## Found 465 Documents (Results 1–100)

100
MathJax

### Moments and convex optimization for analysis and control of nonlinear PDEs. (English)Zbl 07573591

Trélat, Emmanuel (ed.) et al., Numerical control. Part A. Amsterdam: Elsevier/North Holland. Handb. Numer. Anal. 23, 339-366 (2022).
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### Derivative for the intersection local time of two independent fractional Brownian motions. (English)Zbl 1490.60089

MSC:  60G22 60G18 60F25
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MSC:  60H10
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MSC:  62-XX
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### How long does the surplus stay close to its historical high? (English)Zbl 07553833

MSC:  60J45 60G51
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### Occupation time for classical and quantum walks. (English)Zbl 1491.60060

Gesztesy, Fritz (ed.) et al., From operator theory to orthogonal polynomials, combinatorics, and number theory. A volume in honor of Lance Littlejohn’s 70th birthday. Cham: Birkhäuser. Oper. Theory: Adv. Appl. 285, 197-212 (2021).
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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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### Asymptotic properties of the occupation measure in a multidimensional skip-free Markov-modulated random walk. (English)Zbl 1477.60113

MSC:  60J10 60K25 60G50
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### On skew sticky Brownian motion. (English)Zbl 1476.60141

MSC:  60J60 60J65 60H10
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### Occupation times for spectrally negative Lévy processes on the last exit time. (English)Zbl 1482.60062

MSC:  60G51 60J55
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### Time-changed spectrally positive Lévy processes started from infinity. (English)Zbl 1489.60075

MSC:  60G51 60F15 60J80
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### Limit theorems related to the integral functionals of one dimensional fractional Brownian motion. (English)Zbl 07529992

MSC:  60F05 60G22 62-XX
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### Some explicit distributions for Brownian motion indexed by the Brownian tree. (English)Zbl 1468.60101

MSC:  60J65 60J68
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### Sojourn times of Gaussian processes with trend. (English)Zbl 1469.60106

MSC:  60G15 60G70
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### A convex programming approach for discrete-time Markov decision processes under the expected total reward criterion. (English)Zbl 1452.90316

MSC:  90C40 90C25 60J10
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### On occupation times in the red of Lévy risk models. (English)Zbl 1445.91053

MSC:  91G05 60G51
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### Local times for spectrally negative Lévy processes. (English)Zbl 1434.60211

MSC:  60J55 60J45 60G51
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### Maximizing expected exponential utility of consumption with a constraint on expected time in poverty. (English)Zbl 1437.91261

MSC:  91B42 91B16
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### $$n$$-dimensional Laplace transforms of occupation times for pre-exit diffusion processes. (English)Zbl 1437.60046

MSC:  60J60 60G17
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### American step options. (English)Zbl 1431.91391

MSC:  91G20 60G40 91G60
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### Convergence of controlled models for continuous-time Markov decision processes with constrained average criteria. (English)Zbl 1449.90357

MSC:  90C40 60J27

### Approximation of sojourn times of Gaussian processes. (English)Zbl 1447.60063

MSC:  60G15 60G70
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### A large deviations principle for the polar empirical measure in the two-dimensional symmetric simple exclusion process. (English)Zbl 1429.82005

Friz, Peter (ed.) et al., Probability and analysis in interacting physical systems. In honor of S. R. S. Varadhan. Based on a workshop on the occasion of Varadhan’s 75th birthday, TU Berlin, Germany, August 15–19, 2016. Cham: Springer. Springer Proc. Math. Stat. 283, 215-242 (2019).
MSC:  82C22 60K35 60F10
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### From Gaussian estimates for nonlinear evolution equations to the long time behavior of branching processes. (English)Zbl 1422.35047

MSC:  35J60 60J05 60J65
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### Renewal sequences and record chains related to multiple zeta sums. (English)Zbl 1443.11165

MSC:  11M06 60C05 60E05
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MSC:  82-XX
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### Optimal selection of assets and portfolios. (English)Zbl 1414.62419

Kilgour, D. Marc (ed.) et al., Recent advances in mathematical and statistical methods. IV AMMCS international conference, Waterloo, Canada, August 20–25, 2017. Cham: Springer. Springer Proc. Math. Stat. 259, 509-519 (2018).
MSC:  62P05 62M10 91B30
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MSC:  90-XX
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### Occupation times of alternating renewal processes with Lévy applications. (English)Zbl 1405.60133

MSC:  60K15 60G51 90B05
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### Towards bandwidth and energy optimization in IEEE 802.15.4 wireless sensor networks. (English)Zbl 1432.68047

MSC:  68M18 60J20
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### Fluctuations of Omega-killed spectrally negative Lévy processes. (English)Zbl 1401.60087

MSC:  60G51 60K25
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### On uniform closeness of local times of Markov chains and i.i.d. sequences. (English)Zbl 1409.60120

Stochastic Processes Appl. 128, No. 10, 3221-3252 (2018); corrigendum ibid. 129, No. 7, 2606-2609 (2019).
MSC:  60J55 60J10
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### A general valuation framework for SABR and stochastic local volatility models. (English)Zbl 1410.91441

MSC:  91G20 91G60 60G40
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### On weighted occupation times for refracted spectrally negative Lévy processes. (English)Zbl 1404.60066

MSC:  60G51 60H10
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### A note on joint occupation times of spectrally negative Lévy risk processes with tax. (English)Zbl 1392.60044

MSC:  60G51 60E10
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### Statistical estimation of the oscillating Brownian motion. (English)Zbl 1415.62008

MSC:  62F12 60J65 60F05
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### A note on Riemann-Liouville processes. (English)Zbl 1434.60246

MSC:  60J80 60F17 60G52
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### A system of nonlinear equations with application to large deviations for Markov chains with finite lifetime. (English)Zbl 1388.60069

MSC:  60F10 60J27 60J10
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### On the last exit times for spectrally negative Lévy processes. (English)Zbl 1400.60068

MSC:  60G51 60K30
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### On occupation times of the first and third quadrants for planar Brownian motion. (English)Zbl 1400.60105

MSC:  60J65 60J60
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### Small drift limit theorems for random walks. (English)Zbl 1400.60065

MSC:  60G50 60F05
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MSC:  60J80
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### The binomial and negative binomial distribution in discrete time Markov chains. (English)Zbl 1383.60059

MSC:  60J10 05A10

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### Statistical manifestation of quantum correlations via disequilibrium. (English)Zbl 1375.82076

MSC:  82C22 81P40
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### On the distribution of cumulative Parisian ruin. (English)Zbl 1397.91285

MSC:  91B30 60G51 60K10 60G44 60J65
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### Time fractional equations and probabilistic representation. (English)Zbl 1374.60122

MSC:  60H30 34K37 26A33
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### Density of skew Brownian motion and its functionals with application in finance. (English)Zbl 1411.91555

MSC:  91G20 60J70 60J65
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### Constrained continuous-time Markov decision processes on the finite horizon. (English)Zbl 1370.90285

MSC:  90C40 60J27
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### A joint Laplace transform for pre-exit diffusion of occupation times. (English)Zbl 1370.60134

MSC:  60J60 60J65 60G17
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### An occupation time related potential measure for diffusion processes. (English)Zbl 1370.60133

MSC:  60J60 60J65 60G17
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### Multifractal analysis for the occupation measure of stable-like processes. (English)Zbl 1364.60075

MSC:  60H10 60J25 60J75 28A80 28A78
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### Ornstein-Uhlenback type Omega model. (English)Zbl 1361.60079

MSC:  60K10 91B30
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### Infection time in multistable gene networks. A backward stochastic variational inequality with nonconvex switch-dependent reflection approach. (English)Zbl 1361.92028

MSC:  92C42 60H10 60G55 60J75 93E03 92C40
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### Continuity of local time: an applied perspective. (English)Zbl 1354.60082

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). 191-207 (2016).
MSC:  60J55 60J65 60J60
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### Minimizing lifetime poverty with a penalty for bankruptcy. (English)Zbl 1369.91162

MSC:  91G10 91B30 93E20
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### Occupation times of long-range exclusion and connections to KPZ class exponents. (English)Zbl 1350.60099

MSC:  60K35 60F17 60G22
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### Omega diffusion risk model with surplus-dependent tax and capital injections. (English)Zbl 1369.91080

MSC:  91B30 60G51
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### Probability for transition of business cycle and pricing of options with correlated credit risk. (English)Zbl 1348.91270

MSC:  91G20 91G40
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### Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view. (English)Zbl 1337.60090

MSC:  60G51 60J60 60J75 91G20 91G80
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### On the inclusion of collisional correlations in quantum dynamics. (English)Zbl 1343.82031

MSC:  82C22 82C10 81P40
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### Local times for grey Brownian motion. Reprint of the International Journal of Modern Physics: Conference Series 36 (2015). (English)Zbl 1337.60187

Bernido, Christopher C. (ed.) et al., Analysis of fractional stochastic processes: advances and applications. Proceedings of the 7th Jagna international workshop, Jagna, Bohol, Philippines, January 6–11, 2014. Hackensack, NJ: World Scientific (ISBN 978-981-4618-34-2/hbk). Article ID 1560003, 6 p. (2015).
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### Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications. (English)Zbl 1334.65008

MSC:  65C05 91G60 60G51 60J60 60J65 65C50
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### A note on exit time for anchored isoperimetry. (English. French summary)Zbl 1333.60087

MSC:  60G50 05C81
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### On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps. (English)Zbl 1348.91189

MSC:  91B30 60K10 62P05
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### Randomized and relaxed strategies in continuous-time Markov decision processes. (English)Zbl 1336.90101

MSC:  90C40 60J25 60J75
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MSC:  91G20
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### Notes on occupation time fluctuations of binary branching particle systems. (English)Zbl 1319.60069

MSC:  60F17 60J80
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### Two-sided discounted potential measures for spectrally negative Lévy processes. (English)Zbl 1320.60113

MSC:  60G51 60J45
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### Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative. (English)Zbl 1432.60077

MSC:  60J55 60G22
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### On expected occupation time of Brownian bridge. (English)Zbl 1327.60162

MSC:  60J65 60G51 92D50
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### Occupation times, drawdowns, and drawups for one-dimensional regular diffusions. (English)Zbl 1310.60114

MSC:  60J60 60G17
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### Analysis of a drawdown-based regime-switching Lévy insurance model. (English)Zbl 1308.91086

MSC:  91B30 60G40 60G51 62P05
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### Occupation times in the MAP risk model. (English)Zbl 1308.91087

MSC:  91B30 60J28
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