17 results
Change of measure in a Heston–Hawkes stochastic volatility model
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- Advances in Applied Probability , First View
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- 24 July 2024, pp. 1-30
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![Girsanov, Numeraires, and All That](https://assets.cambridge.org/97810093/39285/cover/9781009339285.jpg)
Girsanov, Numeraires, and All That
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- 20 October 2022
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- 17 November 2022
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Yaglom limits can depend on the starting state
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- Advances in Applied Probability / Volume 50 / Issue 1 / March 2018
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- 20 March 2018, pp. 1-34
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- March 2018
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A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
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- Journal of Applied Probability / Volume 54 / Issue 4 / December 2017
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- 30 November 2017, pp. 1213-1232
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- December 2017
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Path to survival for the critical branching processes in a random environment
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- Journal of Applied Probability / Volume 54 / Issue 2 / June 2017
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- 22 June 2017, pp. 588-602
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- June 2017
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Corrected discrete approximations for the conditional and unconditional distributions of the continuous scan statistic
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- Journal of Applied Probability / Volume 54 / Issue 1 / March 2017
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- 04 April 2017, pp. 304-319
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- March 2017
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Maxima of moving sums in a Poisson random field
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- Advances in Applied Probability / Volume 41 / Issue 3 / September 2009
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- 01 July 2016, pp. 647-663
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- September 2009
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On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier
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- Journal of Applied Probability / Volume 42 / Issue 3 / September 2005
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- 14 July 2016, pp. 595-607
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- September 2005
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Filters and parameter estimation for a partially observable system subject to random failure with continuous-range observations
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- Advances in Applied Probability / Volume 36 / Issue 4 / December 2004
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- 01 July 2016, pp. 1212-1230
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- December 2004
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Recursive filters for a partially observable system subject to random failure
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- Advances in Applied Probability / Volume 35 / Issue 1 / March 2003
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- 01 July 2016, pp. 207-227
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- March 2003
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On a new approach to calculating expectations for option pricing
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- Journal of Applied Probability / Volume 39 / Issue 4 / December 2002
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- 14 July 2016, pp. 889-895
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- December 2002
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An exponential change of measure for the Feller diffusion and some implications for superprocesses
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- Journal of Applied Probability / Volume 37 / Issue 1 / March 2000
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- 14 July 2016, pp. 236-245
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- March 2000
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On the Distribution of the Surplus Prior and at Ruin
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- ASTIN Bulletin: The Journal of the IAA / Volume 29 / Issue 2 / November 1999
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- 29 August 2014, pp. 227-244
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- November 1999
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Computation of Compound Distributions I: Aliasing Errors and Exponential Tilting
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- ASTIN Bulletin: The Journal of the IAA / Volume 29 / Issue 2 / November 1999
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- 29 August 2014, pp. 197-214
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- November 1999
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A unified approach to fast teller queues and ATM
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- Advances in Applied Probability / Volume 31 / Issue 3 / September 1999
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- 01 July 2016, pp. 758-787
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- September 1999
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Lundberg inequalities for a Cox model with a piecewise constant intensity
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- Journal of Applied Probability / Volume 33 / Issue 1 / March 1996
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- 14 July 2016, pp. 196-210
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- March 1996
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The analysis of finite security markets using martingales
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- Advances in Applied Probability / Volume 19 / Issue 1 / March 1987
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- 01 July 2016, pp. 1-25
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- March 1987
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