Results 11 to 20 of about 59 (59)

Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model [PDF]

, 2021
Eisenberg J, Fabrykowski L, Schmeck MD. Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model. Center for Mathematical Economics Working Papers. Vol 648. Bielefeld: Center for Mathematical Economics; 2021.In this paper, we
Maren Diane Schmeck, Eisenberg, Julia, Schmeck, Maren Diane, Fabrykowski, Lukas, Lukas Fabrykowski, Julia Eisenberg   +5 more
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American Parisian options [PDF]

, 2006
Parisian options, American options, Excursions, G12, G13, C61, C65, 60G40, 62L15, 60J65,
Marc Chesney, Chesney, Marc, Gauthier, Laurent, Laurent Gauthier   +3 more
core   +1 more source

A generalized clark-ocone formula [PDF]

, 2000
60H25 (60H07 60H40 60J55 60J65)We extend the Clark-Ocone formula to a suitable class of generalized Brownian functionals.
Oliveira, Maria João, Faria, Margarida de, Streit, Ludwig   +2 more
core   +1 more source

Perturbed Brownian motion and its application to Parisian option pricing

, 2010
Excursion time, Two-state semi-Markov model, Path-dependent options, Parisian options, Laplace transform, 91B28, 60J65, 60K15, 60J27, G13,
Dassios, Angelos, Angelos Dassios, Wu, Shanle, Shanle Wu   +3 more
core   +1 more source

A jump to default extended CEV model: an application of Bessel processes

, 2006
Default, Credit spread, Corporate bonds, Equity derivatives, Credit derivatives, Implied volatility skew, CEV model, Bessel processes, 60J35, 60J60, 60J65, 60G70, G12, G13,
Vadim Linetsky, Peter Carr
core   +1 more source

Analytic solution of a fractional-order hepatitis model using Laplace Adomian decomposition method and optimal control analysis

Computational and Mathematical Biophysics
Infectious illnesses like hepatitis place a heavy cost on global health, and precise mathematical models must be created in order to understand and manage them.
Aguegboh Nnaemeka S., Roy Kiogora Phineas, Felix Mutua, Okongo Walter, Diallo Boubacar   +4 more
doaj   +1 more source

Нови резултати в областта на аномалните дифузии

, 2023
[Savov Mladen; Савов Младен]In this paper we review briefly some of the results in the area of anomalous diffusions which are related to the anomalous aggregation phenomenon. Loosely, speaking this phenomenon occurs when a particle moves in a milieu with
Savov, Mladen
core  

Existence and uniqueness of solution for a fractional hepatitis B model

Computational and Mathematical Biophysics
Understanding the dynamics of infectious diseases using mathematical modeling is essential for developing prevention and control measures. Hepatitis B is still a major public health issue in many places, including Kenya, where the high incidence of ...
Aguegboh Nnaemeka Stanley, Oranugo Dominic Obinna, Kiogora Phineas Roy, Felix Mutua, Netochukwu Onyiaji, Egwu Andrew Onyeka   +5 more
doaj   +1 more source

On the Moving Boundary Hitting Probability for the Brownian Motion [PDF]

, 2007
2000 Mathematics Subject Classification: 60J65.Consider the probability that the Brownian motion hits a moving two-sided boundary by a certain moment.
P. Kralchev, Dobromir
core  

Uniform Convergence in some Limit Theorems for Multiple Particle Systems

, 1996
For n particles diffusing throughout R (or R d ), let j n;t (A), A 2 B, t 0, be the random measure that counts the number of particles in A at time t.
Wellner, Jon A., Giné, Evarist, Evarist Gine, Jon A. Wellner   +3 more
core   +1 more source