Yamato, Kosuke Existence of quasi-stationary distributions for spectrally positive Lévy processes on the half-line. (English) Zbl 07799665 ALEA, Lat. Am. J. Probab. Math. Stat. 20, No. 1, 629-643 (2023). MSC: 60G51 PDFBibTeX XMLCite \textit{K. Yamato}, ALEA, Lat. Am. J. Probab. Math. Stat. 20, No. 1, 629--643 (2023; Zbl 07799665) Full Text: arXiv Link
Hannebicque, Brice; Herbin, Érick Regularity of an abstract Wiener integral. (English) Zbl 1510.60042 Stochastic Processes Appl. 154, 154-196 (2022). MSC: 60H05 60G10 60G17 60G20 60G51 60G55 60G57 PDFBibTeX XMLCite \textit{B. Hannebicque} and \textit{É. Herbin}, Stochastic Processes Appl. 154, 154--196 (2022; Zbl 1510.60042) Full Text: DOI
Lu, Kevin W. Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination. (English) Zbl 1493.62503 Stat. Inference Stoch. Process. 25, No. 2, 365-396 (2022). MSC: 62M05 60G51 60G10 62F10 60E10 60H05 PDFBibTeX XMLCite \textit{K. W. Lu}, Stat. Inference Stoch. Process. 25, No. 2, 365--396 (2022; Zbl 1493.62503) Full Text: DOI arXiv
Behme, Anita; Sideris, Apostolos Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory. (English) Zbl 1489.60129 Bernoulli 28, No. 2, 1309-1339 (2022). MSC: 60J25 60H25 60G51 PDFBibTeX XMLCite \textit{A. Behme} and \textit{A. Sideris}, Bernoulli 28, No. 2, 1309--1339 (2022; Zbl 1489.60129) Full Text: DOI arXiv Link
Azmoodeh, Ehsan; Ljungdahl, Mathias Mørck; Thäle, Christoph Multi-dimensional normal approximation of heavy-tailed moving averages. (English) Zbl 1482.60032 Stochastic Processes Appl. 145, 308-334 (2022). MSC: 60F05 60G10 60G15 60G51 60G55 60H07 PDFBibTeX XMLCite \textit{E. Azmoodeh} et al., Stochastic Processes Appl. 145, 308--334 (2022; Zbl 1482.60032) Full Text: DOI arXiv
Chen, Shukai; Li, Zenghu Continuous time mixed state branching processes and stochastic equations. (English) Zbl 1513.60104 Acta Math. Sci., Ser. B, Engl. Ed. 41, No. 5, 1445-1473 (2021). MSC: 60J80 60H20 60G51 PDFBibTeX XMLCite \textit{S. Chen} and \textit{Z. Li}, Acta Math. Sci., Ser. B, Engl. Ed. 41, No. 5, 1445--1473 (2021; Zbl 1513.60104) Full Text: DOI arXiv
Stelzer, Robert; Vestweber, Johanna Geometric ergodicity of the multivariate COGARCH(1,1) process. (English) Zbl 1500.60045 Stochastics 93, No. 7, 959-992 (2021). Reviewer: Romeo Negrea (Timişoara) MSC: 60J25 60G10 60G51 62M10 PDFBibTeX XMLCite \textit{R. Stelzer} and \textit{J. Vestweber}, Stochastics 93, No. 7, 959--992 (2021; Zbl 1500.60045) Full Text: DOI arXiv
Brockwell, Peter J.; Lindner, Alexander Aspects of non-causal and non-invertible CARMA processes. (English) Zbl 1475.62235 J. Time Ser. Anal. 42, No. 5-6, 777-790 (2021). MSC: 62M10 60G51 60G10 PDFBibTeX XMLCite \textit{P. J. Brockwell} and \textit{A. Lindner}, J. Time Ser. Anal. 42, No. 5--6, 777--790 (2021; Zbl 1475.62235) Full Text: DOI
Khalaf, Anas Dheyab; Tesfay, Almaz; Wang, Xiangjun Impulsive stochastic Volterra integral equations driven by Lévy noise. (English) Zbl 1477.60106 Bull. Iran. Math. Soc. 47, No. 6, 1661-1679 (2021). MSC: 60H20 60G05 60G10 60G51 PDFBibTeX XMLCite \textit{A. D. Khalaf} et al., Bull. Iran. Math. Soc. 47, No. 6, 1661--1679 (2021; Zbl 1477.60106) Full Text: DOI
Pakkanen, Mikko S.; Passeggeri, Riccardo; Sauri, Orimar; Veraart, Almut E. D. Limit theorems for trawl processes. (English) Zbl 1477.60057 Electron. J. Probab. 26, Paper No. 116, 36 p. (2021). Reviewer: Ivan Podvigin (Novosibirsk) MSC: 60F17 60G10 60G57 60J65 60G22 60G51 PDFBibTeX XMLCite \textit{M. S. Pakkanen} et al., Electron. J. Probab. 26, Paper No. 116, 36 p. (2021; Zbl 1477.60057) Full Text: DOI arXiv
Lotov, V. I.; Khodjibayev, V. R. Inequalities in a two-sided boundary crossing problem for stochastic processes. (English. Russian original) Zbl 1470.60124 Sib. Math. J. 62, No. 3, 455-461 (2021); translation from Sib. Mat. Zh. 62, No. 3, 567-575 (2021). MSC: 60G50 60E15 PDFBibTeX XMLCite \textit{V. I. Lotov} and \textit{V. R. Khodjibayev}, Sib. Math. J. 62, No. 3, 455--461 (2021; Zbl 1470.60124); translation from Sib. Mat. Zh. 62, No. 3, 567--575 (2021) Full Text: DOI
Barnes, Clayton; Sarantsev, Andrey A note on jump Atlas models. (English) Zbl 1467.91169 Braz. J. Probab. Stat. 34, No. 4, 844-857 (2020). MSC: 91G15 60G51 PDFBibTeX XMLCite \textit{C. Barnes} and \textit{A. Sarantsev}, Braz. J. Probab. Stat. 34, No. 4, 844--857 (2020; Zbl 1467.91169) Full Text: DOI arXiv Euclid
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: 62M10 62F10 62F12 62F35 60G10 60G51 PDFBibTeX XMLCite \textit{V. Fasen-Hartmann} and \textit{S. Kimmig}, J. Time Ser. Anal. 41, No. 5, 620--651 (2020; Zbl 1453.62394) Full Text: DOI arXiv
Grahovac, Danijel; Leonenko, Nikolai N.; Taqqu, Murad S. The multifaceted behavior of integrated supOU processes: the infinite variance case. (English) Zbl 1469.60078 J. Theor. Probab. 33, No. 4, 1801-1831 (2020). MSC: 60F05 60G52 60G10 60G51 PDFBibTeX XMLCite \textit{D. Grahovac} et al., J. Theor. Probab. 33, No. 4, 1801--1831 (2020; Zbl 1469.60078) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{E. Mayerhofer} et al., Stochastic Processes Appl. 130, No. 7, 4141--4173 (2020; Zbl 1434.60195) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{D. Kiouach} and \textit{Y. Sabbar}, Comput. Math. Methods Med. 2020, Article ID 9676501, 12 p. (2020; Zbl 1431.92138) Full Text: DOI
White, Ryan T.; Dshalalow, Jewgeni H. Characterizations of random walks on random lattices and their ramifications. (English) Zbl 1444.60036 Stochastic Anal. Appl. 38, No. 2, 307-342 (2020). MSC: 60G50 60G51 60G52 60K25 PDFBibTeX XMLCite \textit{R. T. White} and \textit{J. H. Dshalalow}, Stochastic Anal. Appl. 38, No. 2, 307--342 (2020; Zbl 1444.60036) Full Text: DOI
Habtemicael, Semere; Ghebremichael, Musie; SenGupta, Indranil Volatility and variance swap using superposition of the Barndorff-Nielsen and Shephard type Lévy processes. (English) Zbl 1427.91274 Sankhyā, Ser. B 81, No. 1, 75-92 (2019). MSC: 91G20 60G10 60G51 91G70 PDFBibTeX XMLCite \textit{S. Habtemicael} et al., Sankhyā, Ser. B 81, No. 1, 75--92 (2019; Zbl 1427.91274) Full Text: DOI
Lotov, Vladimir Ivanovich; Khodzhibaev, Vali Rakhimdzhanovich On a stochastic process with switchings. (Russian. English summary) Zbl 1423.60075 Sib. Èlektron. Mat. Izv. 16, 1531-1546 (2019). MSC: 60G50 PDFBibTeX XMLCite \textit{V. I. Lotov} and \textit{V. R. Khodzhibaev}, Sib. Èlektron. Mat. Izv. 16, 1531--1546 (2019; Zbl 1423.60075) Full Text: DOI
Passeggeri, Riccardo; Veraart, Almut E. D. Mixing properties of multivariate infinitely divisible random fields. (English) Zbl 1480.60040 J. Theor. Probab. 32, No. 4, 1845-1879 (2019). MSC: 60E07 37A25 60G60 62M40 60G10 60G51 PDFBibTeX XMLCite \textit{R. Passeggeri} and \textit{A. E. D. Veraart}, J. Theor. Probab. 32, No. 4, 1845--1879 (2019; Zbl 1480.60040) Full Text: DOI arXiv
Lee, Mei-Ling Ting; Whitmore, G. A. A new class of survival distribution for degradation processes subject to shocks. (English) Zbl 1481.62088 J. Stat. Distrib. Appl. 6, Paper No. 8, 24 p. (2019). MSC: 62N05 60K10 62P10 60G51 PDFBibTeX XMLCite \textit{M.-L. T. Lee} and \textit{G. A. Whitmore}, J. Stat. Distrib. Appl. 6, Paper No. 8, 24 p. (2019; Zbl 1481.62088) Full Text: DOI
Brandes, Dirk-Philip; Curato, Imma Valentina On the sample autocovariance of a Lévy driven moving average process when sampled at a renewal sequence. (English) Zbl 1432.60051 J. Stat. Plann. Inference 203, 20-38 (2019). MSC: 60G51 60F05 60G10 62D05 62M10 PDFBibTeX XMLCite \textit{D.-P. Brandes} and \textit{I. V. Curato}, J. Stat. Plann. Inference 203, 20--38 (2019; Zbl 1432.60051) Full Text: DOI arXiv
Karcher, Wolfgang; Roth, Stefan; Spodarev, Evgeny; Walk, Corinna An inverse problem for infinitely divisible moving average random fields. (English) Zbl 1425.62130 Stat. Inference Stoch. Process. 22, No. 2, 263-306 (2019). Reviewer: Claudia Simionescu-Badea (Wien) MSC: 62M40 62G08 62G05 60G51 PDFBibTeX XMLCite \textit{W. Karcher} et al., Stat. Inference Stoch. Process. 22, No. 2, 263--306 (2019; Zbl 1425.62130) Full Text: DOI arXiv
Brockwell, Peter J.; Lindner, Alexander Sampling, embedding and inference for CARMA processes. (English) Zbl 1433.62254 J. Time Ser. Anal. 40, No. 2, 163-181 (2019). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 62M10 60G51 60G10 PDFBibTeX XMLCite \textit{P. J. Brockwell} and \textit{A. Lindner}, J. Time Ser. Anal. 40, No. 2, 163--181 (2019; Zbl 1433.62254) Full Text: DOI
Grahovac, Danijel; Leonenko, Nikolai N.; Sikorskii, Alla; Taqqu, Murad S. The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes. (English) Zbl 1466.60095 Bernoulli 25, No. 3, 2029-2050 (2019). MSC: 60G51 60E07 60G10 PDFBibTeX XMLCite \textit{D. Grahovac} et al., Bernoulli 25, No. 3, 2029--2050 (2019; Zbl 1466.60095) Full Text: DOI arXiv Euclid
Bertoin, Jean Ergodic aspects of some Ornstein-Uhlenbeck type processes related to Lévy processes. (English) Zbl 1488.60077 Stochastic Processes Appl. 129, No. 4, 1443-1454 (2019). MSC: 60G10 60G18 60G51 37A10 PDFBibTeX XMLCite \textit{J. Bertoin}, Stochastic Processes Appl. 129, No. 4, 1443--1454 (2019; Zbl 1488.60077) Full Text: DOI arXiv
Benth, Fred Espen; Rohde, Victor On non-negative modeling with CARMA processes. (English) Zbl 1435.62315 J. Math. Anal. Appl. 476, No. 1, 196-214 (2019). Reviewer: Oscar Bustos (Córdoba) with Patricia Kisbye MSC: 62M10 91B70 60G51 62P05 60H10 PDFBibTeX XMLCite \textit{F. E. Benth} and \textit{V. Rohde}, J. Math. Anal. Appl. 476, No. 1, 196--214 (2019; Zbl 1435.62315) Full Text: DOI Link
Curato, Imma Valentina; Stelzer, Robert Weak dependence and GMM estimation of supOU and mixed moving average processes. (English) Zbl 1406.60028 Electron. J. Stat. 13, No. 1, 310-360 (2019). MSC: 60E07 60G10 60G51 60G57 62F12 PDFBibTeX XMLCite \textit{I. V. Curato} and \textit{R. Stelzer}, Electron. J. Stat. 13, No. 1, 310--360 (2019; Zbl 1406.60028) Full Text: DOI arXiv Euclid
Kim, Ildoo; Kim, Kyeong-Hun; Kim, Panki An \(L_p\)-theory for diffusion equations related to stochastic processes with non-stationary independent increment. (English) Zbl 1439.60074 Trans. Am. Math. Soc. 371, No. 5, 3417-3450 (2019). MSC: 60J60 60G51 35S10 PDFBibTeX XMLCite \textit{I. Kim} et al., Trans. Am. Math. Soc. 371, No. 5, 3417--3450 (2019; Zbl 1439.60074) Full Text: DOI arXiv
Hess, Markus Cliquet option pricing in a jump-diffusion Lévy model. (English) Zbl 1412.60055 Mod. Stoch., Theory Appl. 5, No. 3, 317-336 (2018). MSC: 60G10 60G51 60H10 91B30 91B70 PDFBibTeX XMLCite \textit{M. Hess}, Mod. Stoch., Theory Appl. 5, No. 3, 317--336 (2018; Zbl 1412.60055) Full Text: DOI arXiv
Oktay, Onur Stochastic integral operator model for IS, US and WSSUS channels. (English) Zbl 1407.60068 J. Pseudo-Differ. Oper. Appl. 9, No. 3, 539-572 (2018). MSC: 60G51 47B80 47H40 60G10 60G57 60H05 60H25 94A05 PDFBibTeX XMLCite \textit{O. Oktay}, J. Pseudo-Differ. Oper. Appl. 9, No. 3, 539--572 (2018; Zbl 1407.60068) Full Text: DOI arXiv
Pitman, Jim; Tang, Wenpin The argmin process of random walks, Brownian motion and Lévy processes. (English) Zbl 1410.60046 Electron. J. Probab. 23, Paper No. 60, 35 p. (2018). MSC: 60G50 60G51 60J65 PDFBibTeX XMLCite \textit{J. Pitman} and \textit{W. Tang}, Electron. J. Probab. 23, Paper No. 60, 35 p. (2018; Zbl 1410.60046) Full Text: DOI arXiv Euclid
Pham, Viet Son; Chong, Carsten Volterra-type Ornstein-Uhlenbeck processes in space and time. (English) Zbl 1405.60064 Stochastic Processes Appl. 128, No. 9, 3082-3117 (2018). MSC: 60G51 60G10 60G17 60G60 60J75 PDFBibTeX XMLCite \textit{V. S. Pham} and \textit{C. Chong}, Stochastic Processes Appl. 128, No. 9, 3082--3117 (2018; Zbl 1405.60064) Full Text: DOI arXiv
Bogdan, Krzysztof; Palmowski, Zbigniew; Wang, Longmin Yaglom limit for stable processes in cones. (English) Zbl 1390.31002 Electron. J. Probab. 23, Paper No. 11, 19 p. (2018). MSC: 31B05 60J45 60F05 60G51 PDFBibTeX XMLCite \textit{K. Bogdan} et al., Electron. J. Probab. 23, Paper No. 11, 19 p. (2018; Zbl 1390.31002) Full Text: DOI arXiv Euclid
Dębicki, Krzysztof; Hashorva, Enkelejd On extremal index of max-stable stationary processes. (English) Zbl 1393.60055 Probab. Math. Stat. 37, No. 2, 299-317 (2017). MSC: 60G70 60G15 60G51 PDFBibTeX XMLCite \textit{K. Dębicki} and \textit{E. Hashorva}, Probab. Math. Stat. 37, No. 2, 299--317 (2017; Zbl 1393.60055) Full Text: arXiv Link
Czarna, Irmina; Palmowski, Zbigniew Parisian quasi-stationary distributions for asymmetric Lévy processes. (English) Zbl 1379.60052 Stat. Probab. Lett. 127, 75-84 (2017). MSC: 60G51 60J99 93E20 PDFBibTeX XMLCite \textit{I. Czarna} and \textit{Z. Palmowski}, Stat. Probab. Lett. 127, 75--84 (2017; Zbl 1379.60052) Full Text: DOI arXiv
Kousholt, Astrid; Ziegel, Johanna F.; Kiderlen, Markus; Vedel Jensen, Eva B. Stereological estimation of mean particle volume tensors in \(\mathbb R^3\) from vertical sections. (English) Zbl 1373.60024 Vedel Jensen, Eva B. (ed.) et al., Tensor valuations and their applications in stochastic geometry and imaging. Based on the presentations at the workshop, Sandbjerg Manor, Denmark, September 21–26, 2014. Cham: Springer (ISBN 978-3-319-51950-0/pbk; 978-3-319-51951-7/ebook). Lecture Notes in Mathematics 2177, 423-434 (2017). MSC: 60D05 60G55 60G51 PDFBibTeX XMLCite \textit{A. Kousholt} et al., Lect. Notes Math. 2177, 423--434 (2017; Zbl 1373.60024) Full Text: DOI
Kabluchko, Zakhar; Lifshits, Mikhail Least energy approximation for processes with stationary increments. (English) Zbl 1419.60030 J. Theor. Probab. 30, No. 1, 268-296 (2017). Reviewer: Ilie Valuşescu (Bucureşti) MSC: 60G10 60G15 60G51 60G22 60F15 60F25 49J55 PDFBibTeX XMLCite \textit{Z. Kabluchko} and \textit{M. Lifshits}, J. Theor. Probab. 30, No. 1, 268--296 (2017; Zbl 1419.60030) Full Text: DOI arXiv
Mereu, Carla; Stelzer, Robert A BSDE arising in an exponential utility maximization problem in a pure jump market model. (English) Zbl 1411.91575 Stochastics 89, No. 1, 240-258 (2017). MSC: 91G20 60G51 60H10 60J75 60G44 91B16 PDFBibTeX XMLCite \textit{C. Mereu} and \textit{R. Stelzer}, Stochastics 89, No. 1, 240--258 (2017; Zbl 1411.91575) Full Text: DOI arXiv
Brandes, Dirk-Philip Continuous time autoregressive moving average processes with random Lévy coefficients. (English) Zbl 1361.60066 ALEA, Lat. Am. J. Probab. Math. Stat. 14, No. 1, 219-244 (2017). MSC: 60J60 60H10 60G51 60G10 60H05 62M10 PDFBibTeX XMLCite \textit{D.-P. Brandes}, ALEA, Lat. Am. J. Probab. Math. Stat. 14, No. 1, 219--244 (2017; Zbl 1361.60066) Full Text: Link
Kawai, Reiichiro Sample path generation of Lévy-driven continuous-time autoregressive moving average processes. (English) Zbl 1375.65009 Methodol. Comput. Appl. Probab. 19, No. 1, 175-211 (2017). Reviewer: Cyril Fischer (Praha) MSC: 65C50 65C30 62M10 60G10 60G51 PDFBibTeX XMLCite \textit{R. Kawai}, Methodol. Comput. Appl. Probab. 19, No. 1, 175--211 (2017; Zbl 1375.65009) Full Text: DOI
Pakkanen, Mikko S.; Sottinen, Tommi; Yazigi, Adil On the conditional small ball property of multivariate Lévy-driven moving average processes. (English) Zbl 1355.60045 Stochastic Processes Appl. 127, No. 3, 749-782 (2017). MSC: 60G10 60G17 60G22 60G51 PDFBibTeX XMLCite \textit{M. S. Pakkanen} et al., Stochastic Processes Appl. 127, No. 3, 749--782 (2017; Zbl 1355.60045) Full Text: DOI arXiv
Szczotka, W. \(\mathrm{GI}/\mathrm{GI}/1\) queues with infinite means of service time and interarrival time. (English) Zbl 1357.60103 Probab. Math. Stat. 36, No. 2, 279-293 (2016). MSC: 60K25 60F17 60G51 90B22 PDFBibTeX XMLCite \textit{W. Szczotka}, Probab. Math. Stat. 36, No. 2, 279--293 (2016; Zbl 1357.60103) Full Text: Link
Watanabe, Toshiro Escape rates for multidimensional shift self-similar additive sequences. (English) Zbl 1354.60040 J. Theor. Probab. 29, No. 3, 896-921 (2016). Reviewer: B. L. S. Prakasa Rao (Hyderabad) MSC: 60G18 60G10 60G51 60F15 60J65 60G52 PDFBibTeX XMLCite \textit{T. Watanabe}, J. Theor. Probab. 29, No. 3, 896--921 (2016; Zbl 1354.60040) Full Text: DOI arXiv
Engelke, Sebastian; Ivanovs, Jevgenijs A Lévy-derived process seen from its supremum and max-stable processes. (English) Zbl 1336.60093 Electron. J. Probab. 21, Paper No. 14, 19 p. (2016). MSC: 60G51 60G70 PDFBibTeX XMLCite \textit{S. Engelke} and \textit{J. Ivanovs}, Electron. J. Probab. 21, Paper No. 14, 19 p. (2016; Zbl 1336.60093) Full Text: DOI arXiv Euclid
Aurzada, Frank; Simon, Thomas Persistence probabilities and exponents. (English) Zbl 1338.60077 Andersen, Lars Nørvang et al., Lévy matters V. Functionals of Lévy processes. Cham: Springer (ISBN 978-3-319-23137-2/pbk; 978-3-319-23138-9/ebook). Lecture Notes in Mathematics 2149. Lévy Matters, 183-224 (2015). MSC: 60F10 60F99 60G15 60G50 60G51 60G52 60G10 60G18 60K35 60K40 60-02 PDFBibTeX XMLCite \textit{F. Aurzada} and \textit{T. Simon}, Lect. Notes Math. 2149, 183--224 (2015; Zbl 1338.60077) Full Text: DOI arXiv
De, Shyamal K.; Zacks, Shelemyahu Exact calculation of the distributions of the stopping times of two types of truncated SPRT for the mean of the exponential distribution. (English) Zbl 1337.60071 Methodol. Comput. Appl. Probab. 17, No. 4, 915-927 (2015). MSC: 60G40 60G55 62L10 62M02 60G10 60G51 PDFBibTeX XMLCite \textit{S. K. De} and \textit{S. Zacks}, Methodol. Comput. Appl. Probab. 17, No. 4, 915--927 (2015; Zbl 1337.60071) Full Text: DOI
Brockwell, Peter J.; Lindner, Alexander Prediction of Lévy-driven CARMA processes. (English) Zbl 1337.62244 J. Econom. 189, No. 2, 263-271 (2015). MSC: 62M10 60G51 62M15 60G10 60G25 PDFBibTeX XMLCite \textit{P. J. Brockwell} and \textit{A. Lindner}, J. Econom. 189, No. 2, 263--271 (2015; Zbl 1337.62244) Full Text: DOI
Behme, Anita; Lindner, Alexander On exponential functionals of Lévy processes. (English) Zbl 1323.60063 J. Theor. Probab. 28, No. 2, 681-720 (2015). MSC: 60G51 60G10 60J60 60J35 PDFBibTeX XMLCite \textit{A. Behme} and \textit{A. Lindner}, J. Theor. Probab. 28, No. 2, 681--720 (2015; Zbl 1323.60063) Full Text: DOI arXiv
Behme, Anita Exponential functionals of Lévy processes with jumps. (English) Zbl 1321.60092 ALEA, Lat. Am. J. Probab. Math. Stat. 12, No. 1, 375-397 (2015). MSC: 60G51 60G10 60E07 PDFBibTeX XMLCite \textit{A. Behme}, ALEA, Lat. Am. J. Probab. Math. Stat. 12, No. 1, 375--397 (2015; Zbl 1321.60092) Full Text: arXiv Link
Fang, Lulu; Wu, Min; Shieh, Narn-Rueih; Li, Bing Random continued fractions: Lévy constant and Chernoff-type estimate. (English) Zbl 1322.11011 J. Math. Anal. Appl. 429, No. 1, 513-531 (2015). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 11A55 11J70 11K50 40A15 60G51 60F15 60G10 PDFBibTeX XMLCite \textit{L. Fang} et al., J. Math. Anal. Appl. 429, No. 1, 513--531 (2015; Zbl 1322.11011) Full Text: DOI arXiv
Loperfido, Nicola Singular value decomposition of the third multivariate moment. (English) Zbl 1312.15011 Linear Algebra Appl. 473, 202-216 (2015). MSC: 15A18 60G09 60G10 60G51 PDFBibTeX XMLCite \textit{N. Loperfido}, Linear Algebra Appl. 473, 202--216 (2015; Zbl 1312.15011) Full Text: DOI
Behme, Anita; Chong, Carsten; Klüppelberg, Claudia Superposition of COGARCH processes. (English) Zbl 1339.60035 Stochastic Processes Appl. 125, No. 4, 1426-1469 (2015). MSC: 60G10 60G51 60G57 60H10 60H05 91G80 PDFBibTeX XMLCite \textit{A. Behme} et al., Stochastic Processes Appl. 125, No. 4, 1426--1469 (2015; Zbl 1339.60035) Full Text: DOI arXiv
Lü, Xuebin; Li, Jinfeng; Ma, Shujian Tempered fractional Lévy processes. (English) Zbl 1313.60074 Math. Appl. 27, No. 3, 564-569 (2014). MSC: 60G22 60G51 PDFBibTeX XMLCite \textit{X. Lü} et al., Math. Appl. 27, No. 3, 564--569 (2014; Zbl 1313.60074)
Lindgren, Georg; Rootzén, Holger; Sandsten, Maria Stationary stochastic processes for scientists and engineers. (English) Zbl 1312.60001 Boca Raton, FL: CRC Press (ISBN 978-1-4665-8618-5/hbk). xvi, 314 p. (2014). Reviewer: Miroslav M. Ristić (Niš) MSC: 60-01 60G10 62M10 60G15 60G55 60G51 62M15 62M20 60G35 PDFBibTeX XMLCite \textit{G. Lindgren} et al., Stationary stochastic processes for scientists and engineers. Boca Raton, FL: CRC Press (2014; Zbl 1312.60001)
Brockwell, P. J. Recent results in the theory and applications of CARMA processes. (English) Zbl 1334.60003 Ann. Inst. Stat. Math. 66, No. 4, 647-685 (2014). MSC: 60-02 60G10 60G12 60G51 62M10 62M20 PDFBibTeX XMLCite \textit{P. J. Brockwell}, Ann. Inst. Stat. Math. 66, No. 4, 647--685 (2014; Zbl 1334.60003) Full Text: DOI
Benth, Fred Espen; Krühner, Paul Representation of infinite-dimensional forward price models in commodity markets. (English) Zbl 1322.60100 Commun. Math. Stat. 2, No. 1, 47-106 (2014). MSC: 60H15 60G51 60G10 91G80 47B10 47G10 46E35 PDFBibTeX XMLCite \textit{F. E. Benth} and \textit{P. Krühner}, Commun. Math. Stat. 2, No. 1, 47--106 (2014; Zbl 1322.60100) Full Text: DOI arXiv
Kustosz, Christoph P.; Müller, Christine H. Analysis of crack growth with robust, distribution-free estimators and tests for non-stationary autoregressive processes. (English) Zbl 1298.62202 Stat. Pap. 55, No. 1, 125-140 (2014). Reviewer: Salah Hamza Abid (Baghdad) MSC: 62P30 62G10 62G35 62G05 62M10 60K35 60G51 PDFBibTeX XMLCite \textit{C. P. Kustosz} and \textit{C. H. Müller}, Stat. Pap. 55, No. 1, 125--140 (2014; Zbl 1298.62202) Full Text: DOI
Maejima, Makoto; Ueda, Yohei Quasi-selfsimilar additive processes. (English) Zbl 1294.60025 Chaumont, Loïc (ed.) et al., Self-similar processes and their applications. Selected papers related to the conference, Angers, France, July 20–24, 2009. Paris: Société Mathématique de France (ISBN 978-2-85629-365-2). Séminaires et Congrès 28, 43-61 (2013). MSC: 60E07 60G51 60G18 PDFBibTeX XMLCite \textit{M. Maejima} and \textit{Y. Ueda}, Sémin. Congr. 28, 43--61 (2013; Zbl 1294.60025)
Fink, Holger Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk. (English) Zbl 1294.60070 J. Appl. Probab. 50, No. 4, 983-1005 (2013). MSC: 60G51 60G10 60G22 60H10 34F05 60H20 91G40 60G15 91G30 91G60 PDFBibTeX XMLCite \textit{H. Fink}, J. Appl. Probab. 50, No. 4, 983--1005 (2013; Zbl 1294.60070) Full Text: DOI Euclid
Chukova, Stefanka; Minkova, Leda D. Characterization of the Pólya-Aeppli process. (English) Zbl 1285.60043 Stochastic Anal. Appl. 31, No. 4, 590-599 (2013). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60G51 60G55 60G10 PDFBibTeX XMLCite \textit{S. Chukova} and \textit{L. D. Minkova}, Stochastic Anal. Appl. 31, No. 4, 590--599 (2013; Zbl 1285.60043) Full Text: DOI
Fuchs, Florian; Stelzer, Robert Spectral representation of multivariate regularly varying Lévy and CARMA processes. (English) Zbl 1277.60082 J. Theor. Probab. 26, No. 2, 410-436 (2013). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60G51 60G10 60G57 62M15 PDFBibTeX XMLCite \textit{F. Fuchs} and \textit{R. Stelzer}, J. Theor. Probab. 26, No. 2, 410--436 (2013; Zbl 1277.60082) Full Text: DOI arXiv
Ferrazzano, Vincenzo; Fuchs, Florian Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums. (English) Zbl 1337.62260 Electron. J. Stat. 7, 533-561 (2013). MSC: 62M10 60G51 60G10 PDFBibTeX XMLCite \textit{V. Ferrazzano} and \textit{F. Fuchs}, Electron. J. Stat. 7, 533--561 (2013; Zbl 1337.62260) Full Text: DOI arXiv Euclid
Herbin, Erick; Merzbach, Ely The set-indexed Lévy process: stationarity, Markov and sample paths properties. (English) Zbl 1295.60043 Stochastic Processes Appl. 123, No. 5, 1638-1670 (2013). Reviewer: Nikolai N. Leonenko (Cardiff) MSC: 60G10 60G15 60G17 60G51 60G57 60G60 60E07 60J65 PDFBibTeX XMLCite \textit{E. Herbin} and \textit{E. Merzbach}, Stochastic Processes Appl. 123, No. 5, 1638--1670 (2013; Zbl 1295.60043) Full Text: DOI arXiv
Biagini, Francesca; Fink, Holger; Klüppelberg, Claudia A fractional credit model with long range dependent default rate. (English) Zbl 1268.91166 Stochastic Processes Appl. 123, No. 4, 1319-1347 (2013). MSC: 91G20 60G12 60G51 60H10 60H20 91B70 60G10 PDFBibTeX XMLCite \textit{F. Biagini} et al., Stochastic Processes Appl. 123, No. 4, 1319--1347 (2013; Zbl 1268.91166) Full Text: DOI
Schlemm, Eckhard; Stelzer, Robert Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes. (English) Zbl 1295.62020 Electron. J. Stat. 6, 2185-2234 (2012). MSC: 62F10 62F12 62M09 60G51 60G10 PDFBibTeX XMLCite \textit{E. Schlemm} and \textit{R. Stelzer}, Electron. J. Stat. 6, 2185--2234 (2012; Zbl 1295.62020) Full Text: DOI arXiv Euclid
Chen, Xiaowei Variation analysis of uncertain stationary independent increment processes. (English) Zbl 1253.60062 Eur. J. Oper. Res. 222, No. 2, 312-316 (2012). MSC: 60G51 PDFBibTeX XMLCite \textit{X. Chen}, Eur. J. Oper. Res. 222, No. 2, 312--316 (2012; Zbl 1253.60062) Full Text: DOI
Pardo, J. C.; Patie, P.; Savov, M. A Wiener-Hopf type factorization for the exponential functional of Lévy processes. (English) Zbl 1272.60027 J. Lond. Math. Soc., II. Ser. 86, No. 3, 930-956 (2012). Reviewer: Alexander Schnurr (Dortmund) MSC: 60G51 47A68 60J25 60E07 PDFBibTeX XMLCite \textit{J. C. Pardo} et al., J. Lond. Math. Soc., II. Ser. 86, No. 3, 930--956 (2012; Zbl 1272.60027) Full Text: DOI arXiv Link
Basse-O’Connor, Andreas; Graversen, Svend-Erik; Pedersen, Jan Some classes of proper integrals and generalized Ornstein-Uhlenbeck processes. (English) Zbl 1255.60083 Donati-Martin, Catherine (ed.) et al., Séminaire de Probabilités XLIV. Papers based on the presentations at the 44th séminaire de probabilités, Dijon, France, June 2010. Berlin: Springer (ISBN 978-3-642-27460-2/pbk; 978-3-642-27461-9/ebook). Lecture Notes in Mathematics 2046, 61-74 (2012). Reviewer: Vivek S. Borkar (Mumbai) MSC: 60H05 60G51 60G10 60G48 60H20 PDFBibTeX XMLCite \textit{A. Basse-O'Connor} et al., Lect. Notes Math. 2046, 61--74 (2012; Zbl 1255.60083) Full Text: DOI
Burdzy, K.; Kulczycki, T.; Schilling, R. L. Stationary distributions for jump processes with memory. (English. French summary) Zbl 1263.60072 Ann. Inst. Henri Poincaré, Probab. Stat. 48, No. 3, 609-630 (2012). Reviewer: Thomas Simon (Lille) MSC: 60J35 60H10 60G51 60J75 60J55 PDFBibTeX XMLCite \textit{K. Burdzy} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 48, No. 3, 609--630 (2012; Zbl 1263.60072) Full Text: DOI arXiv Euclid
Keller-Ressel, Martin; Mijatović, Aleksandar On the limit distributions of continuous-state branching processes with immigration. (English) Zbl 1242.60088 Stochastic Processes Appl. 122, No. 6, 2329-2345 (2012). MSC: 60J80 60G10 60G51 PDFBibTeX XMLCite \textit{M. Keller-Ressel} and \textit{A. Mijatović}, Stochastic Processes Appl. 122, No. 6, 2329--2345 (2012; Zbl 1242.60088) Full Text: DOI arXiv
Behme, Anita; Lindner, Alexander Multivariate generalized Ornstein-Uhlenbeck processes. (English) Zbl 1244.60050 Stochastic Processes Appl. 122, No. 4, 1487-1518 (2012). MSC: 60G51 60G10 PDFBibTeX XMLCite \textit{A. Behme} and \textit{A. Lindner}, Stochastic Processes Appl. 122, No. 4, 1487--1518 (2012; Zbl 1244.60050) Full Text: DOI
Albrecher, Hansjörg; Gerber, Hans U. A note on moments of dividends. (English) Zbl 1299.91052 Acta Math. Appl. Sin., Engl. Ser. 27, No. 3, 353-354 (2011). MSC: 91B30 60G51 60J25 62P05 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{H. U. Gerber}, Acta Math. Appl. Sin., Engl. Ser. 27, No. 3, 353--354 (2011; Zbl 1299.91052) Full Text: DOI Link
Moser, Martin; Stelzer, Robert Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models. (English) Zbl 1234.60055 Adv. Appl. Probab. 43, No. 4, 1109-1135 (2011). Reviewer: Zakhar Kabluchko (Ulm) MSC: 60G51 60G70 60H05 60G10 PDFBibTeX XMLCite \textit{M. Moser} and \textit{R. Stelzer}, Adv. Appl. Probab. 43, No. 4, 1109--1135 (2011; Zbl 1234.60055) Full Text: DOI
Lindner, Alexander; Sato, Ken-Iti Properties of stationary distributions of a sequence of generalized Ornstein – Uhlenbeck processes. (English) Zbl 1239.60010 Math. Nachr. 284, No. 17-18, 2225-2248 (2011). Reviewer: Almut Veraart (London) MSC: 60E07 60G30 60G10 60G51 PDFBibTeX XMLCite \textit{A. Lindner} and \textit{K.-I. Sato}, Math. Nachr. 284, No. 17--18, 2225--2248 (2011; Zbl 1239.60010) Full Text: DOI arXiv
Konstantopoulos, Takis; Kyprianou, Andreas E.; Salminen, Paavo On the excursions of reflected local-time processes and stochastic fluid queues. (English) Zbl 1259.60053 J. Appl. Probab. 48A, Spec. Vol., 79-98 (2011). Reviewer: Antonis Papapantoleon (Berlin) MSC: 60G51 60G10 60J55 PDFBibTeX XMLCite \textit{T. Konstantopoulos} et al., J. Appl. Probab. 48A, 79--98 (2011; Zbl 1259.60053) Full Text: DOI arXiv
Fink, Holger; Klüppelberg, Claudia Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations. (English) Zbl 1284.60080 Bernoulli 17, No. 1, 484-506 (2011). MSC: 60G22 60G51 60H10 PDFBibTeX XMLCite \textit{H. Fink} and \textit{C. Klüppelberg}, Bernoulli 17, No. 1, 484--506 (2011; Zbl 1284.60080) Full Text: DOI arXiv
Adell, José A. Asymptotic estimates for Stieltjes constants: a probabilistic approach. (English) Zbl 1219.11185 Proc. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 467, No. 2128, 954-963 (2011). MSC: 11Y60 11M06 60G10 60G51 PDFBibTeX XMLCite \textit{J. A. Adell}, Proc. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 467, No. 2128, 954--963 (2011; Zbl 1219.11185) Full Text: DOI
Andersen, Lars Nørvang; Asmussen, Søren Local time asymptotics for centered Lévy processes with two-sided reflection. (English) Zbl 1229.60061 Stoch. Models 27, No. 2, 202-219 (2011). Reviewer: Wilfried Hazod (Dortmund) MSC: 60G51 60G52 60K25 60J55 PDFBibTeX XMLCite \textit{L. N. Andersen} and \textit{S. Asmussen}, Stoch. Models 27, No. 2, 202--219 (2011; Zbl 1229.60061) Full Text: DOI Link
Barndorff-Nielsen, Ole; Shiryaev, Albert Change of time and change of measure. (English) Zbl 1234.60003 Advanced Series on Statistical Science & Applied Probability 13. Hackensack, NJ: World Scientific (ISBN 978-981-4324-47-2/hbk; 978-981-4343-54-1/ebook). xvi, 305 p. (2010). Reviewer: Pavel Gapeev (London) MSC: 60-02 60H05 60G10 60G18 60G44 60G48 60G52 60G55 60J65 62M10 91B70 PDFBibTeX XMLCite \textit{O. Barndorff-Nielsen} and \textit{A. Shiryaev}, Change of time and change of measure. Hackensack, NJ: World Scientific (2010; Zbl 1234.60003) Full Text: DOI Link
Sahu, Lingaraj; Sinha, Kalyan B. Characterization of unitary processes with independent and stationary increments. (English) Zbl 1203.81094 Ann. Inst. Henri Poincaré, Probab. Stat. 46, No. 2, 575-593 (2010). Reviewer: Adam Skalski (Warszawa) MSC: 81S25 46L53 47D03 60G51 PDFBibTeX XMLCite \textit{L. Sahu} and \textit{K. B. Sinha}, Ann. Inst. Henri Poincaré, Probab. Stat. 46, No. 2, 575--593 (2010; Zbl 1203.81094) Full Text: DOI arXiv EuDML
Pagès, Gilles; Panloup, Fabien Approximation of the distribution of a stationary Markov process with application to option pricing. (English) Zbl 1214.60036 Bernoulli 15, No. 1, 146-177 (2009). Reviewer: Pavel Stoynov (Sofia) MSC: 60J25 60G51 60J60 60J65 91G80 PDFBibTeX XMLCite \textit{G. Pagès} and \textit{F. Panloup}, Bernoulli 15, No. 1, 146--177 (2009; Zbl 1214.60036) Full Text: DOI arXiv
Brockwell, Peter J.; Lindner, Alexander Existence and uniqueness of stationary Lévy-driven CARMA processes. (English) Zbl 1182.62172 Stochastic Processes Appl. 119, No. 8, 2660-2681 (2009). MSC: 62M10 60G51 60G10 PDFBibTeX XMLCite \textit{P. J. Brockwell} and \textit{A. Lindner}, Stochastic Processes Appl. 119, No. 8, 2660--2681 (2009; Zbl 1182.62172) Full Text: DOI
Anh, V. V.; Leonenko, Nikolai N.; Shieh, Narn-Rueih Multifractality of products of geometric Ornstein-Uhlenbeck-type processes. (English) Zbl 1181.60061 Adv. Appl. Probab. 40, No. 4, 1129-1156 (2008). Reviewer: Peter Mörters (Bath) MSC: 60G18 60G10 60G17 60G51 PDFBibTeX XMLCite \textit{V. V. Anh} et al., Adv. Appl. Probab. 40, No. 4, 1129--1156 (2008; Zbl 1181.60061) Full Text: DOI
Konstantopoulos, Takis; Kyprianou, Andreas E.; Salminen, Paavo; Sirviö, Marina Analysis of stochastic fluid queues driven by local-time processes. (English) Zbl 1164.60070 Adv. Appl. Probab. 40, No. 4, 1072-1103 (2008). Reviewer: Oleg K. Zakusilo (Kyïv) MSC: 60K25 60G10 60G55 60G51 90B15 PDFBibTeX XMLCite \textit{T. Konstantopoulos} et al., Adv. Appl. Probab. 40, No. 4, 1072--1103 (2008; Zbl 1164.60070) Full Text: DOI arXiv
Lambert, Amaury Population dynamics and random genealogies. (English) Zbl 1390.92113 Stoch. Models 24, Suppl. 1, 45-163 (2008). MSC: 92D25 60G51 60J80 60J85 92D10 PDFBibTeX XMLCite \textit{A. Lambert}, Stoch. Models 24, 45--163 (2008; Zbl 1390.92113) Full Text: DOI
Es-Sebaiy, Khalifa; Ouknine, Youssef How rich is the class of processes which are infinitely divisible with respect to time? (English) Zbl 1216.60042 Stat. Probab. Lett. 78, No. 5, 537-547 (2008). MSC: 60G48 60G51 60G44 60G10 PDFBibTeX XMLCite \textit{K. Es-Sebaiy} and \textit{Y. Ouknine}, Stat. Probab. Lett. 78, No. 5, 537--547 (2008; Zbl 1216.60042) Full Text: DOI
Seneta, Eugene The early years of the variance-gamma process. (English) Zbl 1161.60300 Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 3-19 (2007). Reviewer: Antonis Papapantoleon (Wien) MSC: 60-03 01A60 62F10 60G51 91B28 PDFBibTeX XMLCite \textit{E. Seneta}, in: Advances in mathematical finance. Papers presented at the `Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan', College Park, MD, USA, September 29 -- October 1, 2006. Boston, MA: Birkhäuser. 3--19 (2007; Zbl 1161.60300)
Permiakova, Elena A continuous analouge of the invariance principle and its almost sure version. (English) Zbl 1121.60021 Publ. Math. Debr. 70, No. 1-2, 203-210 (2007). MSC: 60F05 60F15 PDFBibTeX XMLCite \textit{E. Permiakova}, Publ. Math. Debr. 70, No. 1--2, 203--210 (2007; Zbl 1121.60021) Full Text: arXiv
Túri, József On the moments of sums of independent identically distributed random variables. (English) Zbl 1121.60022 Math. Pannonica 17, No. 2, 267-278 (2006). MSC: 60F05 60F15 60B12 PDFBibTeX XMLCite \textit{J. Túri}, Math. Pannonica 17, No. 2, 267--278 (2006; Zbl 1121.60022) Full Text: EuDML
Elliott, Robert J.; Osakwe, Carlton-James U. Option pricing for pure jump processes with Markov switching compensators. (English) Zbl 1101.91034 Finance Stoch. 10, No. 2, 250-275 (2006). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 60G44 60G51 60G10 60J75 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{C.-J. U. Osakwe}, Finance Stoch. 10, No. 2, 250--275 (2006; Zbl 1101.91034) Full Text: DOI
Kyprianou, A. E.; Palmowski, Z. Quasi-stationary distributions for Lévy processes. (English) Zbl 1130.60054 Bernoulli 12, No. 4, 571-581 (2006). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60G51 60F05 PDFBibTeX XMLCite \textit{A. E. Kyprianou} and \textit{Z. Palmowski}, Bernoulli 12, No. 4, 571--581 (2006; Zbl 1130.60054) Full Text: DOI
Jongbloed, G.; van der Meulen, F. H.; van der Vaart, A. W. Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes. (English) Zbl 1084.62080 Bernoulli 11, No. 5, 759-791 (2005). MSC: 62M05 60G51 62G05 62M09 60G10 PDFBibTeX XMLCite \textit{G. Jongbloed} et al., Bernoulli 11, No. 5, 759--791 (2005; Zbl 1084.62080) Full Text: DOI
Chuprunov, Alexey; Fazekas, István Integral analogues of almost sure limit theorems. (English) Zbl 1104.60013 Period. Math. Hung. 50, No. 1-2, 61-78 (2005). MSC: 60F15 60F05 26A12 PDFBibTeX XMLCite \textit{A. Chuprunov} and \textit{I. Fazekas}, Period. Math. Hung. 50, No. 1--2, 61--78 (2005; Zbl 1104.60013) Full Text: DOI
Amosov, G. G. On Markovian perturbations of the group of unitary operators associated with a stochastic process with stationary increments. (English. Russian original) Zbl 1096.47065 Theory Probab. Appl. 49, No. 1, 123-132 (2005); translation from Teor. Veroyatn. Primen. 49, No. 1, 145-155 (2004). MSC: 47N30 47D07 60G51 PDFBibTeX XMLCite \textit{G. G. Amosov}, Theory Probab. Appl. 49, No. 1, 123--132 (2004; Zbl 1096.47065); translation from Teor. Veroyatn. Primen. 49, No. 1, 145--155 (2004) Full Text: DOI
Samorodnitsky, G.; Grigoriu, M. Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions. (English) Zbl 1075.60540 Stochastic Processes Appl. 105, No. 1, 69-97 (2003). MSC: 60H10 60G51 60E07 PDFBibTeX XMLCite \textit{G. Samorodnitsky} and \textit{M. Grigoriu}, Stochastic Processes Appl. 105, No. 1, 69--97 (2003; Zbl 1075.60540) Full Text: DOI
Maejima, Makoto; Yamamoto, Kenji Long-memory stable {O}rnstein-{U}hlenbeck processes. (English) Zbl 1087.60034 Electron. J. Probab. 8, Paper No. 19, 18 p. (2003). Reviewer: Volker Wihstutz (Charlotte) MSC: 60G10 60H10 60G18 60G52 60G99 PDFBibTeX XMLCite \textit{M. Maejima} and \textit{K. Yamamoto}, Electron. J. Probab. 8, Paper No. 19, 18 p. (2003; Zbl 1087.60034) Full Text: DOI EuDML EMIS
Maejima, Makoto; Sato, Ken-iti Semi-Lévy processes, semi-selfsimilar additive processes, and semi-stationary Ornstein-Uhlenbeck type processes. (English) Zbl 1066.60050 J. Math. Kyoto Univ. 43, No. 3, 609-639 (2003). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60G51 60G18 60G10 PDFBibTeX XMLCite \textit{M. Maejima} and \textit{K.-i. Sato}, J. Math. Kyoto Univ. 43, No. 3, 609--639 (2003; Zbl 1066.60050) Full Text: DOI
Barndorff-Nielsen, Ole E.; Shephard, Neil Integrated OU processes and non-Gaussian OU-based stochastic volatility models. (English) Zbl 1051.60048 Scand. J. Stat. 30, No. 2, 277-296 (2003). Reviewer: N. M. Zinchenko (Kyïv) MSC: 60G51 60H10 60G10 62P20 91G20 91G70 PDFBibTeX XMLCite \textit{O. E. Barndorff-Nielsen} and \textit{N. Shephard}, Scand. J. Stat. 30, No. 2, 277--296 (2003; Zbl 1051.60048) Full Text: DOI
Szczotka, W.; Woyczyński, W. A. Distributions of suprema of Lévy processes via the heavy traffic invariance principle. (English) Zbl 1048.60038 Probab. Math. Stat. 23, No. 2, 251-272 (2003). MSC: 60G51 60G10 60E07 60G18 60K25 PDFBibTeX XMLCite \textit{W. Szczotka} and \textit{W. A. Woyczyński}, Probab. Math. Stat. 23, No. 2, 251--272 (2003; Zbl 1048.60038)