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Results 1 to 25 of 119

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RUIN PROBABILITY WITH PARISIAN DELAY FOR A SPECTRALLY NEGATIVE LEVY RISK PROCESSCZARNA, Irmina; PALMOWSKI, Zbigniew.Journal of applied probability. 2011, Vol 48, Num 4, pp 984-1002, issn 0021-9002, 19 p.Article

A strong invariance principle for positively or negatively associated random fieldsSHASHKIN, Alexey.Statistics & probability letters. 2008, Vol 78, Num 14, pp 2121-2129, issn 0167-7152, 9 p.Article

The Risk Premium and the Esscher Transform in Power MarketsESPEN BENTH, Fred; SGARRA, Carlo.Stochastic analysis and applications. 2012, Vol 30, Num 1, pp 20-43, issn 0736-2994, 24 p.Article

On Wiener―Hopf factors for stable processesGRACZYK, Piotr; JAKUBOWSKI, Tomasz.Annales de l'I.H.P. Probabilités et statistiques. 2011, Vol 47, Num 1, pp 9-19, issn 0246-0203, 11 p.Article

Some results on subordination, selfdecomposability and operator semi-stabilityGYEONG SUK CHOI.Statistics & probability letters. 2008, Vol 78, Num 6, pp 780-784, issn 0167-7152, 5 p.Article

The stationarity of multidimensional generalized Ornstein-Uhlenbeck processesENDO, Kotaro; MATSUI, Muneya.Statistics & probability letters. 2008, Vol 78, Num 14, pp 2265-2272, issn 0167-7152, 8 p.Article

Lebesgue measure of the range of additive Levy processesMING YANG.Probability theory and related fields. 2009, Vol 143, Num 3-4, pp 597-613, issn 0178-8051, 17 p.Article

Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrierWENQUAN YANG; YIJUN HU.Statistics & probability letters. 2009, Vol 79, Num 1, pp 63-69, issn 0167-7152, 7 p.Article

Median, concentration and fluctuations for Lévy processesHOUDRE, Christian; MARCHAL, Philippe.Stochastic processes and their applications. 2008, Vol 118, Num 5, pp 852-863, issn 0304-4149, 12 p.Article

Integration by parts formula and applications to equations with jumpsBALLY, Vlad; CLEMENT, Emmanuelle.Probability theory and related fields. 2011, Vol 151, Num 3-4, pp 613-657, issn 0178-8051, 45 p.Article

On the limiting behaviour of Lévy processes at zeroANDREW, P.Probability theory and related fields. 2008, Vol 140, Num 1-2, pp 103-127, issn 0178-8051, 25 p.Article

ON ONE-SIDED STOCHASTIC GAMES AND THEIR APPLICATIONS TO FINANCEDSHALALOW, Jewgeni H; ROBINSON, Randy.Stochastic models. 2012, Vol 28, Num 1, pp 1-14, issn 1532-6349, 14 p.Article

On linear models with long memory and heavy-tailed errorsZHOU ZHOU; WEI BIAO WU.Journal of multivariate analysis. 2011, Vol 102, Num 2, pp 349-362, issn 0047-259X, 14 p.Article

On the local asymptotic behavior of the likelihood function for Meixner Levy processes under high-frequency samplingKAWAI, Reiichiro; MASUDA, Hiroki.Statistics & probability letters. 2011, Vol 81, Num 4, pp 460-469, issn 0167-7152, 10 p.Article

PROCESSES WITH BLOCK-ASSOCIATED INCREMENTSJAKUBOWSKI, Adam; KARLOWSKA-PIK, Joanna.Journal of applied probability. 2011, Vol 48, Num 2, pp 514-526, issn 0021-9002, 13 p.Article

SCALING LIMITS OF RANDOM PLANAR MAPS WITH LARGE FACESLE GALL, Jean-François; MIERMONT, Grégory.Annals of probability. 2011, Vol 39, Num 1, pp 1-37, issn 0091-1798, 37 p.Article

OPTIMAL STOPPING IN LEVY MODELS FOR NONMONOTONE DISCONTINUOUS PAYOFFSBOYARCHENKO, Svetlana; LEVENDORSK, Sergei.SIAM journal on control and optimization. 2011, Vol 49, Num 5, pp 2062-2082, issn 0363-0129, 21 p.Article

Convergence to Levy stable processes under some weak dependence conditionsTYRAN-KAMINSKA, Marta.Stochastic processes and their applications. 2010, Vol 120, Num 9, pp 1629-1650, issn 0304-4149, 22 p.Article

Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noiseALBEVERIO, S; MANDREKAR, V; RÜDIGER, B et al.Stochastic processes and their applications. 2009, Vol 119, Num 3, pp 835-863, issn 0304-4149, 29 p.Article

Nonparametric estimation for pure jump Levy processes based on high frequency dataCOMTE, F; GENON-CATALOT, V.Stochastic processes and their applications. 2009, Vol 119, Num 12, pp 4088-4123, issn 0304-4149, 36 p.Article

A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusionGATTO, Riccardo.Statistics & probability letters. 2008, Vol 78, Num 13, pp 1948-1954, issn 0167-7152, 7 p.Article

How rich is the class of processes which are infinitely divisible with respect to time?ES-SEBAIY, Khalifa; OUKNINE, Youssef.Statistics & probability letters. 2008, Vol 78, Num 5, pp 537-547, issn 0167-7152, 11 p.Article

Compactness of Schrödinger semigroups with unbounded below potentialsWANG, Feng-Yu; WU, Jiang-Lun.Bulletin des sciences mathématiques (Paris. 1885). 2008, Vol 132, Num 8, pp 679-689, issn 0007-4497, 11 p.Article

Retrieving lévy processes from option prices : Regularization of an ill-posed inverse problemCONT, Rama; TANKOV, Peter.SIAM journal on control and optimization. 2007, Vol 45, Num 1, pp 1-25, issn 0363-0129, 25 p.Article

Linearization coefficients for orthogonal polynomials using stochastic processesANSHELEVICH, Michael.Annals of probability. 2005, Vol 33, Num 1, pp 114-136, issn 0091-1798, 23 p.Article

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