12 results
Explicit results on conditional distributions of generalized exponential mixtures
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- Journal of Applied Probability / Volume 57 / Issue 3 / September 2020
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- 04 September 2020, pp. 760-774
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- September 2020
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Generalized fractional Lévy processes with fractional Brownian motion limit
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- Advances in Applied Probability / Volume 47 / Issue 4 / December 2015
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- 21 March 2016, pp. 1108-1131
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- December 2015
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Asymmetric COGARCH processes
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- Journal of Applied Probability / Volume 51 / Issue A / December 2014
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- 30 March 2016, pp. 161-173
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- December 2014
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Conditional Distributions of Processes Related to Fractional Brownian Motion
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- Journal of Applied Probability / Volume 50 / Issue 1 / March 2013
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- 30 January 2018, pp. 166-183
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- March 2013
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Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data
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- Journal of Applied Probability / Volume 49 / Issue 4 / December 2012
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- 30 January 2018, pp. 901-914
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- December 2012
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Pareto Lévy Measures and Multivariate Regular Variation
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- Advances in Applied Probability / Volume 44 / Issue 1 / March 2012
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- 04 January 2016, pp. 117-138
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- March 2012
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On the ruin probability of the generalised Ornstein–Uhlenbeck process in the cramér case
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- Journal of Applied Probability / Volume 48 / Issue A / August 2011
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- 14 July 2016, pp. 15-28
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- August 2011
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The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
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- Journal of Applied Probability / Volume 45 / Issue 1 / March 2008
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- 14 July 2016, pp. 67-84
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- March 2008
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Maxima of stochastic processes driven by fractional Brownian motion
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- Advances in Applied Probability / Volume 37 / Issue 3 / September 2005
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- 01 July 2016, pp. 743-764
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- September 2005
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A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
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- Journal of Applied Probability / Volume 41 / Issue 3 / September 2004
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- 14 July 2016, pp. 601-622
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- September 2004
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Stationary M/G/1 excursions in the presence of heavy tails
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- Journal of Applied Probability / Volume 34 / Issue 1 / March 1997
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- 14 July 2016, pp. 208-212
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- March 1997
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Subexponential distributions and integrated tails
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- Journal of Applied Probability / Volume 25 / Issue 1 / March 1988
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- 14 July 2016, pp. 132-141
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- March 1988
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