Hudde, Anselm; Rüschendorf, Ludger European and Asian Greeks for exponential Lévy processes. (English) Zbl 1520.91402 Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 39, 24 p. (2023). MSC: 91G20 60J70 60H07 60G51 91G60 PDFBibTeX XMLCite \textit{A. Hudde} and \textit{L. Rüschendorf}, Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 39, 24 p. (2023; Zbl 1520.91402) Full Text: DOI arXiv
Martín-González, Ehyter Matías; Murillo-Salas, Antonio; Pantí, Henry Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps. (English) Zbl 1506.60049 Methodol. Comput. Appl. Probab. 24, No. 4, 2779-2800 (2022). MSC: 60G51 60J76 60K37 91B05 PDFBibTeX XMLCite \textit{E. M. Martín-González} et al., Methodol. Comput. Appl. Probab. 24, No. 4, 2779--2800 (2022; Zbl 1506.60049) Full Text: DOI
Ratanov, Nikita Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals. (English) Zbl 1506.60087 Methodol. Comput. Appl. Probab. 24, No. 4, 2703-2721 (2022). MSC: 60J76 60J35 60G44 60K99 PDFBibTeX XMLCite \textit{N. Ratanov}, Methodol. Comput. Appl. Probab. 24, No. 4, 2703--2721 (2022; Zbl 1506.60087) Full Text: DOI
Ratanov, Nikita Ornstein-Uhlenbeck processes of bounded variation. (English) Zbl 1476.60146 Methodol. Comput. Appl. Probab. 23, No. 3, 925-946 (2021). MSC: 60J74 60J27 60K99 PDFBibTeX XMLCite \textit{N. Ratanov}, Methodol. Comput. Appl. Probab. 23, No. 3, 925--946 (2021; Zbl 1476.60146) Full Text: DOI arXiv
Zhang, Qiang; Chen, Ping Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps. (English) Zbl 1459.91169 Methodol. Comput. Appl. Probab. 22, No. 2, 777-801 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 49L20 60H30 60J74 PDFBibTeX XMLCite \textit{Q. Zhang} and \textit{P. Chen}, Methodol. Comput. Appl. Probab. 22, No. 2, 777--801 (2020; Zbl 1459.91169) Full Text: DOI
Jiang, Pingping; Li, Bo; Wang, Yongjin Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps. (English) Zbl 1460.60052 Methodol. Comput. Appl. Probab. 22, No. 2, 693-710 (2020). MSC: 60H10 60J76 PDFBibTeX XMLCite \textit{P. Jiang} et al., Methodol. Comput. Appl. Probab. 22, No. 2, 693--710 (2020; Zbl 1460.60052) Full Text: DOI
Ratanov, Nikita First crossing times of telegraph processes with jumps. (English) Zbl 1437.60052 Methodol. Comput. Appl. Probab. 22, No. 1, 349-370 (2020). MSC: 60J74 60J27 60K99 PDFBibTeX XMLCite \textit{N. Ratanov}, Methodol. Comput. Appl. Probab. 22, No. 1, 349--370 (2020; Zbl 1437.60052) Full Text: DOI
Choquet, Catherine; Néel, Marie-Christine Derivation of Feynman-Kac and Bloch-Torrey equations in a trapping medium. (English) Zbl 1437.60045 Methodol. Comput. Appl. Probab. 22, No. 1, 49-74 (2020). MSC: 60J27 82C31 35J65 60J76 60J70 PDFBibTeX XMLCite \textit{C. Choquet} and \textit{M.-C. Néel}, Methodol. Comput. Appl. Probab. 22, No. 1, 49--74 (2020; Zbl 1437.60045) Full Text: DOI
Wu, Tung-Lung Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries. (English) Zbl 1437.60050 Methodol. Comput. Appl. Probab. 22, No. 1, 13-24 (2020). MSC: 60J65 60J70 60J60 60J10 PDFBibTeX XMLCite \textit{T.-L. Wu}, Methodol. Comput. Appl. Probab. 22, No. 1, 13--24 (2020; Zbl 1437.60050) Full Text: DOI
Hainaut, Donatien; Deelstra, Griselda A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices. (English) Zbl 1447.60072 Methodol. Comput. Appl. Probab. 21, No. 4, 1337-1375 (2019). MSC: 60G46 60G55 91G40 PDFBibTeX XMLCite \textit{D. Hainaut} and \textit{G. Deelstra}, Methodol. Comput. Appl. Probab. 21, No. 4, 1337--1375 (2019; Zbl 1447.60072) Full Text: DOI Link
Abundo, Mario; Furia, Sara Joint distribution of first-passage time and first-passage area of certain Lévy processes. (English) Zbl 1437.60027 Methodol. Comput. Appl. Probab. 21, No. 4, 1283-1302 (2019). MSC: 60G51 60J60 PDFBibTeX XMLCite \textit{M. Abundo} and \textit{S. Furia}, Methodol. Comput. Appl. Probab. 21, No. 4, 1283--1302 (2019; Zbl 1437.60027) Full Text: DOI
Hongler, Max-Olivier; Filliger, Roger On jump-diffusive driving noise sources. Some explicit results and applications. (English) Zbl 1439.60078 Methodol. Comput. Appl. Probab. 21, No. 3, 753-764 (2019). MSC: 60J74 60H10 82C31 60K35 PDFBibTeX XMLCite \textit{M.-O. Hongler} and \textit{R. Filliger}, Methodol. Comput. Appl. Probab. 21, No. 3, 753--764 (2019; Zbl 1439.60078) Full Text: DOI arXiv
Dong, Qinglai; Cui, Lirong First hitting time distributions for Brownian motion and regions with piecewise linear boundaries. (English) Zbl 1411.60119 Methodol. Comput. Appl. Probab. 21, No. 1, 1-23 (2019). MSC: 60J65 60J75 60J60 60J70 PDFBibTeX XMLCite \textit{Q. Dong} and \textit{L. Cui}, Methodol. Comput. Appl. Probab. 21, No. 1, 1--23 (2019; Zbl 1411.60119) Full Text: DOI
Jin, Zhiyong; Wang, Liqun First passage time for Brownian motion and piecewise linear boundaries. (English) Zbl 1360.60155 Methodol. Comput. Appl. Probab. 19, No. 1, 237-253 (2017). MSC: 60J65 60J75 60J60 60J70 65C05 PDFBibTeX XMLCite \textit{Z. Jin} and \textit{L. Wang}, Methodol. Comput. Appl. Probab. 19, No. 1, 237--253 (2017; Zbl 1360.60155) Full Text: DOI
Ratanov, Nikita Option pricing under jump-diffusion processes with regime switching. (English) Zbl 1350.91017 Methodol. Comput. Appl. Probab. 18, No. 3, 829-845 (2016). Reviewer: George Stoica (Saint John) MSC: 91G20 60G44 60J75 PDFBibTeX XMLCite \textit{N. Ratanov}, Methodol. Comput. Appl. Probab. 18, No. 3, 829--845 (2016; Zbl 1350.91017) Full Text: DOI
Li, Shuanming; Lu, Yi; Jin, Can Number of jumps in two-sided first-exit problems for a compound Poisson process. (English) Zbl 1349.91146 Methodol. Comput. Appl. Probab. 18, No. 3, 747-764 (2016). MSC: 91B30 60G40 60J75 PDFBibTeX XMLCite \textit{S. Li} et al., Methodol. Comput. Appl. Probab. 18, No. 3, 747--764 (2016; Zbl 1349.91146) Full Text: DOI
D’Amico, Guglielmo Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings. (English) Zbl 1331.60169 Methodol. Comput. Appl. Probab. 17, No. 4, 929-949 (2015). MSC: 60J75 60J27 62M05 91G80 PDFBibTeX XMLCite \textit{G. D'Amico}, Methodol. Comput. Appl. Probab. 17, No. 4, 929--949 (2015; Zbl 1331.60169) Full Text: DOI
Ratanov, Nikita Telegraph processes with random jumps and complete market models. (English) Zbl 1322.60170 Methodol. Comput. Appl. Probab. 17, No. 3, 677-695 (2015). MSC: 60J75 60J27 60G55 60K99 45D05 91B70 91B26 91G80 PDFBibTeX XMLCite \textit{N. Ratanov}, Methodol. Comput. Appl. Probab. 17, No. 3, 677--695 (2015; Zbl 1322.60170) Full Text: DOI arXiv
Robin, Stéphane; Stefanov, Valeri T. Detection of significant genomic alterations via simultaneous minimal sojourns at a state by independent continuous-time Markov chains. (English) Zbl 1322.60171 Methodol. Comput. Appl. Probab. 17, No. 2, 479-487 (2015). Reviewer: Ivan Křivý (Ostrava) MSC: 60J75 60J80 60J27 60J28 60J85 92D10 PDFBibTeX XMLCite \textit{S. Robin} and \textit{V. T. Stefanov}, Methodol. Comput. Appl. Probab. 17, No. 2, 479--487 (2015; Zbl 1322.60171) Full Text: DOI
Paroissin, Christian; Rabehasaina, Landy First and last passage times of spectrally positive Lévy processes with application to reliability. (English) Zbl 1319.60099 Methodol. Comput. Appl. Probab. 17, No. 2, 351-372 (2015). MSC: 60G51 60K10 60J65 60J75 PDFBibTeX XMLCite \textit{C. Paroissin} and \textit{L. Rabehasaina}, Methodol. Comput. Appl. Probab. 17, No. 2, 351--372 (2015; Zbl 1319.60099) Full Text: DOI arXiv
Ivanenko, D. O.; Kulik, A. M. Malliavin calculus approach to statistical inference for Lévy driven SDE’s. (English) Zbl 1310.60070 Methodol. Comput. Appl. Probab. 17, No. 1, 107-123 (2015). MSC: 60H07 60H10 60G51 60J75 62F12 PDFBibTeX XMLCite \textit{D. O. Ivanenko} and \textit{A. M. Kulik}, Methodol. Comput. Appl. Probab. 17, No. 1, 107--123 (2015; Zbl 1310.60070) Full Text: DOI arXiv
Fontana, Claudio; Øksendal, Bernt; Sulem, Agnès Market viability and martingale measures under partial information. (English) Zbl 1338.60121 Methodol. Comput. Appl. Probab. 17, No. 1, 15-39 (2015). MSC: 60G44 60J60 60J75 60H10 60H30 60G57 60G51 91B70 91G80 93E20 94A17 PDFBibTeX XMLCite \textit{C. Fontana} et al., Methodol. Comput. Appl. Probab. 17, No. 1, 15--39 (2015; Zbl 1338.60121) Full Text: DOI arXiv
Gonçalves, Flávio B.; Roberts, Gareth O. Exact simulation problems for jump-diffusions. (English) Zbl 1334.60130 Methodol. Comput. Appl. Probab. 16, No. 4, 907-930 (2014). MSC: 60H35 60H10 60J60 60J75 65C30 PDFBibTeX XMLCite \textit{F. B. Gonçalves} and \textit{G. O. Roberts}, Methodol. Comput. Appl. Probab. 16, No. 4, 907--930 (2014; Zbl 1334.60130) Full Text: DOI
Albrecher, Hansjörg; Avram, Florin; Constantinescu, Corina; Ivanovs, Jevgenijs The tax identity for Markov additive risk processes. (English) Zbl 1286.91062 Methodol. Comput. Appl. Probab. 16, No. 1, 245-258 (2014). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 60G51 60J75 60K37 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Methodol. Comput. Appl. Probab. 16, No. 1, 245--258 (2014; Zbl 1286.91062) Full Text: DOI Link
Di Crescenzo, Antonio; Martinucci, Barbara On the generalized telegraph process with deterministic jumps. (English) Zbl 1280.60049 Methodol. Comput. Appl. Probab. 15, No. 1, 215-235 (2013). Reviewer: Enzo Orsingher (Roma) MSC: 60K15 60J75 PDFBibTeX XMLCite \textit{A. Di Crescenzo} and \textit{B. Martinucci}, Methodol. Comput. Appl. Probab. 15, No. 1, 215--235 (2013; Zbl 1280.60049) Full Text: DOI
Abundo, Mario On the first-passage area of a one-dimensional jump-diffusion process. (English) Zbl 1267.60089 Methodol. Comput. Appl. Probab. 15, No. 1, 85-103 (2013). Reviewer: Vivek S. Borkar (Mumbai) MSC: 60J60 60H30 60J57 60J25 PDFBibTeX XMLCite \textit{M. Abundo}, Methodol. Comput. Appl. Probab. 15, No. 1, 85--103 (2013; Zbl 1267.60089) Full Text: DOI
Cheung, Eric C. K.; Landriault, David On a risk model with surplus-dependent premium and tax rates. (English) Zbl 1260.91120 Methodol. Comput. Appl. Probab. 14, No. 2, 233-251 (2012). MSC: 91B30 60G55 60J75 90B05 PDFBibTeX XMLCite \textit{E. C. K. Cheung} and \textit{D. Landriault}, Methodol. Comput. Appl. Probab. 14, No. 2, 233--251 (2012; Zbl 1260.91120) Full Text: DOI
Bardel, Noémie; Desbouvries, François Exact Bayesian prediction in a class of Markov-switching models. (English) Zbl 1241.62128 Methodol. Comput. Appl. Probab. 14, No. 1, 125-134 (2012). MSC: 62M20 62F15 93E11 65C40 65C60 65Y20 PDFBibTeX XMLCite \textit{N. Bardel} and \textit{F. Desbouvries}, Methodol. Comput. Appl. Probab. 14, No. 1, 125--134 (2012; Zbl 1241.62128) Full Text: DOI
Casella, Bruno; Roberts, Gareth O. Exact simulation of jump-diffusion processes with Monte Carlo applications. (English) Zbl 1237.60067 Methodol. Comput. Appl. Probab. 13, No. 3, 449-473 (2011). Reviewer: Martin Riedler (Linz) MSC: 60J75 65C05 65C30 PDFBibTeX XMLCite \textit{B. Casella} and \textit{G. O. Roberts}, Methodol. Comput. Appl. Probab. 13, No. 3, 449--473 (2011; Zbl 1237.60067) Full Text: DOI Link
Veillette, Mark; Taqqu, Murad S. Numerical computation of first-passage times of increasing Lévy processes. (English) Zbl 1213.60094 Methodol. Comput. Appl. Probab. 12, No. 4, 695-729 (2010). Reviewer: Johannes Muhle-Karbe (Zürich) MSC: 60G51 60G40 60J75 60E07 PDFBibTeX XMLCite \textit{M. Veillette} and \textit{M. S. Taqqu}, Methodol. Comput. Appl. Probab. 12, No. 4, 695--729 (2010; Zbl 1213.60094) Full Text: DOI arXiv
Socoll, Sanda N.; Barbour, A. D. Translated Poisson approximation to equilibrium distributions of Markov population processes. (English) Zbl 1214.60041 Methodol. Comput. Appl. Probab. 12, No. 4, 567-586 (2010). Reviewer: A. Świerniak (Gliwice) MSC: 60J75 62E17 60J05 60J80 92D25 60G55 PDFBibTeX XMLCite \textit{S. N. Socoll} and \textit{A. D. Barbour}, Methodol. Comput. Appl. Probab. 12, No. 4, 567--586 (2010; Zbl 1214.60041) Full Text: DOI arXiv Link
Madan, Dilip B.; Elliott, Robert J. Multiple priors and asset pricing. (English) Zbl 1162.91381 Methodol. Comput. Appl. Probab. 11, No. 2, 211-229 (2009). MSC: 91B28 60G35 60J75 62F15 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{R. J. Elliott}, Methodol. Comput. Appl. Probab. 11, No. 2, 211--229 (2009; Zbl 1162.91381) Full Text: DOI
Zacks, S. Review of some functionals of compound Poisson processes and related stopping times. (English) Zbl 1122.60045 Methodol. Comput. Appl. Probab. 9, No. 2, 343-356 (2007). MSC: 60G40 60G17 60K25 60J75 90B05 PDFBibTeX XMLCite \textit{S. Zacks}, Methodol. Comput. Appl. Probab. 9, No. 2, 343--356 (2007; Zbl 1122.60045) Full Text: DOI
Perry, D.; Stadje, W.; Zacks, S. A two-sided first-exit problem for a compound Poisson process with a random upper boundary. (English) Zbl 1079.60044 Methodol. Comput. Appl. Probab. 7, No. 1, 51-62 (2005). Reviewer: Evgueni Spodarev (Ulm) MSC: 60G40 60K25 60J75 PDFBibTeX XMLCite \textit{D. Perry} et al., Methodol. Comput. Appl. Probab. 7, No. 1, 51--62 (2005; Zbl 1079.60044) Full Text: DOI
Guillemin, Fabrice; Mazumdar, Ravi Rate conservation laws for multidimensional processes of bounded variation with applications to priority queueing systems. (English) Zbl 1049.60082 Methodol. Comput. Appl. Probab. 6, No. 2, 135-159 (2004). Reviewer: O. K. Zakusilo (Kyïv) MSC: 60K25 60J40 90B22 60J75 PDFBibTeX XMLCite \textit{F. Guillemin} and \textit{R. Mazumdar}, Methodol. Comput. Appl. Probab. 6, No. 2, 135--159 (2004; Zbl 1049.60082) Full Text: DOI
Girardin, Valerie Entropy maximization for Markov and semi-Markov processes. (English) Zbl 1043.60080 Methodol. Comput. Appl. Probab. 6, No. 1, 109-127 (2004). Reviewer: Gheorghe Oprişan (Bucureşti) MSC: 60K15 60J25 62B10 94A17 PDFBibTeX XMLCite \textit{V. Girardin}, Methodol. Comput. Appl. Probab. 6, No. 1, 109--127 (2004; Zbl 1043.60080) Full Text: DOI
Deaconu, Madalina; Fournier, Nicolas; Tanré, Etienne Rate of convergence of a stochastic particle system for the Smoluchowski coagulation equation. (English) Zbl 1032.82023 Methodol. Comput. Appl. Probab. 5, No. 2, 131-158 (2003). MSC: 82C22 60H30 60J75 35M10 PDFBibTeX XMLCite \textit{M. Deaconu} et al., Methodol. Comput. Appl. Probab. 5, No. 2, 131--158 (2003; Zbl 1032.82023) Full Text: DOI
Guo, Xin When the “bull” meets the “bear”: A first passage time problem for a hidden Markov process. (English) Zbl 0997.60072 Methodol. Comput. Appl. Probab. 3, No. 2, 135-143 (2001); correction ibid. 16. No. 3, 771-776 (2014). MSC: 60J05 60J75 PDFBibTeX XMLCite \textit{X. Guo}, Methodol. Comput. Appl. Probab. 3, No. 2, 135--143 (2001; Zbl 0997.60072) Full Text: DOI
Kolokoltsov, Vassili Complex measures on path space: An introduction to the Feynman integral applied to the Schrödinger equation. (English) Zbl 0942.28013 Methodol. Comput. Appl. Probab. 1, No. 3, 349-365 (1999). Reviewer: Oleksandr Kukush (Kyiv) MSC: 28C20 60E07 60J75 81Q05 81S40 PDFBibTeX XMLCite \textit{V. Kolokoltsov}, Methodol. Comput. Appl. Probab. 1, No. 3, 349--365 (1999; Zbl 0942.28013) Full Text: DOI