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pro vyhledávání: '"Aksamit, Anna"'
We perform the sensitivity analysis of a level-dependent QBD with a particular focus on applications in modelling healthcare systems.
Externí odkaz:
http://arxiv.org/abs/2302.02227
We consider a neighbourhood random walk on a quadrant, $\{(X_1(t),X_2(t),\varphi(t)):t\geq 0\}$, with state space \begin{eqnarray*} \mathcal{S}&=&\{(n,m,i):n,m=0,1,2,\ldots;i=1,2,\ldots,k(n,m)\}. \end{eqnarray*} Assuming start in state $(n,m,i)$, the
Externí odkaz:
http://arxiv.org/abs/2302.02225
We consider the superhedging price of an exotic option under nondominated model uncertainty in discrete time in which the option buyer chooses some action from an (uncountable) action space at each time step. By introducing an enlarged space we refor
Externí odkaz:
http://arxiv.org/abs/2111.14502
We study generalized backward stochastic differential equations (BSDEs) up to a random time horizon $\vartheta$, which is not a stopping time, under minimal assumptions regarding the properties of $\vartheta$. In contrast to existing works in this ar
Externí odkaz:
http://arxiv.org/abs/2105.06654
Autor:
Aksamit, Anna, Fontana, Claudio
Publikováno v:
Electronic Communications in Probability, 2019, vol. 24, paper no. 62
In a fully general setting, we study the relation between martingale spaces under two locally absolutely continuous probabilities and prove that the martingale representation property (MRP) is always stable under locally absolutely continuous changes
Externí odkaz:
http://arxiv.org/abs/1810.12013
Autor:
Aksamit, Anna Natalia
Cette thèse traite des problèmes associés à la théorie de grossissement de filtration. Elle est divisée en deux parties.La première partie est consacrée aux temps aléatoires. On étudie les propriétés des différentes classes de temps alé
Externí odkaz:
http://www.theses.fr/2014EVRY0007/document
Autor:
Aksamit, Anna
Cette thèse traite des problèmes associes à la théorie de grossissement de filtration. Elle est divisée en deux parties. La première partie est consacrée aux temps aléatoires. On étudie les propriétés des différentes classes de temps alé
Externí odkaz:
http://tel.archives-ouvertes.fr/tel-01016672
http://tel.archives-ouvertes.fr/docs/01/01/66/72/PDF/thesis_0628.pdf
http://tel.archives-ouvertes.fr/docs/01/01/66/72/PDF/thesis_0628.pdf
Akademický článek
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The paper studies thin times which are random times whose graph is contained in a countable union of the graphs of stopping times with respect to a reference filtration $\mathbb F$. We show that a generic random time can be decomposed into thin and t
Externí odkaz:
http://arxiv.org/abs/1605.03905