Zobrazeno 1 - 10
of 103
pro vyhledávání: '"Borovkov, Konstantin"'
Autor:
Liang, Vincent, Borovkov, Konstantin
The paper analyses the sensitivity of the finite time horizon boundary non-crossing probability $F(g)$ of a general time-inhomogeneous diffusion process to perturbations of the boundary $g$. We prove that, for boundaries $g\in C^2,$ this probability
Externí odkaz:
http://arxiv.org/abs/2401.16787
Autor:
Liang, Vincent, Borovkov, Konstantin
An efficient discrete time and space Markov chain approximation employing a Brownian bridge correction for computing curvilinear boundary crossing probabilities for general diffusion processes was recently proposed in Liang and Borovkov (2021). One o
Externí odkaz:
http://arxiv.org/abs/2302.11698
Autor:
He, Ying, Borovkov, Konstantin
We study the asymptotic behavior of ruin probabilities, as the initial reserve goes to infinity, for a reserve process model where claims arrive according to a renewal process, while between the claim times the process has the dynamics of geometric B
Externí odkaz:
http://arxiv.org/abs/2302.11682
Autor:
Borovkov, Konstantin
Gonzalez Cazares and Ivanovs (2021) suggested a new method for "recovering" the Brownian motion component from the trajectory of a Levy process that required sampling from an independent Brownian motion process. We show that such a procedure works eq
Externí odkaz:
http://arxiv.org/abs/2203.02237
Autor:
Liang, Vincent, Borovkov, Konstantin
We propose a discrete time discrete space Markov chain approximation with a Brownian bridge correction for computing curvilinear boundary crossing probabilities of a general diffusion process on a finite time interval. For broad classes of curvilinea
Externí odkaz:
http://arxiv.org/abs/2112.05268
Autor:
Nguyen, Duy Phat, Borovkov, Konstantin
We consider an interesting natural extension to the Parisian ruin problem under the assumption that the risk reserve dynamics are given by a spectrally negative L\'evy process. The distinctive feature of this extension is that the distribution of the
Externí odkaz:
http://arxiv.org/abs/2111.02695
Autor:
Borovkov, Konstantin
Publikováno v:
J. Appl. Probab. 58 (2021) 274-286
Motivated by mathematical tissue growth modelling, we consider the problem of approximating the dynamics of multicolor P\'olya urn processes that start with large numbers of balls of different colors and run for a long time. Using strong approximatio
Externí odkaz:
http://arxiv.org/abs/1912.09665
Autor:
He, Patrick, Borovkov, Konstantin
In Nevzorov's $F^\alpha$-scheme, one deals with a sequence of independent random variables whose distribution functions are all powers of a common continuous distribution function. A key property of the $F^\alpha$-scheme is that the record indicators
Externí odkaz:
http://arxiv.org/abs/1903.03753
Autor:
Nguyen, Duy Phat, Borovkov, Konstantin
Publikováno v:
In Insurance Mathematics and Economics May 2023 110:72-81
For a multivariate L\'evy process satisfying the Cram\'er moment condition and having a drift vector with at least one negative component, we derive the exact asymptotics of the probability of ever hitting the positive orthant that is being translate
Externí odkaz:
http://arxiv.org/abs/1802.06577