Wang, Wenyuan; Zhou, Xiaowen A drawdown reflected spectrally negative Lévy process. (English) Zbl 07306263 J. Theor. Probab. 34, No. 1, 283-306 (2021). MSC: 60G51 60E10 60J35 PDF BibTeX XML Cite \textit{W. Wang} and \textit{X. Zhou}, J. Theor. Probab. 34, No. 1, 283--306 (2021; Zbl 07306263) Full Text: DOI
Grzywny, Tomasz; Kassmann, Moritz; Leżaj, Łukasz Remarks on the nonlocal Dirichlet problem. (English) Zbl 07303857 Potential Anal. 54, No. 1, 119-151 (2021). MSC: 35B65 35C15 35R09 47G20 60J45 PDF BibTeX XML Cite \textit{T. Grzywny} et al., Potential Anal. 54, No. 1, 119--151 (2021; Zbl 07303857) Full Text: DOI
Prakasa Rao, B. L. S. Nonparametric estimation of trend for stochastic differential equations driven by fractional Levy process. (English) Zbl 07302995 J. Stat. Theory Pract. 15, No. 1, Paper No. 7, 12 p. (2021). MSC: 62G07 62M09 60G15 60G22 60G65 60H15 PDF BibTeX XML Cite \textit{B. L. S. Prakasa Rao}, J. Stat. Theory Pract. 15, No. 1, Paper No. 7, 12 p. (2021; Zbl 07302995) Full Text: DOI
Fu, Zuopeng; Wang, Yizao Simulations for Karlin random fields. (English) Zbl 07298007 ALEA, Lat. Am. J. Probab. Math. Stat. 18, No. 1, 167-192 (2021). MSC: 60G22 60G52 60G60 PDF BibTeX XML Cite \textit{Z. Fu} and \textit{Y. Wang}, ALEA, Lat. Am. J. Probab. Math. Stat. 18, No. 1, 167--192 (2021; Zbl 07298007) Full Text: Link
Khalaf, Anas Dheyab; Abouagwa, Mahmoud; Mustafa, Almushaira; Wang, Xiangjun Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation. (English) Zbl 1452.65018 J. Comput. Appl. Math. 382, Article ID 113071, 14 p. (2021). MSC: 65C30 34K50 45D05 60H20 PDF BibTeX XML Cite \textit{A. D. Khalaf} et al., J. Comput. Appl. Math. 382, Article ID 113071, 14 p. (2021; Zbl 1452.65018) Full Text: DOI
Ipsen, Yuguang; Maller, Ross; Shemehsavar, Soudabeh Size biased sampling from the Dickman subordinator. (English) Zbl 07312351 Stochastic Processes Appl. 130, No. 11, 6880-6900 (2020). MSC: 60G51 60G55 60E05 PDF BibTeX XML Cite \textit{Y. Ipsen} et al., Stochastic Processes Appl. 130, No. 11, 6880--6900 (2020; Zbl 07312351) Full Text: DOI
Bertoin, Jean Noise reinforcement for Lévy processes. (English. French summary) Zbl 07310523 Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 3, 2236-2252 (2020). MSC: 60G50 60G51 60K35 PDF BibTeX XML Cite \textit{J. Bertoin}, Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 3, 2236--2252 (2020; Zbl 07310523) Full Text: DOI Euclid
Dhara, Souvik; van der Hofstad, Remco; van Leeuwaarden, Johan S. H.; Sen, Sanchayan Heavy-tailed configuration models at criticality. (English. French summary) Zbl 07310499 Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 3, 1515-1558 (2020). MSC: 60C05 05C80 PDF BibTeX XML Cite \textit{S. Dhara} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 3, 1515--1558 (2020; Zbl 07310499) Full Text: DOI Euclid
Cruz, José M. T. S.; Ševčovič, Daniel On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models. (English) Zbl 07309987 Japan J. Ind. Appl. Math. 37, No. 3, 697-721 (2020). MSC: 45K05 35K58 34G20 91G20 PDF BibTeX XML Cite \textit{J. M. T. S. Cruz} and \textit{D. Ševčovič}, Japan J. Ind. Appl. Math. 37, No. 3, 697--721 (2020; Zbl 07309987) Full Text: DOI
Fonseca-Mora, Christian A. Regularization of cylindrical processes in locally convex spaces. (English) Zbl 07308699 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23, No. 4, Article ID 2050027, 22 p. (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60B11 60G20 60G17 60G51 PDF BibTeX XML Cite \textit{C. A. Fonseca-Mora}, Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23, No. 4, Article ID 2050027, 22 p. (2020; Zbl 07308699) Full Text: DOI
Zhai, Jianliang; Zhang, Tusheng; Zheng, Wuting Large deviations for stochastic models of two-dimensional second grade fluids driven by Lévy noise. (English) Zbl 07308698 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23, No. 4, Article ID 2050026, 34 p. (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H15 35R60 37L55 PDF BibTeX XML Cite \textit{J. Zhai} et al., Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23, No. 4, Article ID 2050026, 34 p. (2020; Zbl 07308698) Full Text: DOI
Hmissi, Mohamed; Jmailli, Cheikh Nagi On representation of excessive measures for S-subordinated Markov processes. (English) Zbl 1453.60135 Markov Process. Relat. Fields 26, No. 5, 901-914 (2020). MSC: 60J35 60J45 31D05 PDF BibTeX XML Cite \textit{M. Hmissi} and \textit{C. N. Jmailli}, Markov Process. Relat. Fields 26, No. 5, 901--914 (2020; Zbl 1453.60135) Full Text: Link
Ouadjed, Hakim; Mami, Tawfiq Fawzi Estimating the conditional tail expectation of Walmart stock data. (English) Zbl 07302623 Croat. Oper. Res. Rev. (CRORR) 11, No. 1, 95-106 (2020). MSC: 90C PDF BibTeX XML Cite \textit{H. Ouadjed} and \textit{T. F. Mami}, Croat. Oper. Res. Rev. (CRORR) 11, No. 1, 95--106 (2020; Zbl 07302623) Full Text: DOI
Kwaśnicki, Mateusz Random walks are determined by their trace on the positive half-line. (Les marches aléatoires sont déterminées par leur trace sur la demi-droite positive.) (English. French summary) Zbl 07300122 Ann. Henri Lebesgue 3, 1389-1397 (2020). MSC: 60G50 60G51 45E10 30H15 PDF BibTeX XML Cite \textit{M. Kwaśnicki}, Ann. Henri Lebesgue 3, 1389--1397 (2020; Zbl 07300122) Full Text: DOI
Vostrikova, Lioudmila On distributions of exponential functionals of the processes with independent increments. (English) Zbl 07296195 Mod. Stoch., Theory Appl. 7, No. 3, 291-313 (2020). MSC: 60G51 91G80 PDF BibTeX XML Cite \textit{L. Vostrikova}, Mod. Stoch., Theory Appl. 7, No. 3, 291--313 (2020; Zbl 07296195) Full Text: DOI
Chen, Zhifen; Chen, Xiaopeng Maximum likelihood estimation of discretely sampled Cauchy-OU processes. (Chinese. English summary) Zbl 07295984 Math. Appl. 33, No. 3, 707-717 (2020). MSC: 62M05 62F10 62F12 60G65 PDF BibTeX XML Cite \textit{Z. Chen} and \textit{X. Chen}, Math. Appl. 33, No. 3, 707--717 (2020; Zbl 07295984)
Guerdouh, Dalila; Khelfallah, Nabil; Mezerdi, Brahim On the well-posedness of coupled forward-backward stochastic differential equations driven by Teugels martingales. (English) Zbl 07292735 Math. Methods Appl. Sci. 43, No. 17, 10296-10318 (2020). MSC: 60H10 PDF BibTeX XML Cite \textit{D. Guerdouh} et al., Math. Methods Appl. Sci. 43, No. 17, 10296--10318 (2020; Zbl 07292735) Full Text: DOI
Chen, Linxiao; Curien, Nicolas; Maillard, Pascal The perimeter cascade in critical Boltzmann quadrangulations decorated by an \(O(n)\) loop model. (English) Zbl 07290131 Ann. Inst. Henri Poincaré D, Comb. Phys. Interact. (AIHPD) 7, No. 4, 535-584 (2020). MSC: 05C80 05C81 60K35 60J80 PDF BibTeX XML Cite \textit{L. Chen} et al., Ann. Inst. Henri Poincaré D, Comb. Phys. Interact. (AIHPD) 7, No. 4, 535--584 (2020; Zbl 07290131) Full Text: DOI
Di Nardo, E.; Marena, M.; Semeraro, P. On non-linear dependence of multivariate subordinated Lévy processes. (English) Zbl 07287565 Stat. Probab. Lett. 166, Article ID 108870, 7 p. (2020). MSC: 60G51 PDF BibTeX XML Cite \textit{E. Di Nardo} et al., Stat. Probab. Lett. 166, Article ID 108870, 7 p. (2020; Zbl 07287565) Full Text: DOI
Cheek, David; Shneer, Seva The empirical mean position of a branching Lévy process. (English) Zbl 07284541 J. Appl. Probab. 57, No. 4, 1252-1259 (2020). MSC: 60J80 60G51 60J25 PDF BibTeX XML Cite \textit{D. Cheek} and \textit{S. Shneer}, J. Appl. Probab. 57, No. 4, 1252--1259 (2020; Zbl 07284541) Full Text: DOI
Hoyle, Edward; Menguturk, Levent Ali Generalised Liouville processes and their properties. (English) Zbl 07284533 J. Appl. Probab. 57, No. 4, 1088-1110 (2020). MSC: 60J25 60G51 60H05 PDF BibTeX XML Cite \textit{E. Hoyle} and \textit{L. A. Menguturk}, J. Appl. Probab. 57, No. 4, 1088--1110 (2020; Zbl 07284533) Full Text: DOI
Chan, Tat Lung (Ron) An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes. (English) Zbl 07282780 Quant. Finance 20, No. 8, 1325-1343 (2020). MSC: 91G20 60G51 60G40 PDF BibTeX XML Cite \textit{T. L. Chan}, Quant. Finance 20, No. 8, 1325--1343 (2020; Zbl 07282780) Full Text: DOI
Chan, Tat Lung (Ron); Hale, Nicholas Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series. (English) Zbl 07282779 Quant. Finance 20, No. 8, 1307-1324 (2020). MSC: 91G20 42C10 PDF BibTeX XML Cite \textit{T. L. Chan} and \textit{N. Hale}, Quant. Finance 20, No. 8, 1307--1324 (2020; Zbl 07282779) Full Text: DOI
Wu, Lan; Zang, Xin; Zhao, Hongxin Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process. (English) Zbl 07282778 Quant. Finance 20, No. 8, 1285-1306 (2020). MSC: 91G15 60J70 60G51 PDF BibTeX XML Cite \textit{L. Wu} et al., Quant. Finance 20, No. 8, 1285--1306 (2020; Zbl 07282778) Full Text: DOI
Fasen-Hartmann, Vicky; Kimmig, Sebastian Robust estimation of stationary continuous-time Arma models via indirect inference. (English) Zbl 1453.62394 J. Time Ser. Anal. 41, No. 5, 620-651 (2020). MSC: 62F10 62F12 62F35 62M10 60G10 60G51 PDF BibTeX XML Cite \textit{V. Fasen-Hartmann} and \textit{S. Kimmig}, J. Time Ser. Anal. 41, No. 5, 620--651 (2020; Zbl 1453.62394) Full Text: DOI
Redmann, Martin Energy estimates and model order reduction for stochastic bilinear systems. (English) Zbl 1453.93034 Int. J. Control 93, No. 8, 1954-1963 (2020). MSC: 93B11 93E03 93C10 60G51 PDF BibTeX XML Cite \textit{M. Redmann}, Int. J. Control 93, No. 8, 1954--1963 (2020; Zbl 1453.93034) Full Text: DOI
Saxena, M.; Boxma, O. J.; Mandjes, M. An infinite-server system with Lévy shot-noise modulation: moments and asymptotics. (English) Zbl 07274266 Markov Process. Relat. Fields 26, No. 4, 757-778 (2020). Reviewer: Vyacheslav Abramov (Melbourne) MSC: 60K25 60G51 68M20 90B22 PDF BibTeX XML Cite \textit{M. Saxena} et al., Markov Process. Relat. Fields 26, No. 4, 757--778 (2020; Zbl 07274266) Full Text: Link
Chevyrev, Ilya; Friz, Peter K.; Korepanov, Alexey; Melbourne, Ian Superdiffusive limits for deterministic fast-slow dynamical systems. (English) Zbl 07271329 Probab. Theory Relat. Fields 178, No. 3-4, 735-770 (2020). MSC: 37A50 60L20 60G51 60H10 PDF BibTeX XML Cite \textit{I. Chevyrev} et al., Probab. Theory Relat. Fields 178, No. 3--4, 735--770 (2020; Zbl 07271329) Full Text: DOI
Hess, Markus A pure-jump mean-reverting short rate model. (English) Zbl 1452.91318 Mod. Stoch., Theory Appl. 7, No. 2, 113-134 (2020). MSC: 91G30 91G20 60G51 60J70 PDF BibTeX XML Cite \textit{M. Hess}, Mod. Stoch., Theory Appl. 7, No. 2, 113--134 (2020; Zbl 1452.91318) Full Text: DOI
Ipsen, Yuguang; Maller, Ross; Shemehsavar, Soudabeh Limiting distributions of generalised Poisson-Dirichlet distributions based on negative binomial processes. (English) Zbl 07268520 J. Theor. Probab. 33, No. 4, 1974-2000 (2020). MSC: 60G51 60G52 60G55 60G57 PDF BibTeX XML Cite \textit{Y. Ipsen} et al., J. Theor. Probab. 33, No. 4, 1974--2000 (2020; Zbl 07268520) Full Text: DOI
Zhang, Hongmei; Liu, Fawang; Chen, Shanzhen; Shen, Ming A fast and high accuracy numerical simulation for a fractional Black-Scholes model on two assets. (English) Zbl 07266412 Ann. Appl. Math. 36, No. 1, 91-110 (2020). MSC: 65M06 65M12 91G60 PDF BibTeX XML Cite \textit{H. Zhang} et al., Ann. Appl. Math. 36, No. 1, 91--110 (2020; Zbl 07266412)
Singla, Rohit; Parthasarathy, Harish Quantum robots perturbed by Levy processes: stochastic analysis and simulations. (English) Zbl 1450.81050 Commun. Nonlinear Sci. Numer. Simul. 83, Article ID 105142, 15 p. (2020). MSC: 81S25 81S20 70B15 81Q05 81Q15 35Q41 60H40 92C40 60G65 PDF BibTeX XML Cite \textit{R. Singla} and \textit{H. Parthasarathy}, Commun. Nonlinear Sci. Numer. Simul. 83, Article ID 105142, 15 p. (2020; Zbl 1450.81050) Full Text: DOI
Kevei, Péter; Mason, David M. Darling-Erdős theorem for Lévy processes at zero. (English) Zbl 07261919 ALEA, Lat. Am. J. Probab. Math. Stat. 17, No. 2, 733-757 (2020). MSC: 60G51 60F05 PDF BibTeX XML Cite \textit{P. Kevei} and \textit{D. M. Mason}, ALEA, Lat. Am. J. Probab. Math. Stat. 17, No. 2, 733--757 (2020; Zbl 07261919) Full Text: Link
Grzywny, Tomasz; Szczypkowski, Karol Lévy processes: concentration function and heat kernel bounds. (English) Zbl 07256173 Bernoulli 26, No. 4, 3191-3223 (2020). MSC: 60 62 PDF BibTeX XML Cite \textit{T. Grzywny} and \textit{K. Szczypkowski}, Bernoulli 26, No. 4, 3191--3223 (2020; Zbl 07256173) Full Text: DOI Euclid
Todorov, Viktor Testing and inference for fixed times of discontinuity in semimartingales. (English) Zbl 07256164 Bernoulli 26, No. 4, 2907-2948 (2020). MSC: 60 62 PDF BibTeX XML Cite \textit{V. Todorov}, Bernoulli 26, No. 4, 2907--2948 (2020; Zbl 07256164) Full Text: DOI Euclid
Cázares, Jorge I. González; Mijatović, Aleksandar; Bravo, Gerónimo Uribe \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders. (English) Zbl 07252728 Electron. J. Probab. 25, Paper No. 96, 33 p. (2020). MSC: 60G17 60G51 65C05 65C50 PDF BibTeX XML Cite \textit{J. I. G. Cázares} et al., Electron. J. Probab. 25, Paper No. 96, 33 p. (2020; Zbl 07252728) Full Text: DOI Euclid
Czarna, Irmina; Palmowski, Zbigniew; Li, Yanhong; Zhao, Chunming Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process. (English) Zbl 1453.60149 Probab. Math. Stat. 40, No. 1, 57-81 (2020). MSC: 60J99 91G40 60G51 PDF BibTeX XML Cite \textit{I. Czarna} et al., Probab. Math. Stat. 40, No. 1, 57--81 (2020; Zbl 1453.60149) Full Text: DOI
Spielmann, J.; Vostrikova, L. On the ruin problem with investment when the risky asset is a semimartingale. (English. Russian original) Zbl 07247826 Theory Probab. Appl. 65, No. 2, 249-269 (2020); translation from Teor. Veroyatn. Primen. 65, No. 2, 312-337 (2020). MSC: 60 93 PDF BibTeX XML Cite \textit{J. Spielmann} and \textit{L. Vostrikova}, Theory Probab. Appl. 65, No. 2, 249--269 (2020; Zbl 07247826); translation from Teor. Veroyatn. Primen. 65, No. 2, 312--337 (2020) Full Text: DOI
Landriault, David; Willmot, Gordon E. On series expansions for scale functions and other ruin-related quantities. (English) Zbl 1447.91142 Scand. Actuar. J. 2020, No. 4, 292-306 (2020). MSC: 91G05 60G51 PDF BibTeX XML Cite \textit{D. Landriault} and \textit{G. E. Willmot}, Scand. Actuar. J. 2020, No. 4, 292--306 (2020; Zbl 1447.91142) Full Text: DOI
Clément, Emmanuelle; Gloter, Arnaud Joint estimation for SDE driven by locally stable Lévy processes. (English) Zbl 1448.60102 Electron. J. Stat. 14, No. 2, 2922-2956 (2020). MSC: 60G51 60G52 60J76 62F12 60H07 60F05 PDF BibTeX XML Cite \textit{E. Clément} and \textit{A. Gloter}, Electron. J. Stat. 14, No. 2, 2922--2956 (2020; Zbl 1448.60102) Full Text: DOI Euclid
Redmann, Martin A new type of singular perturbation approximation for stochastic bilinear systems. (English) Zbl 1442.93026 Math. Control Signals Syst. 32, No. 2, 129-156 (2020). MSC: 93C70 93B11 93E03 93C10 60G51 PDF BibTeX XML Cite \textit{M. Redmann}, Math. Control Signals Syst. 32, No. 2, 129--156 (2020; Zbl 1442.93026) Full Text: DOI
Fu, Zuopeng; Wang, Yizao Stable processes with stationary increments parameterized by metric spaces. (English) Zbl 07229221 J. Theor. Probab. 33, No. 3, 1737-1754 (2020). MSC: 60G22 60G52 60G60 PDF BibTeX XML Cite \textit{Z. Fu} and \textit{Y. Wang}, J. Theor. Probab. 33, No. 3, 1737--1754 (2020; Zbl 07229221) Full Text: DOI
Aguilar, Jean-Philippe Some pricing tools for the variance gamma model. (English) Zbl 1448.91289 Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050025, 35 p. (2020). Reviewer: Shyam Sundar Chandramouli (New York) MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{J.-P. Aguilar}, Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050025, 35 p. (2020; Zbl 1448.91289) Full Text: DOI
Oyelami, B. O.; Bishop, S. A. Impulsive jump-diffusion models for pricing securities. (English) Zbl 1447.91194 Int. J. Math. Comput. Sci. 15, No. 2, 463-483 (2020). MSC: 91G60 65C05 91G20 60J70 60J74 60G51 60H15 PDF BibTeX XML Cite \textit{B. O. Oyelami} and \textit{S. A. Bishop}, Int. J. Math. Comput. Sci. 15, No. 2, 463--483 (2020; Zbl 1447.91194) Full Text: Link
Palmowski, Zbigniew; Surya, Budhi A. Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process. (English) Zbl 1446.91070 Insur. Math. Econ. 93, 168-177 (2020). MSC: 91G05 60G51 91G40 91G20 60G40 PDF BibTeX XML Cite \textit{Z. Palmowski} and \textit{B. A. Surya}, Insur. Math. Econ. 93, 168--177 (2020; Zbl 1446.91070) Full Text: DOI
Prasolov, Timofeĭ Vycheslavovich Stochastic stability of a system of perfect integrate-and-fire inhibitory neurons. (English) Zbl 1447.60009 Sib. Èlektron. Mat. Izv. 17, 971-987 (2020). Reviewer: Carlo Sempi (Lecce) MSC: 60B10 60G51 60J70 92B20 PDF BibTeX XML Cite \textit{T. V. Prasolov}, Sib. Èlektron. Mat. Izv. 17, 971--987 (2020; Zbl 1447.60009) Full Text: DOI
Guillen, Nestor; Kitagawa, Jun; Schwab, Russell W. Estimates for Dirichlet-to-Neumann maps as integro-differential operators. (English) Zbl 1443.35016 Potential Anal. 53, No. 2, 483-521 (2020). MSC: 35B45 35B30 35J25 35J60 35R09 PDF BibTeX XML Cite \textit{N. Guillen} et al., Potential Anal. 53, No. 2, 483--521 (2020; Zbl 1443.35016) Full Text: DOI
Ramirez, Jorge M.; Constantinescu, Corina Dynamics of drainage under stochastic rainfall in river networks. (English) Zbl 1443.60046 Stoch. Dyn. 20, No. 3, Article ID 2050042, 19 p. (2020). MSC: 60G51 60J25 60H10 37H10 PDF BibTeX XML Cite \textit{J. M. Ramirez} and \textit{C. Constantinescu}, Stoch. Dyn. 20, No. 3, Article ID 2050042, 19 p. (2020; Zbl 1443.60046) Full Text: DOI
Botosaru, Irene Nonparametric analysis of a duration model with stochastic unobserved heterogeneity. (English) Zbl 07213042 J. Econom. 217, No. 1, 112-139 (2020). MSC: 62 91 PDF BibTeX XML Cite \textit{I. Botosaru}, J. Econom. 217, No. 1, 112--139 (2020; Zbl 07213042) Full Text: DOI
El Fatini, Mohamed; Boukanjime, Brahim Stochastic analysis of a two delayed epidemic model incorporating Lévy processes with a general non-linear transmission. (English) Zbl 1444.92111 Stochastic Anal. Appl. 38, No. 3, 387-402 (2020). MSC: 92D30 60G51 60H10 PDF BibTeX XML Cite \textit{M. El Fatini} and \textit{B. Boukanjime}, Stochastic Anal. Appl. 38, No. 3, 387--402 (2020; Zbl 1444.92111) Full Text: DOI
Lepinette, E.; Tran, T. Q. Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies. (English) Zbl 1437.91409 Math. Financ. Econ. 14, No. 3, 399-431 (2020). MSC: 91G10 60G51 49L25 PDF BibTeX XML Cite \textit{E. Lepinette} and \textit{T. Q. Tran}, Math. Financ. Econ. 14, No. 3, 399--431 (2020; Zbl 1437.91409) Full Text: DOI
Czarna, Irmina; Kaszubowski, Adam Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs. (English) Zbl 1446.60035 J. Optim. Theory Appl. 185, No. 3, 982-1007 (2020). MSC: 60G40 60G51 93E20 PDF BibTeX XML Cite \textit{I. Czarna} and \textit{A. Kaszubowski}, J. Optim. Theory Appl. 185, No. 3, 982--1007 (2020; Zbl 1446.60035) Full Text: DOI
Laukkarinen, Eija Malliavin smoothness on the Lévy space with Hölder continuous or \(B V\) functionals. (English) Zbl 07210258 Stochastic Processes Appl. 130, No. 8, 4766-4792 (2020). MSC: 60G51 60H07 PDF BibTeX XML Cite \textit{E. Laukkarinen}, Stochastic Processes Appl. 130, No. 8, 4766--4792 (2020; Zbl 07210258) Full Text: DOI
Kaleta, Kamil; Schilling, René L. Progressive intrinsic ultracontractivity and heat kernel estimates for non-local Schrödinger operators. (English) Zbl 07210214 J. Funct. Anal. 279, No. 6, Article ID 108606, 68 p. (2020). MSC: 47D08 60G51 47D03 47G20 PDF BibTeX XML Cite \textit{K. Kaleta} and \textit{R. L. Schilling}, J. Funct. Anal. 279, No. 6, Article ID 108606, 68 p. (2020; Zbl 07210214) Full Text: DOI
Hafayed, Mokhtar; Meherrem, Shahlar On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures. (English) Zbl 1443.93139 Int. J. Control 93, No. 5, 1053-1062 (2020). Reviewer: Syed Abbas (Mandi) MSC: 93E20 60G51 60G44 91G10 PDF BibTeX XML Cite \textit{M. Hafayed} and \textit{S. Meherrem}, Int. J. Control 93, No. 5, 1053--1062 (2020; Zbl 1443.93139) Full Text: DOI
Maller, Ross A.; Mason, David M. Compactness and continuity properties for a Lévy process at a two-sided exit time. (English) Zbl 1440.62066 Electron. J. Probab. 25, Paper No. 51, 26 p. (2020). MSC: 62E17 62B15 62G05 60G65 PDF BibTeX XML Cite \textit{R. A. Maller} and \textit{D. M. Mason}, Electron. J. Probab. 25, Paper No. 51, 26 p. (2020; Zbl 1440.62066) Full Text: DOI Euclid
Behme, Anita; Sideris, Apostolos Exponential functionals of Markov additive processes. (English) Zbl 07206374 Electron. J. Probab. 25, Paper No. 37, 25 p. (2020). MSC: 60H10 60J75 60G51 60J25 PDF BibTeX XML Cite \textit{A. Behme} and \textit{A. Sideris}, Electron. J. Probab. 25, Paper No. 37, 25 p. (2020; Zbl 07206374) Full Text: DOI Euclid
Kühn, Franziska Existence of (Markovian) solutions to martingale problems associated with Lévy-type operators. (English) Zbl 1448.60162 Electron. J. Probab. 25, Paper No. 16, 26 p. (2020). Reviewer: Ze-Chun Hu (Chengdu) MSC: 60J35 60J25 60H10 60J76 45K05 35S05 60G51 PDF BibTeX XML Cite \textit{F. Kühn}, Electron. J. Probab. 25, Paper No. 16, 26 p. (2020; Zbl 1448.60162) Full Text: DOI Euclid
Archer, Eleanor Infinite stable looptrees. (English) Zbl 1445.60032 Electron. J. Probab. 25, Paper No. 11, 48 p. (2020). MSC: 60F17 60K37 54E70 28A80 PDF BibTeX XML Cite \textit{E. Archer}, Electron. J. Probab. 25, Paper No. 11, 48 p. (2020; Zbl 1445.60032) Full Text: DOI Euclid
Kumar, Umesh; Riedle, Markus The stochastic Cauchy problem driven by a cylindrical Lévy process. (English) Zbl 1445.60045 Electron. J. Probab. 25, Paper No. 10, 26 p. (2020). MSC: 60H15 60G51 60G20 60H05 PDF BibTeX XML Cite \textit{U. Kumar} and \textit{M. Riedle}, Electron. J. Probab. 25, Paper No. 10, 26 p. (2020; Zbl 1445.60045) Full Text: DOI Euclid
Li, Bo; Zhou, Xiaowen Local times for spectrally negative Lévy processes. (English) Zbl 1434.60211 Potential Anal. 52, No. 4, 689-711 (2020). MSC: 60J55 60J45 60G51 PDF BibTeX XML Cite \textit{B. Li} and \textit{X. Zhou}, Potential Anal. 52, No. 4, 689--711 (2020; Zbl 1434.60211) Full Text: DOI
Noba, Kei Generalized scale functions of standard processes with no positive jumps. (English) Zbl 1445.60065 Electron. Commun. Probab. 25, Paper No. 8, 12 p. (2020). MSC: 60J99 60J45 60G51 PDF BibTeX XML Cite \textit{K. Noba}, Electron. Commun. Probab. 25, Paper No. 8, 12 p. (2020; Zbl 1445.60065) Full Text: DOI Euclid
Hausenblas, E.; Razafimandimby, Paul A. Existence of a density of the 2-dimensional stochastic Navier Stokes equation driven by Lévy processes or fractional Brownian motion. (English) Zbl 1445.60044 Stochastic Processes Appl. 130, No. 7, 4174-4205 (2020). MSC: 60H15 35Q30 60G51 60G22 PDF BibTeX XML Cite \textit{E. Hausenblas} and \textit{P. A. Razafimandimby}, Stochastic Processes Appl. 130, No. 7, 4174--4205 (2020; Zbl 1445.60044) Full Text: DOI
Mayerhofer, Eberhard; Stelzer, Robert; Vestweber, Johanna Geometric ergodicity of affine processes on cones. (English) Zbl 1434.60195 Stochastic Processes Appl. 130, No. 7, 4141-4173 (2020). MSC: 60J25 60G10 60G51 60J60 60J76 PDF BibTeX XML Cite \textit{E. Mayerhofer} et al., Stochastic Processes Appl. 130, No. 7, 4141--4173 (2020; Zbl 1434.60195) Full Text: DOI
Chi, Zhiyi Law of two-sided exit by a spectrally positive strictly stable process. (English) Zbl 07203578 Stochastic Processes Appl. 130, No. 7, 3967-3989 (2020). MSC: 60G51 60E07 PDF BibTeX XML Cite \textit{Z. Chi}, Stochastic Processes Appl. 130, No. 7, 3967--3989 (2020; Zbl 07203578) Full Text: DOI
Erraoui, Mohamed; Hilbert, Astrid; Louriki, Mohammed Bridges with random length: gamma case. (English) Zbl 07202136 J. Theor. Probab. 33, No. 2, 931-953 (2020). MSC: 60G40 60G46 60G51 60H10 60J75 PDF BibTeX XML Cite \textit{M. Erraoui} et al., J. Theor. Probab. 33, No. 2, 931--953 (2020; Zbl 07202136) Full Text: DOI
Criens, David Limit theorems for cylindrical martingale problems associated with Lévy generators. (English) Zbl 1434.60193 J. Theor. Probab. 33, No. 2, 866-905 (2020). MSC: 60J25 60F05 60H15 PDF BibTeX XML Cite \textit{D. Criens}, J. Theor. Probab. 33, No. 2, 866--905 (2020; Zbl 1434.60193) Full Text: DOI
Chi, Zhiyi Law of the first passage triple of a spectrally positive strictly stable process. (English) Zbl 07202129 J. Theor. Probab. 33, No. 2, 715-748 (2020). MSC: 60G51 60E07 PDF BibTeX XML Cite \textit{Z. Chi}, J. Theor. Probab. 33, No. 2, 715--748 (2020; Zbl 07202129) Full Text: DOI
De Donno, Marzia; Palmowski, Zbigniew; Tumilewicz, Joanna Double continuation regions for American and swing options with negative discount rate in Lévy models. (English) Zbl 07200955 Math. Finance 30, No. 1, 196-227 (2020). MSC: 91G PDF BibTeX XML Cite \textit{M. De Donno} et al., Math. Finance 30, No. 1, 196--227 (2020; Zbl 07200955) Full Text: DOI
Liao, Zhongwei; Shao, Jinghai Long-time behavior of Lévy-driven Ornstein-Uhlenbeck processes with regime switching. (English) Zbl 1434.60238 J. Appl. Probab. 57, No. 1, 266-279 (2020). MSC: 60J76 60K37 60J60 PDF BibTeX XML Cite \textit{Z. Liao} and \textit{J. Shao}, J. Appl. Probab. 57, No. 1, 266--279 (2020; Zbl 1434.60238) Full Text: DOI
Shi, Quan A growth-fragmentation model related to Ornstein-Uhlenbeck type processes. (English. French summary) Zbl 07199318 Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 1, 580-611 (2020). MSC: 60G51 60J80 PDF BibTeX XML Cite \textit{Q. Shi}, Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 1, 580--611 (2020; Zbl 07199318) Full Text: DOI Euclid
Shiraya, Kenichiro; Uenishi, Hiroki; Yamazaki, Akira A general control variate method for Lévy models in finance. (English) Zbl 1441.91077 Eur. J. Oper. Res. 284, No. 3, 1190-1200 (2020). MSC: 91G20 60G51 65C05 91G60 PDF BibTeX XML Cite \textit{K. Shiraya} et al., Eur. J. Oper. Res. 284, No. 3, 1190--1200 (2020; Zbl 1441.91077) Full Text: DOI
Frostig, Esther; Keren-Pinhasik, Adva Parisian ruin with Erlang delay and a lower bankruptcy barrier. (English) Zbl 1437.91133 Methodol. Comput. Appl. Probab. 22, No. 1, 101-134 (2020). MSC: 91B05 60G51 44A10 PDF BibTeX XML Cite \textit{E. Frostig} and \textit{A. Keren-Pinhasik}, Methodol. Comput. Appl. Probab. 22, No. 1, 101--134 (2020; Zbl 1437.91133) Full Text: DOI
Zhao, Huiyan; Xu, Siyan A stochastic Fubini theorem for \(\alpha\)-stable process. (English) Zbl 1437.60029 Stat. Probab. Lett. 160, Article ID 108700, 9 p. (2020). MSC: 60G52 60G51 PDF BibTeX XML Cite \textit{H. Zhao} and \textit{S. Xu}, Stat. Probab. Lett. 160, Article ID 108700, 9 p. (2020; Zbl 1437.60029) Full Text: DOI
Chen, Xin; Chen, Zhen-Qing; Wang, Jian Heat kernel for non-local operators with variable order. (English) Zbl 07194635 Stochastic Processes Appl. 130, No. 6, 3574-3647 (2020). MSC: 60G51 60G52 60J25 60J75 PDF BibTeX XML Cite \textit{X. Chen} et al., Stochastic Processes Appl. 130, No. 6, 3574--3647 (2020; Zbl 07194635) Full Text: DOI
Xun, Baoyin; Wang, Kaiyong; Yuen, Kam C. The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation. (English) Zbl 1437.62381 Japan J. Ind. Appl. Math. 37, No. 2, 507-525 (2020). MSC: 62P05 62E10 91B05 60G65 62G32 PDF BibTeX XML Cite \textit{B. Xun} et al., Japan J. Ind. Appl. Math. 37, No. 2, 507--525 (2020; Zbl 1437.62381) Full Text: DOI
Noba, Kei; Pérez, José-Luis; Yu, Xiang On the bailout dividend problem for spectrally negative Markov additive models. (English) Zbl 07191724 SIAM J. Control Optim. 58, No. 2, 1049-1076 (2020). MSC: 60G51 93E20 91G80 PDF BibTeX XML Cite \textit{K. Noba} et al., SIAM J. Control Optim. 58, No. 2, 1049--1076 (2020; Zbl 07191724) Full Text: DOI
Roberts, Michael; SenGupta, Indranil Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing. (English) Zbl 1437.91441 Ann. Finance 16, No. 1, 121-139 (2020). MSC: 91G30 62P05 60G51 PDF BibTeX XML Cite \textit{M. Roberts} and \textit{I. SenGupta}, Ann. Finance 16, No. 1, 121--139 (2020; Zbl 1437.91441) Full Text: DOI
Frei, Maria M.; Kachanovsky, Nikolai A. On the relationship between Wick calculus and stochastic integration in the Lévy white noise analysis. (English) Zbl 07189620 Eur. J. Math. 6, No. 1, 179-196 (2020). MSC: 60H05 60H40 46F25 60G51 PDF BibTeX XML Cite \textit{M. M. Frei} and \textit{N. A. Kachanovsky}, Eur. J. Math. 6, No. 1, 179--196 (2020; Zbl 07189620) Full Text: DOI
Shen, Guang Jun; Wang, Qing Bo; Yin, Xiu Wei Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise. (English) Zbl 07189511 Acta Math. Sin., Engl. Ser. 36, No. 4, 443-461 (2020). MSC: 65C30 60G22 93E24 60F05 PDF BibTeX XML Cite \textit{G. J. Shen} et al., Acta Math. Sin., Engl. Ser. 36, No. 4, 443--461 (2020; Zbl 07189511) Full Text: DOI
Palmowski, Zbigniew; Tumilewicz, Joanna Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions. (English) Zbl 1436.91112 Appl. Math. Optim. 81, No. 2, 301-347 (2020). MSC: 91G30 91G80 PDF BibTeX XML Cite \textit{Z. Palmowski} and \textit{J. Tumilewicz}, Appl. Math. Optim. 81, No. 2, 301--347 (2020; Zbl 1436.91112) Full Text: DOI
Melbourne, Ian; Varandas, Paulo Convergence to a Lévy process in the Skorohod \(\mathcal{M}_1\) and \(\mathcal{M}_2\) topologies for nonuniformly hyperbolic systems, including billiards with cusps. (English) Zbl 1440.37013 Commun. Math. Phys. 375, No. 1, 653-678 (2020). Reviewer: William J. Satzer Jr. (St. Paul) MSC: 37A50 37C83 37D25 60G51 PDF BibTeX XML Cite \textit{I. Melbourne} and \textit{P. Varandas}, Commun. Math. Phys. 375, No. 1, 653--678 (2020; Zbl 1440.37013) Full Text: DOI
El Jamali, Mohamed; El Otmani, Mohamed BSDE with rcll reflecting barrier driven by a Lévy process. (English) Zbl 07188118 Random Oper. Stoch. Equ. 28, No. 1, 63-77 (2020). MSC: 60H10 60H15 65C30 PDF BibTeX XML Cite \textit{M. El Jamali} and \textit{M. El Otmani}, Random Oper. Stoch. Equ. 28, No. 1, 63--77 (2020; Zbl 07188118) Full Text: DOI
Ipsen, Yuguang; Maller, Ross; Resnick, Sidney Trimmed Lévy processes and their extremal components. (English) Zbl 1452.60030 Stochastic Processes Appl. 130, No. 4, 2228-2249 (2020). Reviewer: Ravi Sreenivasan (Mysore) MSC: 60G51 60G70 60G52 60G55 PDF BibTeX XML Cite \textit{Y. Ipsen} et al., Stochastic Processes Appl. 130, No. 4, 2228--2249 (2020; Zbl 1452.60030) Full Text: DOI
Ivanov, A. V.; Leonenko, N. N.; Orlovskyi, I. V. On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models. (English) Zbl 1436.62429 Stat. Inference Stoch. Process. 23, No. 1, 129-169 (2020). Reviewer: Oscar Bustos (Córdoba) MSC: 62M10 62M15 62J02 60G65 PDF BibTeX XML Cite \textit{A. V. Ivanov} et al., Stat. Inference Stoch. Process. 23, No. 1, 129--169 (2020; Zbl 1436.62429) Full Text: DOI
Chaumont, Loïc; Lamine, Salem On \(\mathbb{R}^d\)-valued multi-self-similar Markov processes. (English) Zbl 1434.60209 Stochastic Processes Appl. 130, No. 5, 3174-3192 (2020). MSC: 60J45 60G18 60G51 60J25 60J60 60J76 PDF BibTeX XML Cite \textit{L. Chaumont} and \textit{S. Lamine}, Stochastic Processes Appl. 130, No. 5, 3174--3192 (2020; Zbl 1434.60209) Full Text: DOI
Wang, Wenyuan; Chen, Ping; Li, Shuanming Generalized expected discounted penalty function at general drawdown for Lévy risk processes. (English) Zbl 1435.91162 Insur. Math. Econ. 91, 12-25 (2020). MSC: 91G05 60G51 60K10 PDF BibTeX XML Cite \textit{W. Wang} et al., Insur. Math. Econ. 91, 12--25 (2020; Zbl 1435.91162) Full Text: DOI
Grzywny, T.; Jakubowski, T.; Żurek, G. Green function for gradient perturbation of unimodal Lévy processes in the real line. (English) Zbl 07179217 Bull. Malays. Math. Sci. Soc. (2) 43, No. 2, 1223-1251 (2020). MSC: 47A55 60J75 47G20 60J35 60J50 PDF BibTeX XML Cite \textit{T. Grzywny} et al., Bull. Malays. Math. Sci. Soc. (2) 43, No. 2, 1223--1251 (2020; Zbl 07179217) Full Text: DOI
Anshelevich, Michael; Wang, Zhichao Higher variations for free Lévy processes. (English) Zbl 07178838 Stud. Math. 252, No. 1, 49-81 (2020). MSC: 46L54 60F05 60G51 PDF BibTeX XML Cite \textit{M. Anshelevich} and \textit{Z. Wang}, Stud. Math. 252, No. 1, 49--81 (2020; Zbl 07178838) Full Text: DOI
Zhao, Jing; Li, Shenghong Efficient pricing of European options on two underlying assets by frame duality. (English) Zbl 07178269 J. Math. Anal. Appl. 486, No. 1, Article ID 123873, 25 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{J. Zhao} and \textit{S. Li}, J. Math. Anal. Appl. 486, No. 1, Article ID 123873, 25 p. (2020; Zbl 07178269) Full Text: DOI
Glanzer, Martin; Pflug, Georg Ch. Multiscale stochastic optimization: modeling aspects and scenario generation. (English) Zbl 1432.90094 Comput. Optim. Appl. 75, No. 1, 1-34 (2020). MSC: 90C15 90-10 PDF BibTeX XML Cite \textit{M. Glanzer} and \textit{G. Ch. Pflug}, Comput. Optim. Appl. 75, No. 1, 1--34 (2020; Zbl 1432.90094) Full Text: DOI
Denk, Robert; Kupper, Michael; Nendel, Max A semigroup approach to nonlinear Lévy processes. (English) Zbl 07173248 Stochastic Processes Appl. 130, No. 3, 1616-1642 (2020). MSC: 60G65 60G51 49L25 47H20 PDF BibTeX XML Cite \textit{R. Denk} et al., Stochastic Processes Appl. 130, No. 3, 1616--1642 (2020; Zbl 07173248) Full Text: DOI
Gromoll, H. Christian; Terwilliger, Bryce; Zwart, Bert Heavy traffic limit for the workload plateau process in a tandem queue with identical service times. (English) Zbl 1451.60101 Stochastic Processes Appl. 130, No. 3, 1435-1460 (2020). Reviewer: Sergei V. Rogosin (Minsk) MSC: 60K25 90B22 PDF BibTeX XML Cite \textit{H. C. Gromoll} et al., Stochastic Processes Appl. 130, No. 3, 1435--1460 (2020; Zbl 1451.60101) Full Text: DOI
Griffin, Philip S. General tax structures for a Lévy insurance risk process under the Cramér condition. (English) Zbl 1435.91150 Stochastic Processes Appl. 130, No. 3, 1368-1387 (2020). MSC: 91G05 91B64 62P05 60G51 PDF BibTeX XML Cite \textit{P. S. Griffin}, Stochastic Processes Appl. 130, No. 3, 1368--1387 (2020; Zbl 1435.91150) Full Text: DOI
Kato, Kengo; Kurisu, Daisuke Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations. (English) Zbl 07173234 Stochastic Processes Appl. 130, No. 3, 1159-1205 (2020). MSC: 60F05 62G15 PDF BibTeX XML Cite \textit{K. Kato} and \textit{D. Kurisu}, Stochastic Processes Appl. 130, No. 3, 1159--1205 (2020; Zbl 07173234) Full Text: DOI
Kiouach, Driss; Sabbar, Yassine Ergodic stationary distribution of a stochastic hepatitis B epidemic model with interval-valued parameters and compensated Poisson process. (English) Zbl 1431.92138 Comput. Math. Methods Med. 2020, Article ID 9676501, 12 p. (2020). MSC: 92D30 60G51 60H30 PDF BibTeX XML Cite \textit{D. Kiouach} and \textit{Y. Sabbar}, Comput. Math. Methods Med. 2020, Article ID 9676501, 12 p. (2020; Zbl 1431.92138) Full Text: DOI
Wong, Tat Wing Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail. (English) Zbl 1433.91147 Math. Financ. Econ. 14, No. 1, 67-95 (2020). MSC: 91G05 91A80 60G51 60J76 PDF BibTeX XML Cite \textit{T. W. Wong}, Math. Financ. Econ. 14, No. 1, 67--95 (2020; Zbl 1433.91147) Full Text: DOI
Chen, Xian; Jia, Chen Limit theorems for generalized density-dependent Markov chains and bursty stochastic gene regulatory networks. (English) Zbl 1431.60083 J. Math. Biol. 80, No. 4, 959-994 (2020). MSC: 60J25 60J27 60J28 60G44 92C40 92C42 92C45 92B05 PDF BibTeX XML Cite \textit{X. Chen} and \textit{C. Jia}, J. Math. Biol. 80, No. 4, 959--994 (2020; Zbl 1431.60083) Full Text: DOI
Kaleta, Kamil; Pietruska-Pałuba, Katarzyna The quenched asymptotics for nonlocal Schrödinger operators with Poissonian potentials. (English) Zbl 1435.60036 Potential Anal. 52, No. 2, 161-202 (2020). MSC: 60G51 60H25 60K37 47D08 60G60 47G30 PDF BibTeX XML Cite \textit{K. Kaleta} and \textit{K. Pietruska-Pałuba}, Potential Anal. 52, No. 2, 161--202 (2020; Zbl 1435.60036) Full Text: DOI
Engländer, János A generalization of the submartingale property: maximal inequality and applications to various stochastic processes. (English) Zbl 1444.60018 J. Theor. Probab. 33, No. 1, 506-521 (2020). MSC: 60E15 60G44 60G48 60G51 60J80 PDF BibTeX XML Cite \textit{J. Engländer}, J. Theor. Probab. 33, No. 1, 506--521 (2020; Zbl 1444.60018) Full Text: DOI