دانلود مقالات ISI درباره 60G51 + ترجمه فارسی

On strong solutions for positive definite jump diffusions

Keywords: 60G51; 60H10; 60J60; 60J75Affine diffusions; Jump diffusion processes on positive definite matrices; Local martingales on stochastic intervals; Matrix subordinators; Stochastic differential equations on open sets; Strong solutions; Wishart processes

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2011 سفارش ترجمه

Constructions of coupling processes for Lévy processes

Keywords: 60G51; 60G52; 60J25; 60J75Coupling; Lévy process; Subordinate Brownian motion; Bernstein function

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2011 سفارش ترجمه

Hitting of a line or a half-line in the plane by two-dimensional symmetric stable Lévy processes

Keywords: 60G52; 60G51; 60J45; 60J55; 60G44Fluctuation identities in two dimension; Two-dimensional stable processes; First hitting distribution; Local time

دانلود رایگان متن کامل مقاله ISI 21 صفحه سال انتشار : 2011 سفارش ترجمه

Asymptotic results for time-changed Lévy processes sampled at hitting times

Keywords: 60G51; 60G52; 62M05Time-changed Lévy processes; Statistics of high frequency data; Stable processes; Hitting times; Overshoots; Blumenthal–Getoor index; Central limit theorem

دانلود رایگان متن کامل مقاله ISI 26 صفحه سال انتشار : 2011 سفارش ترجمه

Sensitivity analysis for averaged asset price dynamics with gamma processes

Keywords: 60E07; 60G51; 91B70; 60H07

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2010 سفارش ترجمه

Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

Keywords: primary; 91B30; secondary; 60G51; 60K05; 91B28; Asymptotics; Constant investment strategy; Lévy process; Portfolio optimization; Regular variation; Ruin probability; Uniformity;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2010 سفارش ترجمه

Parameter estimation of a bivariate compound Poisson process

Keywords: primary; 62M05; 62P05; secondary; 60G51; Dependence modelling; Lévy copula; Lévy measure; Lévy process; Maximum likelihood estimation; Multivariate compound Poisson process;

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2010 سفارش ترجمه

De Finetti's optimal dividends problem with an affine penalty function at ruin

Keywords: 60J99; 93E20; 60G51; Insurance risk theory; Optimal dividends; Deficit at ruin; Gerber-Shiu functions; Lévy processes; Stochastic control; Log-convexity;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

Approximations for the distributions of bounded variation Lévy processes

Keywords: 60G51; 60F99Lévy processes; Small-time expansions of distributions; Transition distributions; Transition density approximations

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2010 سفارش ترجمه

An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process

Keywords: C61; 49N10; 60G51; 60G57; 60H10; Backward stochastic differential equation; Weak property of predictable representation; Quadratic optimization; Equity-linked payment process; Unsystematic and systematic insurance risk;

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2010 سفارش ترجمه

Path and semimartingale properties of chaos processes

Keywords: 60G48; 60G51; 60G17; 60G15; 60G10Semimartingales; pp-variation; Moving averages; Chaos processes; Absolutely continuity

دانلود رایگان متن کامل مقاله ISI 19 صفحه سال انتشار : 2010 سفارش ترجمه

Convergence to Lévy stable processes under some weak dependence conditions

Keywords: 60F17; 60F05; 60G51; 60G55Lévy stable processes; Poisson point processes; Functional limit theorem; Skorohod topology; Strong mixing

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2010 سفارش ترجمه

Modeling and simulation with operator scaling

Keywords: 60G51; 60G52; 68U20; 60F05Lévy processes; Gaussian approximation; Shot noise series expansions; Simulation; Tempered stable processes; Operator stable processes

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2010 سفارش ترجمه

The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure

Keywords: 60G51; 91B30; Insurance risk theory; General taxation structure; Tax payments; Lévy processes;

دانلود رایگان متن کامل مقاله ISI 5 صفحه سال انتشار : 2009 سفارش ترجمه

Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier

Keywords: 60G51; 62P05; 65C05;

دانلود رایگان متن کامل مقاله ISI 7 صفحه سال انتشار : 2009 سفارش ترجمه

An optimal dividends problem with transaction costs for spectrally negative Lévy processes

Keywords: primary; 60J99; secondary; 93E20; 60G51; Lévy process; Stochastic control; Impulse control; Dividend problem; Scale function;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2009 سفارش ترجمه

Layers of noncooperative games

Keywords: 82B41; 60G51; 60G55; 60G57; 91A10; 91A05; 91A60; 60K05Antagonistic games; Noncooperative games; Stochastic games; Fluctuation theory; Marked point processes; Poisson process; Ruin time; Exit time; First passage time

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2009 سفارش ترجمه

Optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes: An alternative approach

Keywords: 60G51; 40J50Spectrally negative Lévy process; Optimal dividend problem; Scale function; Log-convexity; Complete monotonicity; Convexity; Barrier strategy

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2009 سفارش ترجمه

Tandem antagonistic games

Keywords: 82B41; 60G51; 60G55; 60G57; 91A10; 91A05; 91A60; 60K05Noncooperative stochastic games; Fluctuation theory; Marked point processes; Poisson process; Ruin time; Exit time

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2009 سفارش ترجمه

Some recent advances in theory and simulation of fractional diffusion processes

Keywords: 26A33; 45K05; 47G30; 60G18; 60G50; 60G51; 60J60Parametric subordination; Random walks; Anomalous diffusion; Fractional calculus; Renewal theory; Power laws; Lévy processes

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2009 سفارش ترجمه

Existence and uniqueness of stationary Lévy-driven CARMA processes

Keywords: 60G51; 60G10; 62M10Lévy process; CARMA process; Stochastic differential equation; State-space representation; Stationarity; Causality

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2009 سفارش ترجمه

Lévy driven moving averages and semimartingales

Keywords: 60G48; 60H05; 60G51; 60G17Semimartingales; Moving averages; Lévy processes; Bounded variation; Absolutely continuity; Stable processes; Fractional processes

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2009 سفارش ترجمه

Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration

Keywords: 60E07; 60G18; 60G51; 33E12Lévy processes; Exponential functional; Self-similar processes; Continuous state branching processes with immigration; Wright hypergeometric functions

دانلود رایگان متن کامل مقاله ISI 28 صفحه سال انتشار : 2009 سفارش ترجمه

Small-time expansions for the transition distributions of Lévy processes

Keywords: 60G51; 60F99Lévy processes; Small-time expansions of distributions; Transition distributions; Transition densities estimates

دانلود رایگان متن کامل مقاله ISI 28 صفحه سال انتشار : 2009 سفارش ترجمه

Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noise

Keywords: 60H05; 60G51; 60G57; 46B09; 47G99Mild solutions of Stochastic Differential Equations; Contraction semigroups; Pseudo-differential operators; Stochastic integrals on separable Hilbert spaces; Martingale measures; Compensated Poisson random measures; Additi

دانلود رایگان متن کامل مقاله ISI 29 صفحه سال انتشار : 2009 سفارش ترجمه

Scaling limits for symmetric Itô–Lévy processes in random medium

Keywords: 60F17; 28D05; 60G51; 60G10; 35B27Itô–Lévy processes; Random medium; Stochastic homogenization; Scaling limit; Integro-differential operators; Ergodicity

دانلود رایگان متن کامل مقاله ISI 30 صفحه سال انتشار : 2009 سفارش ترجمه

Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions

Keywords: 35B37; 35D05; 45K05; 49L25; 49N25; 60G51; 93E20Impulse control; Combined stochastic control; Jump-diffusion processes; Viscosity solutions; Quasi-variational inequalities

دانلود رایگان متن کامل مقاله ISI 30 صفحه سال انتشار : 2009 سفارش ترجمه

On the distribution tail of an integrated risk model: A numerical approach

Keywords: primary; 91B23; 91B30; secondary; 45K05; 65M06; 60G51; Exponential Lévy process; Finite difference method; Integrated insurance risk process; Integrated risk management; Optimal investment strategy; Value-at-Risk; Partial integro-differential equation; T

دانلود رایگان متن کامل مقاله ISI 6 صفحه سال انتشار : 2008 سفارش ترجمه

The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes

Keywords: 60G51; 60H05; 60J25;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2008 سفارش ترجمه

How rich is the class of processes which are infinitely divisible with respect to time?

Keywords: 60G48; 60G51; 60G44; 60G10; Semi-selfsimilar process; Semi-stable process; IDT process;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2008 سفارش ترجمه

Median, concentration and fluctuations for Lévy processes

Keywords: 60E07; 60F10; 60G51; 60G52Lévy processes; Median; Fluctuations; Concentration

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2008 سفارش ترجمه

Integrated insurance risk models with exponential Lévy investment

Keywords: primary; 60G51; 62P05; secondary; 91B28; 91B30; Continuous time perpetuity; Discounted net loss process; Exponential Lévy process; Generalized Ornstein-Uhlenbeck process; Integrated insurance risk process; Integrated risk management; Stochastic recurre

دانلود رایگان متن کامل مقاله ISI 18 صفحه سال انتشار : 2008 سفارش ترجمه

Quasi-invariance properties of a class of subordinators

Keywords: 60G51; 60G44Gamma processes; Dirichlet processes; Subordinators; Quasi-invariance

دانلود رایگان متن کامل مقاله ISI 20 صفحه سال انتشار : 2008 سفارش ترجمه

A bivariate Lévy process with negative binomial and gamma marginals

Keywords: 60E05; 60E07; 60F05; 60G18; 60G50; 60G51; 62H05; 62H12Discrete Lévy process; Gamma process; Gamma Poisson process; Infinite divisibility; Maximum likelihood estimation; Negative binomial process; Operational time; Random summation; Random time transformat

دانلود رایگان متن کامل مقاله ISI 20 صفحه سال انتشار : 2008 سفارش ترجمه

Bilateral gamma distributions and processes in financial mathematics

Keywords: 60G51; 60E07; 91B28Bilateral Gamma distributions; Parameter estimation; Bilateral Gamma processes; Measure transformations; Stock models; Option pricing; Term structure models

دانلود رایگان متن کامل مقاله ISI 23 صفحه سال انتشار : 2008 سفارش ترجمه

Brittle power: On Roman Emperors and exponential lengths of rule

Keywords: 60G51; 62F03; 62G30; 62P05; 62P25; 91D20; Chinese Emperors; Distribution free statistics; Durations of rule; European monarchies; Goodness of fit statistics; Local alternatives; Remaining life distributions; Transformed empirical processes;

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2007 سفارش ترجمه

Beyond the Poisson renewal process: A tutorial survey

Keywords: 26A33; 33E12; 45K05; 47G30; 60K05; 60K25; 60G50; 60G51; 60G55Renewal theory; Poisson process; Mittag–Leffler function; Wright function; Stable distributions; Waiting times; Power laws; Fractional derivative

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2007 سفارش ترجمه

Stochastic volatility modelling in continuous time with general marginal distributions: Inference, prediction and model selection

Keywords: 60G51; 62F15; 62M10; 62P05; 65C40; 90-08Stochastic volatility; Lévy process; Markov chain Monte Carlo; Model selection

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2007 سفارش ترجمه

Optimal investment for insurers when the stock price follows an exponential Lévy process

Keywords: primary; 60G51; 62P05; secondary; 91B28; 91B30; Discounted net loss process; Exponential Lévy process; Reserve process; Integrated risk management; Optimal portfolio; Pareto tail approximation; Value-at-Risk (VaR);

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2007 سفارش ترجمه

Finite approximation schemes for Lévy processes, and their application to optimal stopping problems

Keywords: 60G51; 60F15; 60F25; 60G40Lévy process; Approximation; Optimal stopping

دانلود رایگان متن کامل مقاله ISI 26 صفحه سال انتشار : 2007 سفارش ترجمه

On Lévy measures for infinitely divisible natural exponential families

Keywords: primary; 60E07; secondary; 60G51; 62E10; Compound Poisson process; Laplace transform; Lévy process; Stable process; Variance function;

دانلود رایگان متن کامل مقاله ISI 5 صفحه سال انتشار : 2006 سفارش ترجمه

Another approach to Brownian motion

Keywords: 60G51; 60F05Levy process; Brownian motion; Processes with independent increments; Central limit theorem; Weakly dependent sequences

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2006 سفارش ترجمه

The Lamperti correspondence extended to Lévy processes and semi-stable Markov processes in locally compact groups

Keywords: 60G18; 60G51; 60J25Semi-stable Markov processes; Multiplicative Lévy processes; Lamperti representation; Time-change; Feller processes

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2006 سفارش ترجمه

Type G and spherical distributions on Rd

Keywords: 60E07; 62H05; 60E10; 60G51; Variance mixture of normal distributions; Radial functions; Lévy measures; Series and integral representations;

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2005 سفارش ترجمه

Harnesses, Lévy bridges and Monsieur Jourdain

Keywords: 60G48; 60G51; 60G44; 60G10; Harnesses; Lévy processes; Past-future martingales; Enlargement of filtration;

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2005 سفارش ترجمه

On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance

Keywords: 60G44; 60G40; 60G51; secondary 33C05; 91B70; Generalized Ornstein-Uhlenbeck process; Stable process; First passage time; Martingales; Special functions; Term structure; Path dependent options;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2005 سفارش ترجمه

Decomposition of discrete time periodically correlated and multivariate stationary symmetric stable processes

Keywords: 60G51; 60G52; 60G57; Periodically correlated stable processes; Multivariate stationary stable processes; Spectral representation; Mixed moving average; Periodically correlated harmonizable processes; Flow; Cocycle; Hopf decomposition;

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2005 سفارش ترجمه

Last exit times for transient semistable processes

Keywords: 60G51; 60G52; Lévy process; Stable processes; Semistable process; Last exit time; Processus de Lévy; Processus stable; Processus semi-stable; Dernier temps de passage;

دانلود رایگان متن کامل مقاله ISI 23 صفحه سال انتشار : 2005 سفارش ترجمه

Minimal entropy preserves the Lévy property: how and why

Keywords: 60G51; 91B28; 60G48; Lévy processes; Martingale measures; Relative entropy; Minimal entropy martingale measure; Mathematical finance; Incomplete markets;

دانلود رایگان متن کامل مقاله ISI 29 صفحه سال انتشار : 2005 سفارش ترجمه