On a class of risk processes with barriers and random incomes.
Dong, Hua, Zhao, Xiang Hua, Liu, Zai Ming (2010)
Applied Mathematics E-Notes [electronic only]
Similarity:
Displaying similar documents to “Model tracking for risk problems.”
On a class of risk processes with barriers and random incomes.
Jump telegraph processes and financial markets with memory.
Ratanov, Nikita (2007)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Minimizing banking risk in a Lévy process setting.
Gideon, F., Mukuddem-Petersen, J., Petersen, M.A. (2007)
Journal of Applied Mathematics
Similarity:
On transformations of Wiener space.
Skorokhod, Anatoli V. (1994)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep (2008)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Spatio-temporal modelling of a Cox point process sampled by a curve, filtering and Inference
Blažena Frcalová, Viktor Beneš (2009)
Kybernetika
Similarity:
The paper deals with Cox point processes in time and space with Lévy based driving intensity. Using the generating functional, formulas for theoretical characteristics are available. Because of potential applications in biology a Cox process sampled by a curve is discussed in detail. The filtering of the driving intensity based on observed point process events is developed in space and time for a parametric model with a background driving compound Poisson field delimited by special test...