Results 51 to 60 of about 22,341 (204)
Measuring the error of dynamic hedging: a Laplace transform approach [PDF]
We compute the expected value and the variance of the discretization error of delta hedging and of other strategies in the presence of proportional transaction costs.
Flavio Angelini, Stefano Herzel
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Journal of Inequalities and Applications, 2018 By utilizing the concept of generalized order, we investigate the growth of Laplace–Stieltjes transform converging in the half plane and obtain one equivalence theorem concerning the generalized order of Laplace–Stieltjes transforms.
Hong Yan Xu, Hua Wang
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A modified Laplace transform for certain generalized fractional operators [PDF]
Results in Nonlinear Analysis, 2018 It is known that Laplace transform converges for functions of exponential order. In order to extend the possibility of working in a large class of functions, we present a modified Laplace transform that we call ρ-Laplace transform, study its properties
Fahd Jarad, Thabet Abdeljawad
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Finite time ruin probabilities with one Laplace inversion. [PDF]
In this work we present an explicit formula for the Laplace transform in time of the finite time ruin probabilities of a classical Levy model with phase-type claims. Our result generalizes the ultimate ruin probability formula of Asmussen and Rolski [IME
Avram, Florin, Usábel, Miguel A.
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Laplace wavelet transform theory and applications
, 2017 This study introduces the theory of the Laplace wavelet transform (LWT). The Laplace wavelets are a generalization of the second-order under damped linear time-invariant (SOULTI) wavelets to the complex domain.
Tariq Abuhamdia +2 more
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Modified laplace transform and its properties [PDF]
, 2020 In this paper we propose a new definition of the modified Laplace transform La(f(t)) for a piece-wise continuous function of exponential order which further reduces to simple Laplace transform for a = e where a a ≠ 1 and a > 0.
Araci, Serkan +3 more
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Calculating multivariate ruin probabilities via Gaver–Stehfest inversion technique. [PDF]
Multivariate characteristics of risk processes are of high interest to academic actuaries. In such models, the probability of ruin is obtained not only by considering initial reserves u but also the severity of ruin y and the surplus before ruin x.
Usábel, Miguel A.
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Efficient pricing options under regime switching [PDF]
In the paper, we propose two new efficient methods for pricing barrier option in wide classes of Lévy processes with/without regime switching. Both methods are based on the numerical Laplace transform inversion formulae and the Fast Wiener-Hopf ...
Oleg Kudryavtsev
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SEE Transform Technique in Control Theory
Journal of Kufa for Mathematics and ComputerAs in the Laplace transform technique, a new integral technique called SEE (Sadiq-Emad-Eman) transform is submitted. Showed propositions and important properties of SEE integral technique for differentiate of functions and showed shifting property for ...
nour kareem +3 more
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The Exit Time and the Dividend Value Function for One-Dimensional Diffusion Processes
Abstract and Applied Analysis, 2013 We investigate the exit times from an interval for a general one-dimensional time-homogeneous diffusion process and their applications to the dividend problem in risk theory. Specifically, we first use Dynkin’s formula to derive the ordinary differential
Peng Li, Chuancun Yin, Ming Zhou
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