Pap, G. Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes. (English) Zbl 1185.62147 J. Stat. Plann. Inference 140, No. 6, 1576-1593 (2010). MSC: 62M05 62F12 60J60 60H10 PDFBibTeX XMLCite \textit{M. Barczy} and \textit{G. Pap}, J. Stat. Plann. Inference 140, No. 6, 1576--1593 (2010; Zbl 1185.62147) Full Text: DOI arXiv
Becker, Martin Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing. (English) Zbl 1182.60020 Comput. Manag. Sci. 7, No. 1, 1-17 (2010). MSC: 60J22 60J65 60J60 65C05 91G20 PDFBibTeX XMLCite \textit{M. Becker}, Comput. Manag. Sci. 7, No. 1, 1--17 (2010; Zbl 1182.60020) Full Text: DOI