Keywords: primary; 26A12; 26A15; 60E10; secondary; 60G10; 60G12; 60G15; 60G70; Covariance function; Extreme value theory; Modulo of continuity; Regular variation; Slow variation;
مقالات ISI (ترجمه نشده)
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Keywords: 60E07; 60E10; Stable distribution; Truncated moments; Fractional moments;
Keywords: Fixed-cycle traffic-light queue; Performance evaluation; Queueing theory; Steady-state distribution; Traffic engineering; Transform solution; Stochastic networks; 60E10; 60J10; 60K25; 68M20; 90B20;
Keywords: G13; G32; C63; 91G60; 62P05; 60E10; 65T60; Market risk; Liquidity risk; Stochastic liquidity horizon; Value-at-Risk; Expected shortfall; Shannon wavelets;
Keywords: primary; 60A10; 11K06; secondary; 60E10; Benford's law; Fourier transform; Mellin transform; Dependent random variables; Fragmentation;
An offspring of multivariate extreme value theory: The max-characteristic function
Keywords: primary; 60E10; secondary; 60F99; 60G70; Multivariate extreme-value theory; Max-characteristic function; Wasserstein metric; Convergence;
On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
Keywords: primary; 60J75; 60G40; 60E10; secondary; 34B05; 60J60; 60G51; Jump-diffusion processes; First exit times; Laplace transforms; Solvable stochastic differential equations; Non-affine processes; Mean-reverting and diverting property;
Keywords: 60K05; 60E10; 26A12Renewal sequence; Regular variation; Approximations
Keywords: 60E07; 60E10; 62E20; 62H15Characteristic function; Characterization; Goodness-of-fit; Multivariate stable distribution
Keywords: 60E05; 60E10; 60E07; Count variable; Poisson mixture; Zero-truncated distribution; Probability generating function;
Keywords: primary; 60E07; secondary; 46N39; 60E10; 62G07; 60G51; Deconvolution operator; Fourier multiplier theorem; Lévy process; Regular density; Self-decomposable distribution;
Keywords: 60K05; 60E10; 26A12Renewal function; Approximations; Regular variation; The class gamma
On notions of Q-independence and Q-identical distributiveness
Keywords: 60E05; 60E10; 62E10; Q-independence; Q-identical distributiveness; Random variable; Characteristic function;
The Lambert W function, Nuttall's integral, and the Lambert law
Keywords: primary; 60E07; secondary; 33B30; 44A10; 60E10; Lambert W function; Infinite divisibility; Bernstein function;
Two-side exit problems for taxed Lévy risk process involving the general draw-down time
Keywords: primary; 60G51; secondary; 60E10; 60J35; Two-side exit problems; Tax; Spectrally negative Lévy process; Draw-down time;
The Laplace transform (dets)âpexptr(sâ1w) and the existence of non-central Wishart distributions
Keywords: primary; 60e10; secondary; 15A52; Euclidean Jordan algebras; Non-central Wishart; Random matrices; Zonal polynomials;
Generalizing distance covariance to measure and test multivariate mutual dependence via complete and incomplete V-statistics
Keywords: 62G10; 62H20; 62G20; 60E10; Characteristic functions; Distance covariance; Multivariate analysis; Mutual independence; V-statistics;
SWIFT valuation of discretely monitored arithmetic Asian options
Keywords: 60E10; 60G51; 60G52; 65T60; 65T50; Arithmetic Asian options; Fourier transform; Shannon wavelets; SWIFT method; Exponential Lévy processes; Square-root diffusions; Option pricing;
Numerical computation of hitting time distributions of increasing Lévy processes
Keywords: 60E10; 60G51; 65R99; Lévy process; Hitting time; Characteristic function; Hilbert transform; Sinc expansion; Lambert function;
Efficient wavelets-based valuation of synthetic CDO tranches
Keywords: 62P05; 60E10; 65T60CDO valuation; Factor models; Characteristic function inversion; Haar wavelets; B-splines
Efficient numerical Fourier methods for coupled forward–backward SDEs
Keywords: 91G60; 60H35; 65C30; 65T50; 60E10; 65B05Fourier-cosine expansion method; Characteristic function; Coupled forward–backward stochastic differential equations; Richardson extrapolation; Second-order convergence; Cross-hedging
Limit distributions of generalized St. Petersburg games
Keywords: 60E10; 60G50; 60E07St. Petersburg game; Residue analysis; Semi-stable distribution
On Cauchy-Stieltjes kernel families
Keywords: 60E10; 46L54; Exponential families; Cauchy kernel; Free stable law;
Multivariate Archimax copulas
Keywords: 60E10; 60G70; 62H05; Archimedean copula; Domain of attraction; Multivariate extreme-value distribution; Stable tail dependence function; Williamson d-transform;
Hitting time distribution for skip-free Markov chains: A simple proof
Keywords: 60E10; 60J10; 60J27; 60J35; Skip-free; Random walk; Birth and death chain; Hitting time; Recurrence equation;
Distribution of functionals of a Ferguson-Dirichlet process over an n-dimensional ball
Keywords: primary; 62E15; 60G57; secondary; 60E10; Characteristic function; Dirichlet distribution; Ferguson-Dirichlet process; Random functional; Spherically symmetric distribution;
Backbone decomposition for continuous-state branching processes with immigration
Keywords: 60J80; 60E10; Backbone decomposition; N-measure; Continuous state branching process with immigration;
HH-extendible copulas
Keywords: 60E10; 60E05; 60E07; 62H99; 65C10Hierarchical copula; hh-extendible copula; De Finetti’s theorem; Factor model
Permanental vectors
Keywords: 60E07; 60E10; 60G99; 60J99; Permanental vectors; Gaussian squares; Infinitely divisible vectors; M-matrices;
Berry–Esseen and Edgeworth approximations for the normalized tail of an infinite sum of independent weighted gamma random variables
Keywords: 60E05; 60E10; 60E99Berry–Esseen; Edgeworth expansions; Infinitely divisible distributions; Rosenblatt distribution
Edgeworth expansions for GEL estimators
Keywords: 60E05; 60E10; 62E17; 91G70Higher order asymptotics; Edgeworth expansions; Generalized Empirical Likelihood; Generalized Method of Moments
On the approximation of functions satisfying defective renewal equations
Keywords: primary; 60K05; 60E10; 41A25; secondary; 41A35; 91B30; Defective renewal equation; Laplace transform; Rate of convergence; Ruin probability; Gamma distribution;
Characteristic functions of scale mixtures of multivariate skew-normal distributions
Keywords: 60E10; 62E10Characteristic function; Mixing; Multivariate; Scale mixture; Selection; Skew-normal; Skew-tt
The prolific backbone for supercritical superprocesses
Keywords: 60J80; 60E10; Superprocesses; N-measure; Backbone; Conditioning on extinction; Prolific individuals;
Constructing hierarchical Archimedean copulas with Lévy subordinators
Keywords: 60E10; 60E05; 60E07; 62H99; 65C10Hierarchical Archimedean copulas; Lévy subordinators; Sampling algorithm
Joint characteristic functions construction via copulas
Keywords: C16; C46; 60E05; 60E10; IM10; Copulas; Distortion functions; Joint distributions with given marginals; Characteristic functions;
Stationary-excess operator and convex stochastic orders
Keywords: primary; 60E15; 62P05; secondary; 60E10; Insurance risks; Stochastic orders; Monotone distributions; Conjugate operator; Stochastic extrema; Discrete and continuous versions;
On the density of log-spot in the Heston volatility model
Keywords: 60H10; 60E10; 91B28Heston volatility model; Characteristic function; Bessel random variables
On an inequality by Kulikova and Prokhorov
Keywords: 60E10; 60E15;
Discrete distributions in the extended FGM family: The p.g.f. approach
Keywords: 60E05; 60E10; 62H20; 62H05; 62E15; 62H12Discrete data fit; Discrete Farlie–Gumbel–Morgenstern family; Geometric distribution; Marginal-conditional distribution; Multivariate distributions; Negative correlation; Poisson distribution; Probability generating
Integral representations of one-dimensional projections for multivariate stable densities
Keywords: 60E7; 60E10; 62H10Multivariate stable distributions; Projections; Complex integration
On the non-existence of a general Benford's law
Keywords: Benford's law; Numeral base; Mantissa; Characteristic function60A10; 60E10
On the connections between weakly stable and pseudo-isotropic distributions
Keywords: 60A10; 60B05; 60E05; 60E07; 60E10;
Random integral representations for free-infinitely divisible and tempered stable distributions
Keywords: primary 60E07; 60E10; secondary 60B11; 60G51Infinite divisible measure; Lévy spectral measure; λλ-Mixtures; Lévy–Khintchine formula; Lévy process; Stable measures; Hilbert and Banach spaces; Free-infinite divisibility; Tempered stable measures
Waiting times for clumps of patterns and for structured motifs in random sequences
Keywords: 60E10; 60J20; 60K20Pattern; Clump; Probability generating function; Random sum; Structured motif; DNA sequence
When does E(Xk·Yl)=E(Xk)·E(Yl) imply independence?
Keywords: 43A35; 44A60; 60E10; Expectation; Moments; Independence; Moment sequence; Determinate; Indeterminate;
Joint probability generating function for a vector of arbitrary indicator variables
Keywords: primary 62E15; 60E05; 60E10; secondary 62E20; 62A25; 60G09Individual risk models; Exchangeability; Indicator variables; Probability generating function; Random sums
Spherical distributions: Schoenberg (1938) revisited
Keywords: primary 60E05; 60E10; 62E10; 62H05; secondary 42A61; 60F05; 60F15; Spherical distribution; Characteristic function; Normal distribution;
On d-orthogonality of the Sheffer systems associated to a convolution semigroup
Keywords: 60E10; 60G50; Lévy process; Martingale; Natural exponential family; Polynomial variance function; Positive stable process;
A refinement to approximate conditional inference
Keywords: 60F10; 60E10; Approximate conditional inference; Saddlepoint approximation;