Silvestrov, Dmitrii; Li, Yanxiong Stochastic approximation methods for American type options. (English) Zbl 1354.91170 Commun. Stat., Theory Methods 45, No. 6, 1607-1631 (2016). MSC: 91G60 60J22 60G50 62L15 65C40 91G20 60G40 PDFBibTeX XMLCite \textit{D. Silvestrov} and \textit{Y. Li}, Commun. Stat., Theory Methods 45, No. 6, 1607--1631 (2016; Zbl 1354.91170) Full Text: DOI
Silvestrov, Dmitrii; Manca, Raimondo; Silvestrova, Evelina Computational algorithms for moments of accumulated Markov and semi-Markov rewards. (English) Zbl 1422.91772 Commun. Stat., Theory Methods 43, No. 7, 1453-1469 (2014). MSC: 91G60 60J10 60K15 65C40 90B22 PDFBibTeX XMLCite \textit{D. Silvestrov} et al., Commun. Stat., Theory Methods 43, No. 7, 1453--1469 (2014; Zbl 1422.91772) Full Text: DOI
Ekheden, Erland; Silvestrov, Dmitrii Coupling and explicit rate of convergence in Cramér-Lundberg approximation for reinsurance risk processes. (English) Zbl 1315.91032 Commun. Stat., Theory Methods 40, No. 19-20, 3524-3539 (2011). MSC: 91B30 60K05 60K10 62P05 PDFBibTeX XMLCite \textit{E. Ekheden} and \textit{D. Silvestrov}, Commun. Stat., Theory Methods 40, No. 19--20, 3524--3539 (2011; Zbl 1315.91032) Full Text: DOI
Silvestrov, Dmitrii; Stenberg, Fredrik A pricing process with stochastic volatility controlled by a semi-Markov process. (English) Zbl 1114.60328 Commun. Stat., Theory Methods 33, No. 3, 591-608 (2004). MSC: 60K20 60K15 91B28 PDFBibTeX XMLCite \textit{D. Silvestrov} and \textit{F. Stenberg}, Commun. Stat., Theory Methods 33, No. 3, 591--608 (2004; Zbl 1114.60328) Full Text: DOI
Silvestrov, Dmitrii Upper bounds for exponential moments of hitting times for semi-Markov processes. (English) Zbl 1114.60325 Commun. Stat., Theory Methods 33, No. 3, 533-543 (2004). MSC: 60K15 60K05 60K25 PDFBibTeX XMLCite \textit{D. Silvestrov}, Commun. Stat., Theory Methods 33, No. 3, 533--543 (2004; Zbl 1114.60325) Full Text: DOI