Keywords: 60G40; 60J75; 91G80; American options; Optimal stopping; Lévy processes; Periodic exercise opportunities;
مقالات ISI (ترجمه نشده)
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Keywords: 60F10; 60H15; 60J75; Stochastic reaction-diffusion equation; Subordinate Brownian motions; Large deviation principle; Occupation measure;
Keywords: Trimolecular oscillatory chemical; Poisson process; Random attractor; Lyapunov exponents; 60H10; 60J75; 34E10;
Keywords: 35J20; 35J25; 31B10; 60J75; 35P20; Mixed problems; Fractional Laplacian; Eigenvalues;
Keywords: primary; 60Hxx; secondary; 60J75; 60G55; Piecewise deterministic Markov processes; Invariant measure; Integration by parts based on jump times; Jump processes;
Piecewise linear process with renewal starting points
Keywords: primary; 60J27; secondary; 60J75; 60K99; Continuous-time homogeneous Markov chain; Piecewise linear process; Renewal process; First passage time;
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: 35R09; 35D40; 60G99; 60H30; 60J75; Integro-partial differential equations; Viscosity solution; Backward stochastic differential equation; Singular condition;
Reciprocal classes of random walks on graphs
Keywords: 60J27; 60J75; Random walks on graphs; Bridges of random walks; Reciprocal characteristics; Schrödinger problem;
Keywords: primary; 60G51; secondary; 60K30; 60J75; Bailout strategy; Phase-type distribution; Ruin probability; Sparre Andersen dependence structure; Busy period;
Keywords: Multi-level Monte Carlo; Stochastic jump coefficients; Weak Galerkin; Stablizer65N30; 65N60; 65C05; 60J75
Keywords: Stochastic simulation method; Markov jump processes; Method of lines; Reaction–diffusion; Nonlinear diffusion; Radiation diffusion65C20; 68U20; 65M06; 65M20; 65M99; 60J75; 65Y9982.20.Wt; 87.10.Mn
Keywords: 82C40; 60J75; 28A80; Kinetic theory; Boltzmann equation; Multifractal analysis;
Keywords: 82C26; 60J27; 60J75; 60J45Metastability; Restricted ensemble; Quasi-stationary measure; Soft measures; Exponential law; Spectral gap; Mixing time; Potential theory
Keywords: Non-Lipschitz condition; Successive approximation; Variable delays; 60H15; 34G20; 60J65; 60J75;
Keywords: primary; 60J75; secondary; 60J65; 60G51; Brownian Linear motion with negative drift; Wiener-Hopf factorization; Limit of convolution of exponential mixtures; Laplace transform;
Keywords: primary; 60D05; secondary; 58C35; 60J75; 37A30; 47G20; 53C21; 60J65; Stochastic algorithms; Simulated annealing; Homogenization; Probability measures on compact Riemannian manifolds; Intrinsic means; Instantaneous invariant measures; Gibbs measures; Spect
Keywords: 60J75; 60H10; Backward stochastic differential equations; Jump Markov processes; Optimal control problems;
Keywords: 45K05; 60J75; 35B65Non-local parabolic integro-differential equations; Lévy processes; Martingale problem
Keywords: primary; 60J27; secondary; 60J75; 60K99; Inhomogeneous jump-telegraph process; Volterra equation; Martingale measure;
Keywords: primary; 60G51; secondary; 60J75; Lévy process; Two-sided exit; Support of measure;
Keywords: Jump-diffusion processes; Fokker–Planck equation; Partial integro-differential equation; Strang–Marchuk splitting; Chang–Cooper; Convergence analysis65M12; 45K05; 60J75; 82C31; 35Q84
Keywords: 60H10; 60J75; 60H35; 65C05; 65G99; 60H07Backward stochastic differential equations with jumps; Wiener Chaos expansion; Numerical method
Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs
Keywords: 60J25; 60H10; 60J75; 60G46; 60G52; 47G30Lévy process; Stable process; Stable-like process; Lévy-type process; Discontinuous Lévy characteristics; Non-local operator; Markov process; Feller process; Symbol; Martingale problem; Weak solution; Stochastic dif
Time change equations for Lévy-type processes
Keywords: 60J75; 45G10; 60G17; Lévy-type process; Symbol; Random time change; Multiplicative perturbation;
The effect of media coverage on threshold dynamics for a stochastic SIS epidemic model
Keywords: 37H10; 92B05; 60J75; Environmental fluctuation; Media coverage; Feller's test; Threshold dynamics; Stationary distribution;
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;
Distribution dependent SDEs for Landau type equations
Keywords: 60J75; 47G20; 60G52; Distribution dependent SDEs; Homogeneous Landau equation; Wasserstein distance; Exponential convergence; Harnack inequality;
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
Potential kernels, probabilities of hitting a ball, harmonic functions and the boundary Harnack inequality for unimodal Lévy processes
Keywords: primary; 60J35; 60J50; secondary; 60J75; 31B25; Potential theory; Lévy process; Isotropic unimodal distribution; Hitting time; Harnack inequality;
Lifschitz singularity for subordinate Brownian motions in presence of the Poissonian potential on the SierpiÅski gasket
Keywords: primary; 60J75; 60H25; 60J35; secondary; 47D08; 28A80; Subordinate Brownian motion; SierpiÅski gasket; Random Feynman-Kac semigroup; Schrödinger operator; Random potential; Integrated density of states; Eigenvalues; Reflected process;
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;
Optimal harvesting policy of a stochastic two-species competitive model with Lévy noise in a polluted environment
Keywords: 34F05; 37H10; 92B05; 60J75; Environmental toxicity; Sudden environmental shocks; Competitive model; Optimal harvesting; Ergodic method;
Least squares estimators for stochastic differential equations driven by small Lévy noises
Keywords: primary; 62F12; 62M05; secondary; 60G52; 60J75; Asymptotic distribution; Consistency; Discrete observations; Least squares method; Stochastic differential equations; Parameter estimation;
Existence and estimates of moments for Lévy-type processes
Keywords: primary; 60J75; secondary; 60G51; 60H05; 60J25; Lévy-type processes; Existence of moments; Generalized moments; Fractional moments;
Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps
Keywords: 60G20; 60J75; Markov-modulated Brownian motion; Markov-modulated fluid flow; Two-sided reflection; Markov renewal; Skip-free level crossing; Weak convergence;
Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing
Keywords: primary; 60G51; 60F15; 60F17; 60F05; secondary; 60J65; 60J75; Lévy process; Variance-Gamma; Multivariate subordination; Generalised Gamma convolutions; Thorin measure; Esscher transformation; Esscher invariance; Superposition; Option pricing;
Weak Dirichlet processes with jumps
Keywords: 60J75; 60G57; 60H05; Weak Dirichlet processes; Calculus via regularizations; Random measure; Stochastic integrals for jump processes; Orthogonality;
Algebraic ergodicity for SDEs driven by Lévy processes
Keywords: 60H10; 60J75; 37A25; Stochastic differential equations; Lévy processes; Algebraic ergodicity; Hitting times;
Stability in distribution of a stochastic hybrid competitive Lotka-Volterra model with Lévy jumps
Keywords: Lotka-Volterra model; Regime-switching diffusion; Lévy jumps; Invariant probability measure; 37H10; 92B05; 60J75;
Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
Keywords: 60H10; 60H35; 60J75; 34K28Double barrier reflected BSDEs; Backward stochastic differential equations with jumps; Numerical scheme
On the Cauchy problem for non-local Ornstein–Uhlenbeck operators
Keywords: 35K15; 60H10; 60J75; 47D07Ornstein–Uhlenbeck non-local operators; Lévy processes; Core for Markov semigroups
On recurrence and transience of two-dimensional Lévy and Lévy-type processes
Keywords: 60J75; 60J25; 60G17; Lévy measure; Lévy process; Lévy-type process; Recurrence; Symbol; Transience;
Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
Keywords: 93EXX; 93E20; 60J75; 60H07; 34K50Stochastic control; Noisy memory; Maximum principle; Malliavin derivative
Lower bounds of the Hausdorff dimension for the images of Feller processes
Keywords: primary; 60G17; secondary; 60J75; 60J25; 28A78; 35S05; Feller process; Pseudo-differential operator; Symbol; Hausdorff dimension; Blumenthal-Getoor index;
Hypo-exponential distributions and compound Poisson processes with alternating parameters
Keywords: primary; 60J27; secondary; 60J75; 60K99; Poisson process; Markov-modulated Poisson process; Erlang distribution; Hypo-exponential distribution; Hyper-exponential distribution;
Intensity process for a pure jump Lévy structural model with incomplete information
Keywords: 60J75; 60G55; 91G40Pure jump Lévy process; Unobservable random barrier; First passage time; Path-dependent intensity process
Extended Gerber-Shiu functions in a risk model with interest
Keywords: 91B30; 60J75; 60G44; Discounted penalty function; Interest; Classical risk process; Shot noise process; First passage time;
A risk model with renewal shot-noise Cox process
Keywords: G22; C10; C60; primary; 91B30; secondary; 60J75; 65C05; Risk model; Ruin probability; Renewal shot-noise Cox process; Piecewise-deterministic Markov process; Martingale method; Importance sampling; Change of probability measure; Rare-event simulation;
On shift Harnack inequalities for subordinate semigroups and moment estimates for Lévy processes
Keywords: 60J75; 47G20; 60G51Shift Harnack inequality; Subordination; Subordinate semigroup; Lévy process