Stationary Markov sets
Michael I. Taksar (1987)
Séminaire de probabilités de Strasbourg
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Displaying similar documents to “Diffusion approximations of the geometric Markov renewal processes and option price formulas.”
Stationary Markov sets
A Markov property for two parameter Gaussian processes.
David Nualart Rodón, M. Sanz (1979)
Stochastica
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This paper deals with the relationship between two-dimensional parameter Gaussian random fields verifying a particular Markov property and the solutions of stochastic differential equations. In the non Gaussian case some diffusion conditions are introduced, obtaining a backward equation for the evolution of transition probability functions.
On deterministic approximation of Markov processes by ordinary differential equations.
Rozonoer, L.I. (1998)
Mathematical Problems in Engineering
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A characterization of Markov solutions for stochastic differential equations with jumps
Anne Estrade (1997)
Séminaire de probabilités de Strasbourg
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Stochastic integral by a semi-Markov process of diffusion type.
Kharlamov, B.V. (2005)
Zapiski Nauchnykh Seminarov POMI
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Branching property of Markov processes
Masao Nagasawa (1972)
Séminaire de probabilités de Strasbourg
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Pricing participating products under a generalized jump-diffusion model.
Siu, Tak Kuen, Lau, John W., Yang, Hailiang (2008)
Journal of Applied Mathematics and Stochastic Analysis
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The principle of large deviations for martingale additive functionals of recurrent Markov processes.
Heck, Matthias K., Maaouia, Faïza (2001)
Electronic Journal of Probability [electronic only]
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The failure rate in reliability: Approximations and bounds.
Cocozza-Thivent, Christiane, Kalashnikov, Vladimir (1996)
Journal of Applied Mathematics and Stochastic Analysis
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Construction of diffusions
Kiyosi Ito (1962)
Annales scientifiques de l'Université de Clermont. Mathématiques
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