297 results in 60Hxx
SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES
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- Journal: Nagoya Mathematical Journal , First View
- Published online by Cambridge University Press: 08 September 2023, pp. 1-24
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Heavy-traffic limits for parallel single-server queues with randomly split Hawkes arrival processes
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- Journal: Journal of Applied Probability , First View
- Published online by Cambridge University Press: 07 August 2023, pp. 1-25
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Duality theory for exponential utility-based hedging in the Almgren–Chriss model
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- Journal: Journal of Applied Probability , First View
- Published online by Cambridge University Press: 03 August 2023, pp. 1-19
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PDE for the joint law of the pair of a continuous diffusion and its running maximum
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- Journal: Advances in Applied Probability , First View
- Published online by Cambridge University Press: 10 July 2023, pp. 1-40
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Weakly interacting oscillators on dense random graphs
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- Journal: Journal of Applied Probability , First View
- Published online by Cambridge University Press: 30 June 2023, pp. 1-24
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PRICING AND HEDGING OF VIX DERIVATIVES IN MODIFIED STOCHASTIC MODELS
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- Journal: Bulletin of the Australian Mathematical Society / Volume 108 / Issue 2 / October 2023
- Published online by Cambridge University Press: 23 June 2023, pp. 351-352
- Print publication: October 2023
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CONDITIONS FOR RECURRENCE AND TRANSIENCE FOR TIME-INHOMOGENEOUS BIRTH-AND-DEATH PROCESSES
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- Journal: Bulletin of the Australian Mathematical Society , First View
- Published online by Cambridge University Press: 23 June 2023, pp. 1-10
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ESSAYS ON STRONG AND WEAK APPROXIMATIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS
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- Journal: Bulletin of the Australian Mathematical Society / Volume 108 / Issue 1 / August 2023
- Published online by Cambridge University Press: 16 June 2023, pp. 175-176
- Print publication: August 2023
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Explosion of continuous-state branching processes with competition in a Lévy environment
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- Journal: Journal of Applied Probability , First View
- Published online by Cambridge University Press: 09 June 2023, pp. 1-14
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Measuring the suboptimality of dividend controls in a Brownian risk model
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- Journal: Advances in Applied Probability , First View
- Published online by Cambridge University Press: 07 June 2023, pp. 1-31
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Averaging for slow–fast piecewise deterministic Markov processes with an attractive boundary
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- Journal: Journal of Applied Probability , First View
- Published online by Cambridge University Press: 19 May 2023, pp. 1-30
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Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH
$\boldsymbol{{(P, Q)}}$ models
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- Journal: Journal of Applied Probability , First View
- Published online by Cambridge University Press: 15 May 2023, pp. 1-15
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Fluctuations for Some Nonstationary Interacting Particle Systems via Boltzmann–Gibbs Principle
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- Journal: Forum of Mathematics, Sigma / Volume 11 / 2023
- Published online by Cambridge University Press: 25 April 2023, e32
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Robustness of nonuniform mean-square exponential dichotomies
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- Journal: Proceedings of the Royal Society of Edinburgh Section A: Mathematics , First View
- Published online by Cambridge University Press: 18 April 2023, pp. 1-43
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Strong feller and ergodic properties of the (1+1)-affine process
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- Journal: Journal of Applied Probability / Volume 60 / Issue 3 / September 2023
- Published online by Cambridge University Press: 14 March 2023, pp. 812-834
- Print publication: September 2023
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Sandwiched SDEs with unbounded drift driven by Hölder noises
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- Journal: Advances in Applied Probability / Volume 55 / Issue 3 / September 2023
- Published online by Cambridge University Press: 08 March 2023, pp. 927-964
- Print publication: September 2023
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Short-time behavior of solutions to Lévy-driven stochastic differential equations
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- Journal: Journal of Applied Probability / Volume 60 / Issue 3 / September 2023
- Published online by Cambridge University Press: 12 January 2023, pp. 765-780
- Print publication: September 2023
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On mixed fractional stochastic differential equations with discontinuous drift coefficient
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- Journal: Journal of Applied Probability / Volume 60 / Issue 2 / June 2023
- Published online by Cambridge University Press: 01 December 2022, pp. 589-606
- Print publication: June 2023
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Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function
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- Journal: Combinatorics, Probability and Computing / Volume 32 / Issue 3 / May 2023
- Published online by Cambridge University Press: 03 November 2022, pp. 370-397
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Optimal stopping under g-Expectation with
${L}\exp\bigl(\mu\sqrt{2\log\!(1+\textbf{L})}\bigr)$ -integrable reward process
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- Journal: Journal of Applied Probability / Volume 60 / Issue 1 / March 2023
- Published online by Cambridge University Press: 14 September 2022, pp. 241-252
- Print publication: March 2023
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