## Found 232 Documents (Results 1–100)

100
MathJax

### Reliability analysis of the uncertain heat conduction model. (English)Zbl 07566245

MSC:  80-XX 35-XX
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### First hitting time of Brownian motion on simple graph with skew semiaxes. (English)Zbl 07565031

MSC:  60J65 60G40 60J70
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### Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing. (English)Zbl 07554104

MSC:  60J60 60J65 60G40
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### Optimal double stopping problems for maxima and minima of geometric Brownian motions. (English)Zbl 07554086

MSC:  60G40 91G20 60J70
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### Optimal stopping problems for maxima and minima in models with asymmetric information. (English)Zbl 07533902

MSC:  60G40 91G20
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### First hitting time of a high level by a catalytic branching walk. (English. Russian original)Zbl 07517601

Proc. Steklov Inst. Math. 316, No. 1, 97-104 (2022); translation from Tr. Mat. Inst. Steklova 316, 105-112 (2022).
MSC:  60J80 60G50 60K37
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MSC:  82-XX
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MSC:  60G07
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### Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type. (English)Zbl 07511326

MSC:  91-XX 60-XX
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### Estimating duration distribution aided by auxiliary longitudinal measures in presence of missing time origin. (English)Zbl 07447451

MSC:  62Nxx 62P10
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### On some properties of sticky Brownian motion. (English)Zbl 1479.60161

MSC:  60J55 60J65
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### A result on the Laplace transform associated with the sticky Brownian motion on an interval. (English)Zbl 1483.60117

MSC:  60J60 60J65 33C10
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### $$q$$-random walks on $$\mathbb Z^d$$, $$d = 1, 2, 3$$. (English)Zbl 1480.60207

MSC:  60J10 60G50
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### On the transition density and first hitting time distributions of the doubly skewed CIR process. (English)Zbl 1480.60223

MSC:  60J35 60G40 60H10
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MSC:  62-XX
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### First hitting time about solution for an uncertain fractional differential equation and application to an uncertain risk index model. (English)Zbl 07501441

MSC:  34A08 91B05
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MSC:  60G51
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### The potential function and ladder heights of a recurrent random walk on $$\mathbb{Z}$$ with infinite variance. (English)Zbl 1473.60075

MSC:  60G50 60J45
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### A first hitting time approach to finding effective spreaders in a network. (English)Zbl 1458.94003

Ortega, Omayra (ed.) et al., The golden anniversary celebration of the National Association of Mathematicians. AMS special session on the mathematics of historically black colleges and universities, HBCUs in the Mid-Atlantic. MAA invited paper session on the past 50 years of African Americans in the mathematical sciences. Haynes-Granville-Browne session of presentations by recent doctoral recipients. 2019 Claytor-Wookdard lecture. NAM David Harold Blackwell lecture, Baltimore, MD, USA and Cincinnati, OH, USA, January 17, 18 and 19 and August 2, 2019. Providence, RI: American Mathematical Society (AMS). Contemp. Math. 759, 71-91 (2020).
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### The first exit time stochastic theory applied to estimate the life-time of a complicated system. (English)Zbl 1455.60088

MSC:  60H30 35R60 60G22
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MSC:  60J80
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### Old problems, classical methods, new solutions. (English)Zbl 1447.91178

MSC:  91G20 60G40 35Q91
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### Integral functionals under the excursion measure. (English)Zbl 1434.60210

MSC:  60J45 60J55 60J65
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MSC:  82-XX
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### Relevance vector machine based remaining useful life prediction for traction systems of high-speed trains. (Chinese. English summary)Zbl 1449.62290

MSC:  62P30 62N05 62M10
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### Perpetual dual American barrier options for short sellers. (English)Zbl 1434.62221

Steland, Ansgar (ed.) et al., Stochastic models, statistics and their applications. Collected papers based on the presentations at the 14th workshop, Dresden, Germany, March 6–8, 2019. Cham: Springer. Springer Proc. Math. Stat. 294, 85-99 (2019).
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### Generalized drift analysis in continuous domain. Linear convergence of (1+1)-ES on strongly convex functions with Lipschitz continuous gradients. (English)Zbl 1433.68648

Proceedings of the 15th ACM/SIGEVO workshop on foundations of genetic algorithms, FOGA 2019, Potsdam, Germany, August 27–29, 2019. New York, NY: Association for Computing Machinery (ACM). 13-24 (2019).
MSC:  68W50 90C59
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### High order moments of first hitting times for single death processes. (English)Zbl 1427.60169

MSC:  60J60 60J27
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### A numerical scheme for expectations with first hitting time to smooth boundary. (English)Zbl 1425.91428

MSC:  91G60 65M99 91G20
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### Hitting times to spheres of Brownian motions with drifts starting from the origin. (English)Zbl 1480.60248

MSC:  60J65 60G40 33C10
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### First hitting time of uncertain random renewal reward process and its application in insurance risk process. (English)Zbl 1418.60113

MSC:  60K05 60K10 60A86 91B30
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### Some explicit results on one kind of sticky diffusion. (English)Zbl 1415.60093

MSC:  60J60 91G20
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### Exact results on the first hitting via conditional strong quasi-stationary times and applications to metastability. (English)Zbl 1420.82019

MSC:  82C41 60J10 15B51
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### First hitting time distributions for Brownian motion and regions with piecewise linear boundaries. (English)Zbl 1411.60119

MSC:  60J65 60J75 60J60 60J70
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### On functionals of excursions for Bessel processes with negative index. (English)Zbl 1422.60126

MSC:  60J25 60J35 60J45
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### Joint densities of hitting times for finite state Markov processes. (English)Zbl 1424.60088

MSC:  60J27 60G40 91G40
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### A further study of the choice between two hedging strategies – the continuous case. (English)Zbl 1426.91248

MSC:  91G10 60J25
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### Variational principles of hitting times for non-reversible Markov chains. (English)Zbl 1414.60067

MSC:  60J27 44A10
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### Invariance formulas for stopping times of squared Bessel process. (English)Zbl 1401.60143

MSC:  60J25 60H30 60G40
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### Joint distribution of a Lévy process and its running supremum. (English)Zbl 1396.60049

MSC:  60G51 60H20
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### Pricing European vanilla options under a jump-to-default threshold diffusion model. (English)Zbl 1395.91452

MSC:  91G20 60G07
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### LQG homing problems for processes used in financial mathematics. (English)Zbl 1399.91148

MSC:  91G80 93E20

### The Brownian hitting distributions in space-time of bounded sets and the expected volume of the Wiener sausage for a Brownian bridge. (English)Zbl 1391.60204

MSC:  60J65 60J45 35K20
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### Degradation modeling and remaining useful life prediction with bivariate time scale. (Chinese. English summary)Zbl 1399.93204

MSC:  93E03 62N05

### Reciprocal of the first hitting time of the boundary of dihedral wedges by a radial Dunkl process. (English)Zbl 1388.60085

MSC:  60G18 60G40
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### Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: results and perspectives. (English)Zbl 1382.60064

Panov, Vladimir (ed.), Modern problems of stochastic analysis and statistics. Selected contributions in honor of Valentin Konakov’s 70th birthday, Moscow, Russia, May 29 – June 2, 2016. Cham: Springer (ISBN 978-3-319-65312-9/hbk; 978-3-319-65313-6/ebook). Springer Proceedings in Mathematics & Statistics 208, 219-235 (2017).
MSC:  60G22 60H07
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### Quasi-stationary asymptotics for perturbed semi-Markov processes in discrete time. (English)Zbl 1387.60133

MSC:  60K15 41A60 60K05
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### Minimizing expected time to reach a given capital level before ruin. (English)Zbl 1373.93381

MSC:  93E20 91B30 91B70 91G80
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### An orthogonal-polynomial approach to first-hitting times of birth-death processes. (English)Zbl 1386.60299

MSC:  60J80 42C05
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### The distribution of first hitting times of non-backtracking random walks on Erdos-Rényi networks. (English)Zbl 1369.82018

MSC:  82B41 60G50 05C81
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### The distribution of first hitting times of randomwalks on Erdős-Rényi networks. (English)Zbl 1362.60044

MSC:  60G50 05C81 05C80
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### First hitting time of the boundary of a wedge of angle $$\pi/4$$ by a radial Dunkl process. (English)Zbl 1361.60068

MSC:  60J60 60G18
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### First passage time for Brownian motion and piecewise linear boundaries. (English)Zbl 1360.60155

MSC:  60J65 60J75 60J60 60J70 65C05
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### Asymptotic expansions for moment functionals of perturbed discrete time semi-Markov processes. (English)Zbl 1361.60080

Silvestrov, Sergei (ed.) et al., Engineering mathematics II. Algebraic, stochastic and analysis structures for networks, data classification and optimization. Cham: Springer (ISBN 978-3-319-42104-9/hbk; 978-3-319-42105-6/ebook). Springer Proceedings in Mathematics & Statistics 179, 109-130 (2016).
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### On the size distribution of sand. (English)Zbl 1383.62358

Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 1-13 (2016).
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### The health state curve and the health state life table: life expectancy and healthy life expectancy estimates. (English)Zbl 1365.62429

MSC:  62P10 91D20 62N05
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### The valuation of options on foreign exchange rate in a target zone. (English)Zbl 1337.91115

MSC:  91G20 91G30
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### On the time for Brownian motion to visit every point on a circle. (English)Zbl 1335.60154

MSC:  60J65 60G15
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### Some properties of doubly skewed CIR processes. (English)Zbl 1334.60169

MSC:  60J60 60H10
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### Latent cure rate model under repair system and threshold effect. (English)Zbl 1457.62360

MSC:  62P10 62F15 92C50
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### An accurate treatment of diffuse reflection boundary conditions for a stochastic particle Fokker-Planck algorithm with large time steps. (English)Zbl 1400.76068

MSC:  76M28 35Q84 76X05
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### Drift analysis of mutation operations for biogeography-based optimization. (English)Zbl 1359.68267

MSC:  68T20 90C59
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### Ornstein-Uhlenbeck threshold regression for time-to-event data with and without a cure fraction. (English)Zbl 1322.62019

MSC:  62P10 62N05 92C50
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### Global solvability of a networked integrate-and-fire model of McKean-Vlasov type. (English)Zbl 1322.60085

MSC:  60H10 60K35 60J60 60K05 60J75 92C20
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MSC:  60J65
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MSC:  60J60
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### First hitting time of the integer lattice by symmetric stable processes. (English)Zbl 1328.60121

MSC:  60G52 60G51 60J45
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### Skew Ornstein-Uhlenbeck processes and their financial applications. (English)Zbl 1304.60046

MSC:  60G15 91G40
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### On the pricing of perpetual American compound options. (English)Zbl 1418.91513

Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 283-304 (2014).
MSC:  91G20 60G40
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### An extended exponentiated-G-negative binomial family with threshold effect. (English)Zbl 1352.62150

MSC:  62N01 62P10
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### The limit theory of the Galton-Watson branching process in random environments. (Chinese. English summary)Zbl 1324.60084

MSC:  60K37 60J80

### An approach to the pseudoprocess driven by the equation $$\frac{\partial}{\partial t}=-A\frac{\partial^3}{\partial x^3}$$ by a random walk. (English)Zbl 1310.60032

MSC:  60G20 35K35
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### A semiparametric inverse-Gaussian model and inference for survival data with a cured proportion. (English. French summary)Zbl 1306.62213

MSC:  62N05 62G08 62P10
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### One-dimensional reflected diffusions with two boundaries and an inverse first-hitting problem. (English)Zbl 1305.60071

MSC:  60J60 60H05 60H10
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### On total progeny of multitype Galton-Watson process and the first passage time of random walk on lattice. (English)Zbl 1337.60218

MSC:  60J80 60G50 60J10
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### The generalized Shiryaev problem and Skorokhod embedding. (English. Russian original)Zbl 1328.60105

Theory Probab. Appl. 58, No. 3, 493-502 (2014); translation from Teor. Veroyatn. Primen. 58, No. 3, 614-623 (2013).
MSC:  60G40 60J65
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### Hitting time in Erlang loss systems with moving boundaries. (English)Zbl 1312.60113

MSC:  60K25 90B22 60J80
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MSC:  62N02
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### A bivariate gamma model for a latent degradation process. (English)Zbl 1292.60088

MSC:  60K10 62M09
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### The ruin probability and minimum excursion for Brownian motion with drift. (Chinese. English summary)Zbl 1313.62165

MSC:  62P20 60J65

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