Zobrazeno 1 - 10
of 161
pro vyhledávání: '"Borovkov, K. A."'
Autor:
McKinlay, S., Borovkov, K.
Motivated by an approximation problem from mathematical finance, we analyse the stability of the boundary crossing probability for the multivariate Brownian motion process, with respect to small changes of the boundary. Under broad assumptions on the
Externí odkaz:
http://arxiv.org/abs/1503.02778
Autor:
Borovkov, K., Decrouez, G.
We consider a transformed Ornstein-Uhlenbeck process model that can be a good candidate for modelling real-life processes characterized by a combination of time-reverting behaviour with heavy distribution tails. We begin with presenting the results o
Externí odkaz:
http://arxiv.org/abs/1102.5606
Autor:
Borovkov, K. A., Last, G.
Let $X=\{X_t: t\ge 0\}$ be a stationary piecewise continuous $\R^d$-valued process that moves between jumps along the integral curves of a given continuous vector field, and let $S\subset\R^d$ be a smooth surface. The aim of this paper is to derive a
Externí odkaz:
http://arxiv.org/abs/1009.3885
Autor:
Borovkov, A. A., Borovkov, K. A.
Karamata's integral representation for slowly varying functions is extended to a broader class of the so-called $\psi$-locally constant functions, i.e. functions $f(x)>0$ having the property that, for a given non-decreasing function $\psi (x)$ and an
Externí odkaz:
http://arxiv.org/abs/1006.3164
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate the fair pri
Externí odkaz:
http://arxiv.org/abs/1001.3728
Autor:
Tokarev, D. V., Borovkov, K. A.
Let $X^1, ..., X^k$ and $Y^1, ..., Y^m$ be jointly independent copies of random variables $X$ and $Y$, respectively. For a fixed total number $n$ of random variables, we aim at maximising $M(k,m):= E \max \{X^1, ..., X^k, Y^1, >..., Y^{m} \}$ in $k =
Externí odkaz:
http://arxiv.org/abs/0906.2270
Autor:
Borovkov, K., Novikov, A.
We prove two martingale identities which involve exit times of Levy-driven Ornstein--Uhlenbeck processes. Using these identities we find an explicit formula for the Laplace transform of the exit time under the assumption that positive jumps of the Le
Externí odkaz:
http://arxiv.org/abs/0709.1746
Autor:
Borovkov, K. A., Dickson, D. C. M.
We derive a closed-form (infinite series) representation for the distribution of the ruin time for the Sparre Andersen model with exponentially distributed claims. This extends a recent result of Dickson et al. (2005) for such processes with Erlang i
Externí odkaz:
http://arxiv.org/abs/0709.0764
Autor:
Downes, A. N., Borovkov, K.
We consider the boundary crossing problem for time-homogeneous diffusions and general curvilinear boundaries. Bounds are derived for the approximation error of the one-sided (upper) boundary crossing probability when replacing the original boundary b
Externí odkaz:
http://arxiv.org/abs/0708.3562
Autor:
Borovkov, K. A., Last, G.
Publikováno v:
J.Appl.Probab. 40 (2008) 815-834
We consider a piecewise-deterministic Markov process governed by a jump intensity function, a rate function that determines the behaviour between jumps, and a stochastic kernel describing the conditional distribution of jump sizes. We study the point
Externí odkaz:
http://arxiv.org/abs/0705.1863