Keywords: تغییر اندازه; Change of measure; Matsumoto-Yor property; Characterizations of probability distributions; Gamma distribution; Kummer distribution; Constancy of regression;
مقالات ISI تغییر اندازه (ترجمه نشده)
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Keywords: تغییر اندازه; Default risk; Affine processes; Stochastic volatility; Market price of risk; Change of measure; Jump-to-default;
Quickest drift change detection in Lévy-type force of mortality model
Keywords: تغییر اندازه; Lévy processes; Quickest detection; Longevity; Optimal stopping; Force of mortality; Life tables; Change of measure; 60G-40; 34B-60; 60G51; 62P-05;
Measure-invariance of copula functions as tool for testing no-arbitrage assumption
Keywords: تغییر اندازه; 62H15; 62P05; 62H99; Change of measure; Copula functions; Invariance property; Transform of margins; Absence of arbitrages;
Berry-Esseen's bound and Cramér's large deviation expansion for a supercritical branching process in a random environment
Keywords: تغییر اندازه; primary; 60J80; 60K37; 60J05; secondary; 60J85; 92D25; Branching processes; Random environment; Harmonic moments; Stein's method; Berry-Esseen bound; Change of measure;
Change of measure up to a random time: Details
Keywords: تغییر اندازه; Random times; Change of measure; Progressive enlargement of filtrations; NFLVR;
Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach
Keywords: تغییر اندازه; High-frequency trading; Zero-delay model; Markov chain; Change of measure; Multivariate HMM filtering; Japanese yen
Filtering and forecasting commodity futures prices under an HMM framework
Keywords: تغییر اندازه; G170 Financial Forecasting and Simulation; C530 Forecasting and Prediction Methods; Markov chain; Change of measure; Multivariate HMM filtering; Oil future prices;
Ruin by dynamic contagion claims
Keywords: تغییر اندازه; C10; primary; 91B30; secondary; 60J25; 60J75; 60J85; Dynamic contagion process; Ruin probability; Generalised Lundberg's fundamental equation; Cramér-Lundberg approximation; Change of measure; Martingale method;
Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
Keywords: تغییر اندازه; Conditional distribution; Heavy-tailed distribution; Change of measure; Rare-event simulation;
Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy
Keywords: تغییر اندازه; Quantile hedging; Equity-linked life insurance contracts; Stochastic interest rates; Change of measure;
Using the Black–Derman–Toy interest rate model for portfolio optimization
Keywords: تغییر اندازه; Finance; Stochastic programming; Asset/liability management; Change of measure; Portfolio optimization
A filter for a state space model with fractional Gaussian noise
Keywords: تغییر اندازه; Fractional Gaussian noise; Change of measure; EM algorithm; Finite-dimensional filter
Conditional law of risk processes given that ruin occurs
Keywords: تغییر اندازه; 60J25; 60J75; 60J35; Markov process; Generator; Absorbing state; Ruin; Diffusion process; Jump process; Weak convergence; Piecewise deterministic Markov process (PDMP); Change of measure; Cramér condition; Subexponential distribution;
On the Gerber-Shiu function and change of measure
Keywords: تغییر اندازه; 60G44; 60J75; 60F10; Expected discounted penalty function; Change of measure; Laplace transform; Sparre-Andersen risk model; Markov-modulated risk model; Björk-Grandell risk model; Perturbed risk model; Lump sum premia;
Correlated intensity, counter party risks, and dependent mortalities
Keywords: تغییر اندازه; Correlated defaults; Change of measure; Martingale; First-to-default time; Flight to quality; Dependent mortality; Universal variable life insurance; Indifference pricing;
Exponentially affine martingales, affine measure changes and exponential moments of affine processes
Keywords: تغییر اندازه; 60G44; 60J25; 60J75Affine processes; Exponential martingale; Uniform integrability; Change of measure; Exponential moments; Generalized Riccati equation
A Viterbi smoother for discrete state space model
Keywords: تغییر اندازه; Hidden Markov model; Change of measure; Viterbi
Functional limit theorems for strongly subcritical branching processes in random environment
Keywords: تغییر اندازه; 60J80; secondary 60G50; 60F17; Branching process; Random environment; Random walk; Change of measure; Positive recurrent Markov chain; Functional limit theorem;