On uniform exponential -dichotomy
On uniform tail expansions of multivariate copulas and wide convergence of measures
The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and finance, as well as in other applications, dependence of extreme events is particularly important, hence there is a need for a detailed study of the tail behaviour of multivariate copulas. We investigate the class of copulas having regular tails with a uniform expansion. We present several equivalent characterizations of uniform tail expansions. Next, basing on them, we determine the class of...
On unique extension of time changed reflecting brownian motions
Let D be an unbounded domain in ℝd with d≥3. We show that if D contains an unbounded uniform domain, then the symmetric reflecting brownian motion (RBM) on ̅D is transient. Next assume that RBM X on ̅D is transient and let Y be its time change by Revuz measure 1D(x)m(x) dx for a strictly positive continuous integrable function m on ̅D. We further show that if there is some r>0 so that D∖̅B̅(̅0̅,̅ ̅r̅) is an unbounded uniform domain, then Y admits one and only one symmetric diffusion that...
On uniqueness of a solution of with given trace.
On univariate and bivariate aging for dependent lifetimes with Archimedean survival copulas
Let be a pair of exchangeable lifetimes whose dependence structure is described by an Archimedean survival copula, and let denotes the corresponding pair of residual lifetimes after time , with . This note deals with stochastic comparisons between and : we provide sufficient conditions for their comparison in usual stochastic and lower orthant orders. Some of the results and examples presented here are quite unexpected, since they show that there is not a direct correspondence between univariate...
On Urbanik's characterization of Gaussian measures on locally compact abelian groups
On useful schema in survival analysis after heart attack
Recent model of lifetime after a heart attack involves some integer coefficients. Our goal is to get these coefficients in simple way and transparent form. To this aim we construct a schema according to a rule which combines the ideas used in the Pascal triangle and the generalized Fibonacci and Lucas numbers
On vacation models with finite capacity.
On Valiron and Circle Convergence.
On valuation of derivative securities: A Lie group analytical approach
This paper proposes a Lie group analytical approach to tackle the problem of pricing derivative securities. By exploiting the infinitesimal symmetries of the Boundary Value Problem (BVP) satisfied by the price of a derivative security, our method provides an effective algorithm for obtaining its explicit solution.
On variance conditions for Markov chain CLTs.
On variant reflected backward SDEs, with applications.
On Vector Measures Related to Deterministic Non-Stationary Stochastic Processes.
On vector-valued Hardy martingales and a generalized Jensen's inequality.
On Veech's conjecture for harmonic functions
On Vershik's standardness criterion and Tsirelson's notion of cosiness
On Wald's equation. Discrete time case
On Walsh's brownian motions
On weak brownian motions of arbitrary order
On weak convergence of filtrations