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A Multi-Dimensional Martingale for Markov Additive Processes and Its Applications

Autor: Asmussen, Søren, Kella, Offer

Publikováno v: Advances in Applied Probability, 2000 Jun 01. 32(2), 376-393.

Externí odkaz: https://www.jstor.org/stable/1428194

Optimal Stopping of a Risk Reserve Process with Interest and Cost Rates

Autor: Schöttl, A.

Publikováno v: Journal of Applied Probability, 1998 Mar 01. 35(1), 115-123.

Externí odkaz: https://www.jstor.org/stable/3215551

Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models

Autor: Søren Asmussen, Mogens Bladt

Publikováno v: Asmussen, S & Bladt, M 2022, ' Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models ', Quantitative Finance, vol. 22, no. 4, pp. 675-689 . https://doi.org/10.1080/14697688.2021.1998585

The Gram–Charlier expansion of a target probability density, (Formula presented.), is an (Formula presented.) -convergent series (Formula presented.) in terms of a reference density (Formula presented.) and its orthonormal polynomials (Formula pres

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c4efd992477f04daec2e0b920a84db09
https://doi.org/10.1080/14697688.2021.1998585

Moments of a Markov-Modulated, Irreducible Network of Fluid Queues

Autor: Rabehasaina, Landy

Publikováno v: Journal of Applied Probability, 2006 Jun 01. 43(2), 510-522.

Externí odkaz: https://www.jstor.org/stable/27595747