Zobrazeno 1 - 10
of 33
pro vyhledávání: '"Pistorius, M. R."'
Autor:
Pistorius, M. R.
In this paper we provide a proof of the Riemann Hypothesis by relating the non-trivial zeros of the zeta function to a certain Sturm-Liouville eigenvalue problem on a finite interval.
Comment: This paper has been withdrawn by the author due to a
Comment: This paper has been withdrawn by the author due to a
Externí odkaz:
http://arxiv.org/abs/1608.01555
For a given L\'{e}vy process $X=(X_t)_{t\in\mathbb{R}_+}$ and for fixed $s\in \mathbb{R}_{+}\cup\{\infty\}$ and $t\in\mathbb{R}_+$ we analyse the {\it future drawdown extremes} that are defined as follows: \begin{eqnarray*} \overline D^*_{t,s} = \sup
Externí odkaz:
http://arxiv.org/abs/1409.3780
Autor:
Davis, M. H. A., Pistorius, M. R.
Publikováno v:
Annals of Applied Probability 2015, Vol. 25, No. 5, 2383-2415
For a given Markov process $X$ and survival function $\overline{H}$ on $\mathbb{R}^+$, the inverse first-passage time problem (IFPT) is to find a barrier function $b:\mathbb{R}^+\to[-\infty,+\infty]$ such that the survival function of the first-passa
Externí odkaz:
http://arxiv.org/abs/1306.2719
We recall four open problems concerning constructing high-order matrix-exponential approximations for the infimum of a spectrally negative Levy process (with applications to first-passage/ruin probabilities, the waiting time distribution in the M/G/1
Externí odkaz:
http://arxiv.org/abs/1210.2611
Publikováno v:
Annals of Applied Probability 2015, Vol. 25, No. 4, 1868-1935
This paper concerns an optimal dividend distribution problem for an insurance company whose risk process evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments). The management of the company is assumed to control timi
Externí odkaz:
http://arxiv.org/abs/1110.4965
Autor:
Jiang, Z., Pistorius, M. R.
In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching L\'{e}vy model. For the case of the (dense) class of phase-type jumps and finitely many regimes we derive an explicit expression for t
Externí odkaz:
http://arxiv.org/abs/0803.2302
Autor:
Pistorius, M. R.
Consider the problem to explicitly calculate the law of the first passage time T(a) of a general Levy process Z above a positive level a. In this paper it is shown that the law of T(a) can be approximated arbitrarily closely by the laws of T^n(a), th
Externí odkaz:
http://arxiv.org/abs/math/0502192
Exit Problems for Spectrally Negative Lévy Processes and Applications to (Canadized) Russian Options
Autor:
Kyprianou, A. E., Pistorius, M. R.
Publikováno v:
The Annals of Applied Probability, 2004 Feb 01. 14(1), 215-238.
Externí odkaz:
https://www.jstor.org/stable/4140495
Autor:
Kyprianou, A. E., Pistorius, M. R.
Publikováno v:
The Annals of Applied Probability, 2003 Aug 01. 13(3), 1077-1098.
Externí odkaz:
https://www.jstor.org/stable/1193235
Autor:
Davis, M. H. A., Pistorius, M. R.
Publikováno v:
The Annals of Applied Probability, 2015 Oct 01. 25(5), 2383-2415.
Externí odkaz:
http://www.jstor.org/stable/24521606