Found 225 Documents (Results 1–100)

100
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Transportation inequalities for doubly perturbed stochastic differential equations with Markovian switching. (English)Zbl 07543247

MSC:  60H15 60G15 60H05
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Statistical inference for doubly geometric process with exponential distribution. (English)Zbl 07512864

MSC:  60K99 62M99 62F12
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Bounds on the mean and squared coefficient of variation of phase-type distributions. (English)Zbl 1478.60210

MSC:  60J27 60E15 60G55
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Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps. (English)Zbl 1457.60085

MSC:  60H10 60G55 60H30
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Forward backward doubly stochastic differential equations and the optimal filtering of diffusion processes. (English)Zbl 1458.60067

MSC:  60H10 60H30
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Existence of optimal controls for systems of controlled forward-backward doubly SDEs. (English)Zbl 1443.60065

MSC:  60H10 60G55 93E20
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An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications. (English)Zbl 1433.93155

MSC:  93E20 60H30 60G20
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Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes. (English)Zbl 1436.93144

MSC:  93E20 93C15 60H10
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The concavity of $$p$$-Rényi entropy power for doubly nonlinear diffusion equations and $$L^p$$-Gagliardo-Nirenberg-Sobolev inequalities. (English)Zbl 1431.58014

MSC:  58J65 60E15
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On double-boundary non-crossing probability for a class of compound processes with applications. (English)Zbl 1430.90013

MSC:  90B05 60G17 65T50
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Hedging options in a doubly Markov-modulated financial market via stochastic flows. (English)Zbl 1431.91404

MSC:  91G20 60J28 91G10
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Pricing vulnerable power exchange options in an intensity based framework. (English)Zbl 1410.91461

MSC:  91G20 91G40 60J75 91G60
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A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes. (English)Zbl 1414.93202

MSC:  93E20 93C15 60H10 60J75
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Assessment of the maintenance cost and analysis of availability measures in a finite life cycle for a system subject to competing failures. (English)Zbl 1411.90107

MSC:  90B25 60G15 65C05
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MSC:  60-XX
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Optimal estimation of the states of synchronous generalized flow of events of the second order under its complete observability. (English)Zbl 1450.90001

Dudin, Alexander (ed.) et al., Information technologies and mathematical modelling. Queueing theory and applications. 17th international conference, ITMM 2018, named after A.F. Terpugov, and 12th workshop on retrial queues and related topics, WRQ 2018, Tomsk, Russia, September 10–15, 2018. Selected papers. Cham: Springer. Commun. Comput. Inf. Sci. 912, 157-171 (2018).
MSC:  90B22 90B15 60J20
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Kolmogorov’s forward PIDE and forward transition rates in life insurance. (English)Zbl 1401.91104

MSC:  91B30 35R09 60J20
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Limit distributions for doubly stochastically rarefied renewal processes and their properties. (English. Russian original)Zbl 1377.60042

Theory Probab. Appl. 61, No. 4, 649-664 (2017); translation from Teor. Veroyatn. Primen. 61, No. 4, 753-773 (2016).
MSC:  60F05 60K05 60G52
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Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes. (English)Zbl 1378.62044

MSC:  62L15 60G55
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On the Helmert matrix and application in stochastic processes. (English)Zbl 1372.15027

MSC:  15B51 60J10 60G10

Conditional Markov chains: properties, construction and structured dependence. (English)Zbl 1358.60081

MSC:  60J27 60G55
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Sufficient conditions of optimality for forward-backward doubly SDEs with jumps. (English)Zbl 1403.93193

Eddahbi, M’hamed (ed.) et al., Statistical methods and applications in insurance and finance. CIMPA school, Marrakech and Kelaat M’gouna, Morocco, April 8–20, 2013. Cham: Springer (ISBN 978-3-319-30416-8/hbk; 978-3-319-30417-5/ebook). Springer Proceedings in Mathematics & Statistics 158, 173-191 (2016).
MSC:  93E20 49K45 60H10 60J75
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Conditional $$\Gamma$$-minimax prediction with a precautionary loss function in a marked point process model. (English)Zbl 1358.62076

MSC:  62M20 60G55 60G57 62C10 62C20 62F35 91B30
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Block-structured supermarket models. (English)Zbl 1354.93019

MSC:  93A30 90B22 93E03 93C40 60J99
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Catastrophe equity put options with target variance. (English)Zbl 1371.91184

MSC:  91G20 91B30
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A note on functional limit theorems for compound Cox processes. (English)Zbl 1387.60059

MSC:  60F17 60G55 60G51 60J75
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Continuous affine processes: transformations, Markov chains and life insurance. (English)Zbl 1414.91167

MSC:  91B30 91G40 60J20
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Backward doubly stochastic equations with jumps and comparison theorems. (English)Zbl 1382.60084

MSC:  60H10 35R60 60J75 35B51
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Amplitude and phase variation of point processes. (English)Zbl 1381.62261

MSC:  62M30 60G55 62G05
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Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles. (English)Zbl 1329.60234

MSC:  60H35 60H10 60J75 65C30 34K28
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Some properties of doubly skewed CIR processes. (English)Zbl 1334.60169

MSC:  60J60 60H10
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Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes. (English)Zbl 1338.91077

MSC:  91B30 60G51
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Barrier reflected backward doubly stochastic differential equations with discontinuous generators. (English)Zbl 1340.60098

MSC:  60H15 60G15
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Estimating doubly stochastic Poisson process with affine intensities by Kalman filter. (English)Zbl 1329.62393

MSC:  62M99 62M20 62P05
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Conditional Markov chains – construction and properties. (English)Zbl 1323.60102

Chojnowska-Michalik, Anna (ed.) et al., Stochastic analysis. Special volume in honour of Jerzy Zabczyk. Selected papers based on the presentations at the Banach Center conference on stochastic analysis and control, Bȩdlewo, Poland, May 6–10, 2013. Warsaw: Polish Academy of Sciences, Institute of Mathematics (ISBN 978-83-86806-28-7/pbk). Banach Center Publications 105, 33-42 (2015).
MSC:  60J27 60G55 60G44 60J75
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Optimality of doubly reflected Lévy processes in singular control. (English)Zbl 1329.49039

MSC:  49K45 60G51 93E20
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The space of $$D$$-norms revisited. (English)Zbl 1310.60062

MSC:  60G70 60E99
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Doubly stochastic models with asymmetric GARCH errors. (English)Zbl 1413.62188

MSC:  62P05 62M10

Doubly stochastic models with threshold GARCH innovations. (English)Zbl 1374.91142

MSC:  91G70 62M10 91B84

Stochastic maximum principle for Hilbert space valued forward-backward doubly SDEs with Poisson jumps. (English)Zbl 1325.60084

Pötzsche, Christian (ed.) et al., System modeling and optimization. 26th IFIP TC 7 conference, CSMO 2013, Klagenfurt, Austria, September 9–13, 2013. Revised selected papers. Heidelberg: Springer (ISBN 978-3-662-45503-6/hbk; 978-3-662-45504-3/ebook). IFIP Advances in Information and Communication Technology 443, 1-10 (2014).
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Gradient estimates and entropy monotonicity formula for doubly nonlinear diffusion equations on Riemannian manifolds. (English)Zbl 1318.58014

MSC:  58J35 35K55 58J65
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Copulas with continuous, strictly increasing singular conditional distribution functions. (English)Zbl 1307.60007

MSC:  60E05 62H05 60J05
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Bayesian prediction in doubly stochastic Poisson process. (English)Zbl 1305.62121

MSC:  62F15 60G55
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Bilateral credit valuation adjustment for large credit derivatives portfolios. (English)Zbl 1306.91145

MSC:  91G40 60H10 91G20
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Dependent interest and transition rates in life insurance. (English)Zbl 1296.91145

MSC:  91B30 60J20
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Fractional discrete processes: compound and mixed Poisson representations. (English)Zbl 1294.26004

MSC:  26A33 33E12 60G22
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The dynamics of discrete populations and series of events. (English)Zbl 1315.92002

Graduate Student Series in Physics. Boca Raton, FL: CRC Press (ISBN 978-1-4200-6067-6/hbk). x, 213 p. (2014).

Intensity-based premium evaluation for unemployment insurance products. (English)Zbl 1284.91207

MSC:  91B30 62P05 60J28 65C05
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On convergence of random walks generated by compound Cox processes to Lévy processes. (English)Zbl 1288.60060

MSC:  60G51 60G52
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On latent position inference from doubly stochastic messaging activities. (English)Zbl 06251541

MSC:  62M05 60G35 60G55
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What happened to discrete chaos, the Quenouille process, and the sharp Markov property? Some history of stochastic point processes. (English. French summary)Zbl 1415.60002

MSC:  60-03 01A60 60G55
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Reflected backward doubly stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition. (English)Zbl 1286.60053

MSC:  60H10 60G51
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On backward product of stochastic matrices. (English)Zbl 1275.15021

MSC:  15B51 60J10
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Reflected generalized backward doubly SDEs driven by Lévy processes and applications. (English)Zbl 1259.60062

MSC:  60H15 60H20
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Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients. (English)Zbl 1259.60063

MSC:  60H15 60F05
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Numerical solutions of doubly perturbed stochastic delay differential equations driven by Lévy process. (English)Zbl 1255.60116

MSC:  60H35 60H10 65C50 60J75
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Asymptotic equidistribution of congruence classes with respect to the convolution iterates of a probability vector. (English)Zbl 1251.60007

MSC:  60C05 60G10 05A16
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MSC:  60J10
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Pricing of unemployment insurance products with doubly stochastic Markov chains. (English)Zbl 1246.91050

MSC:  91B30 91B25 60J10
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On the smoothing estimation problem for the intensity of a DSMPP. (English)Zbl 1241.62120

MSC:  62M09 65C60 60G55
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Backward doubly stochastic differential equations driven by Levi process: the case of non-Lipschitz coefficients. (Backward doubly stochastic differential equations driven by Levi process: the case of non-Liphschitz coefficients.) (English)Zbl 1360.60116

MSC:  60H10 60G51
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Antieigenvalues of doubly stochastic matrices. (English)Zbl 1256.15018

MSC:  15B51 60J10 15A18

Doubly stochastic models with GARCH innovations. (English)Zbl 1229.91363

MSC:  91G70 62M10 60G10
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On a strong metric on the space of copulas and its induced dependence measure. (English)Zbl 1252.46019

MSC:  46E27 47D07 60J99
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Gaussian process classification: Singly versus doubly stochastic models, and new computational schemes. (English)Zbl 1221.62097

MSC:  62H30 86A32 62M09 65C60 62M99
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Pricing and hedging of rating-sensitive claims modeled by $$\mathbb{F}$$-doubly stochastic Markov chains. (English)Zbl 1283.91178

Di Nunno, Giulia (ed.) et al., Advanced mathematical methods for finance. Berlin: Springer (ISBN 978-3-642-18411-6/hbk; 978-3-642-18412-3/ebook). 417-453 (2011).
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Backward doubly stochastic differential equations with jumps under local Lipschitz conditions. (Chinese. English summary)Zbl 1240.60176

MSC:  60H10 60J75

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Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options. (English)Zbl 1218.60068

MSC:  60J75 60H30 60J60 60J70 91G20 91G80
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Systems reliability in case of regenerative flow of elements failures. (English. Russian original)Zbl 1210.90054

Autom. Remote Control 71, No. 7, 1294-1307 (2010); translation from Avtom. Telemekh. 2010, No. 7, 15-28 (2010).
MSC:  90B25 60K20
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Doubly perturbed neutral diffusion processes with Markovian switching and Poisson jumps. (English)Zbl 1197.60081

MSC:  60J60 60H10
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Some stochastic properties of “semi-magic” and “magic” Markov chains. (English)Zbl 1201.60076

MSC:  60J10 60J20
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Distributional properties of the negative binomial Lévy process. (English)Zbl 1170.60021

MSC:  60G51 60G50 60E07
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