Zobrazeno 1 - 10
of 152
pro vyhledávání: '"Zabczyk, J."'
Autor:
Peszat, S., Zabczyk, J.
We consider the Heath-Jarrow-Morton model of forward rates processes with linear volatility. The noise is either a Wiener or a pure jump Leevy process. We provide formulae for the forward rate processes, and discus the problem of their global in time
Externí odkaz:
http://arxiv.org/abs/2304.08075
We prove exponential convergence to the invariant measure, in the total variation norm, for solutions of SDEs driven by $\alpha$-stable noises in finite and in infinite dimensions. Two approaches are used. The first one is based on Harris theorem, an
Externí odkaz:
http://arxiv.org/abs/1102.5553
The paper is concerned with the properties of solutions to linear evolution equation perturbed by cylindrical L\'evy processes. It turns out that solutions, under rather weak requirements, do not have c\`adl\`ag modification. Some natural open questi
Externí odkaz:
http://arxiv.org/abs/0911.2418
Autor:
Peszat, S., Zabczyk, J.
Publikováno v:
In Journal of Mathematical Analysis and Applications 15 January 2014 409(2):676-683
Autor:
Peszat, S., Zabczyk, J.
Publikováno v:
In Stochastic Processes and their Applications March 2013 123(3):719-751
Autor:
Pritchard, A. J., Zabczyk, J.
Publikováno v:
SIAM Review, 1981 Jan 01. 23(1), 25-52.
Externí odkaz:
https://www.jstor.org/stable/2029837
Autor:
van Neerven, J.M.A.M., Zabczyk, J.
Publikováno v:
Semigroup Forum. 1999, Vol. 59 Issue 3, p389. 15p.
Autor:
Tessitore, G, Zabczyk, J
The paper derives explicit formulae for the superprices of options. These superprices are given as value functions of certain stochastic control problems. The results hold for both finite and infinite dimensional Markovian models. The classical marti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1299::dacbc3b76ee4c921b274a9342b64c770
http://hdl.handle.net/10281/21358
http://hdl.handle.net/10281/21358