Keywords: Cumulant function; Stable process; Wishart distribution; 60G51; 60G52;
مقالات ISI (ترجمه نشده)
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Keywords: 60G51; Monotone stochastic order; Coupling; Independent increments;
Keywords: Discrete random processes; Random walks; Weierstrass random walk; Riemann random walk; Anomalous diffusion; 60G50; 60G51;
Keywords: primary; 60J55; secondary; 60G51; 60J45; 60H10; Additive functionals; Subordinate Brownian motion; Purely discontinuous Girsanov transform; Absolute continuity; Singularity; Relative entropy;
Keywords: 35Q92; 47D06; 45K05; 47G20; 60G51; Growth-fragmentation equation; Spectral analysis; Malthus exponent; Feynman-Kac formula;
Keywords: 60F17; 60G51; 62G10; Lévy measure; Jump compensator; Transition kernel; Empirical processes; Weak convergence; Gradual changes;
Keywords: Multiple time varying delay in control; Stochastic fractional neutral systems; Controllability; Wiener process; Le´vy process; 93B05; 34A08; 60G51;
A note on Marked Point Processes and multivariate subordination
Keywords: 60G15; 60G51; 60G55; 60G57; Marked Poisson processes; Subordinated Lévy processes; Multivariate Poisson random measure; Multivariate subordinators; Multivariate generalized asymmetric Laplace motion;
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;
Splitting and time reversal for Markov additive processes
Keywords: 60G51; 60J55; Lévy process; Path decomposition; Time reversal; Wiener-Hopf factorization; Last exit; Conditioned to stay positive;
Continuous state branching processes in random environment: The Brownian case
Keywords: 60G17; 60G51; 60G80; Continuous state branching processes in random environment; Brownian motion; Explosion and extinction probabilities; Exponential functional of Brownian motion; Q-process; Supercritical process conditioned on eventual extinction; Conti
Keywords: 60F99; 60G18; 60G51; Small ball probability; Small deviation; Time-changed process; Iterated process; Inverse subordinator; Anomalous diffusion;
Keywords: primary; 60G51; secondary; 60K30; 60J75; Bailout strategy; Phase-type distribution; Ruin probability; Sparre Andersen dependence structure; Busy period;
Keywords: 60G52; 60G51; 60J45; Symmetric stable processes; Hitting time; Poisson summation formula;
Keywords: 60G51; Expected occupation time; Brownian motion; Brownian bridge; Animal movement;
Keywords: 60G51; 60F05; 60G17Maximal segmental score; Asymptotic independence; Asymptotic overshoot; Random walk
Keywords: primary; 60J75; secondary; 60J65; 60G51; Brownian Linear motion with negative drift; Wiener-Hopf factorization; Limit of convolution of exponential mixtures; Laplace transform;
Keywords: 91B30; 60G51; 60K05Ruin probability; Dependence; Lévy process; Dominated variation; Uniformity; Simulation
Keywords: 60G51; 60F05; 60G17; Reflected Lévy process; Asymptotic undershoot and overshoot; Cramér condition; Queueing;
Keywords: 60G51; 60G52; 35C05Riemann–Liouville fractional calculus; Hyperbolic Brownian motion; Telegraph processes; Subordinators; Time-changed processes; Hyperbolic Laplacian
Keywords: primary; 60E07; secondary; 46N39; 60E10; 62G07; 60G51; Deconvolution operator; Fourier multiplier theorem; Lévy process; Regular density; Self-decomposable distribution;
Keywords: C44; C61; G24; G32; G35; 60G51; 93E20; Dual model; Dividends; Impulse control; Spectrally positive Lévy processes; Scale functions;
Keywords: 60G51; 44A10; Subordinator; Kendall identity; Explicit transition density; Laplace transform identity; Bessel functions; Lambert W-function; Gamma function; Complete monotonicity; Generalized gamma convolutions;
Keywords: primary; 91G20; 60G51; 33C45; secondary; 91G60; 60G10; 33F05; Stochastic volatility models; Explicit methods for contingent claim valuation; Lévy processes; Processes of Ornstein-Uhlenbeck type;
Keywords: 60H10; 60H20; 60G51; 60G57; Stochastic variational inequalities; Jump-diffusions;
Keywords: primary; 60G51; secondary; 60J75; Lévy process; Two-sided exit; Support of measure;
Keywords: C44; C61; G24; G32; G35; 60G51; 93E20; 91B30; Dividends; Capital injection; Lévy processes; Scale functions; Dual model;
Keywords: 60E07; 60G51; 60F05; 62L20; 65C05; 60H35Lévy processes; Esscher transform; Monte Carlo; Statistical Romberg; Variance reduction; Central limit theorems; CGMY model
Pricing European options under uncertainty with application of Levy processes and the minimal Lq equivalent martingale measure
Keywords: 91G80; 60G51; 60H30; 03E72; Option pricing; Stochastic processes; Fuzzy set theory; Decision-making;
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;
Malliavin differentiability of indicator functions on canonical Lévy spaces
Keywords: primary; 60H07; secondary; 60G51; Malliavin calculus; Lévy processes; Indicator functions; Digital options;
On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
Keywords: 60F10; 60G51; 60K05; Lévy process; Compound renewal process; Distribution tails; Heavy tails; Long-tailed distributions; Subexponential distributions; Random walk;
Quickest drift change detection in Lévy-type force of mortality model
Keywords: Lévy processes; Quickest detection; Longevity; Optimal stopping; Force of mortality; Life tables; Change of measure; 60G-40; 34B-60; 60G51; 62P-05;
Equivalent martingale measures for Lévy-driven moving averages and related processes
Keywords: 60E07; 60G10; 60G51; 60G57; 60H05; Equivalent local martingale measures; Moving averages; Lévy processes; Stochastic exponentials; Infinite divisibility;
Asymptotical properties of distributions of isotropic Lévy processes
Keywords: primary; 60G51; 60J35; secondary; 60F99; Asymptotic; Transition density; Lévy process; Unimodal Lévy process; Heat kernel; Laplace exponent; Lévy measure; Subordinator; Subordinate Brownian motion;
Asymptotic results for exponential functionals of Lévy processes
Keywords: primary; 60G51; 60J55; secondary; 60K37; 60J80; Lévy process; Exponential functional; Laplace exponent; Branching process; Random environment; Survival probability;
On the refracted-reflected spectrally negative Lévy processes
Keywords: 60G51; 91B30; 90B22; Lévy processes; Fluctuation theory; Scale functions; Insurance risk;
Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications
Keywords: 60G51; 60G52; 60J75; 62M10; 62P12; Stochastic differential equations; Multiplicative Lévy noise; Lévy type processes; Heavy-tailed distributions; Model selection; Wasserstein distance; Time series;
Fluctuations of Omega-killed spectrally negative Lévy processes
Keywords: 60G51; 60K25; Lévy processes; Omega model; Occupation time; Laplace transform; Fluctuation theory; Self-similar process;
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;
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
Keywords: 60G51; 91B30; Capital injections; Dividends; Scale functions; Lévy processes; Excursion theory;
Volterra-type Ornstein-Uhlenbeck processes in space and time
Keywords: primary; 60G10; 60G17; 60G60; 60H20; secondary; 60G48; 60G51; 60J75; Ambit process; Cà dlà g in space and time; Lévy basis; Long memory; Path properties; Second-order structure; Space-time modeling; Stationary solution; Stochastic Volterra equation; Vo
On semi-Markov processes and their Kolmogorov's integro-differential equations
Keywords: 60K15; 60J25; 60G51; Semi-Markov processes; Time-changed processes; Integro-differential equations; Fractional equations;
Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales
Keywords: 60F10; 60G51; 60H05; 60H10; 60J25; 60J60; Large deviations; Stochastic integration; Stochastic differential equations; Exponential tightness; Markov processes; Infinite dimensional semimartingales; Banach space-valued semimartingales;
First exit from an open set for a matrix-exponential Lévy process
Keywords: 60J75; 60G51; 60G99; First exit problems; Lévy processes; Matrix-exponential distributions; Jump diffusions;
A stochastic SIRS epidemic model incorporating media coverage and driven by Lévy noise
Keywords: Stochastic process; Lévy process; White noise; 92B05; 60G51; 60G57;
Parisian quasi-stationary distributions for asymmetric Lévy processes
Keywords: 60J99; 93E20; 60G51; Quasi-stationary distribution; Lévy process; Risk process; Ruin probability; Asymptotics; Parisian ruin;
On Dirichlet series and functional equations
Keywords: primary; 11M41; secondary; 60G51; L-function; Completely multiplicative function; Functional equation; Infinite divisibility; Subordinator; Convolution semigroup; Kendall's identity;
Modelling of degradation and a soft failure moment during the operation of a supercapacitor applying selected diffusion processes
Keywords: Degradation; Diffusion process; Failures; First hitting time; Probability; Reliability analysis; Supercapacitor; Trajectory analysis; 30C40; 60G51; 60J60; 62G07; 62P30; 94A17; SC; supercapacitor; FHT; first hitting time; LRM; linear regression model; K-L
Stochastic PDEs with heavy-tailed noise
Keywords: primary; 60H15; 60H20; 60G60; secondary; 60G52; 60G48; 60G51; 60G57; Generalized Gaussian densities; Heavy-tailed noise; Itô basis; Lévy basis; Parabolic stochastic PDE; Stable noise; Stochastic heat equation; Stochastic partial differential equation; S