Search Results

Logarithmic Sobolev inequalities: Regularizing effect of Levy operators and asymptotic convergence in the Levy-Fokker-Planck equation

Authors: Gentil, Ivan; Imbert, Cyril

Source: Stochastics: An International Journal of Probability and Stochastic Processes, Volume 81, Numbers 3-4, June 2009 , pp. 401-414(14)

Publisher: Taylor and Francis Ltd

Option pricing in the presence of random arbitrage return

Authors: Choi, Jungmin; Gunzburger, Max

Source: International Journal of Computer Mathematics, Volume 86, Number 6, June 2009 , pp. 1068-1081(14)

Publisher: Taylor and Francis Ltd

On the Dependence Structure of Gaussian Queues

Authors: Es-Saghouani, Abdelghafour; Mandjes, Michel

Source: Stochastic Models, Volume 25, Number 2, April 2009 , pp. 221-247(27)

Publisher: Taylor and Francis Ltd

Stochastic variational integrators

Authors: Bou-Rabee, Nawaf; Owhadi, Houman

Source: IMA Journal of Numerical Analysis, Volume 29, Number 2, 20 April 2009 , pp. 421-443(23)

Publisher: Oxford University Press

Pricing of Swing Options in a Mean Reverting Model with Jumps

Author: Kjaer, Mats

Source: Applied Mathematical Finance, Volume 15, Numbers 5-6, 2008 , pp. 479-502(24)

Publisher: Routledge, part of the Taylor & Francis Group

Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing

Authors: Zapranis, A.; Alexandridis, A.

Source: Applied Mathematical Finance, Volume 15, Number 4, August 2008 , pp. 355-386(32)

Publisher: Routledge, part of the Taylor & Francis Group

Exit Times and Poisson Kernels of the Ornstein-Uhlenbeck Diffusion

Authors: Graczyk, P.; Jakubowski, T.

Source: Stochastic Models, Volume 24, Number 2, April 2008 , pp. 314-337(24)

Publisher: Taylor and Francis Ltd

Ergodicity and Parameter Estimates for Infinite-Dimensional Fractional Ornstein-Uhlenbeck Process

Authors: Maslowski, Bohdan; Pospíšil, Jan

Source: Applied Mathematics and Optimization, Volume 57, Number 3, June 2008 , pp. 401-429(29)

Publisher: Springer

Solutions of affine stochastic functional differential equations in the state space

Author: Riedle, Markus

Source: Journal of Evolution Equations, Volume 8, Number 1, March 2008 , pp. 71-97(27)

Publisher: Springer

Gaussian Stationary Processes: Adaptive Wavelet Decompositions, Discrete Approximations, and Their Convergence

Authors: Didier, Gustavo; Pipiras, Vladas

Source: Journal of Fourier Analysis and Applications, Volume 14, Number 2, April 2008 , pp. 203-234(32)

Publisher: Springer

The Ornstein-Uhlenbeck Equation and a Related Malliavin Calculus

Author: Lanconelli, Alberto

Source: Mediterranean Journal of Mathematics, Volume 4, Number 2, July 2007 , pp. 151-161(11)

Publisher: Springer

Randomness and variability of the neuronal activity described by the Ornstein-Uhlenbeck model

Authors: Kostal, Lubomir; Lansky, Petr; Zucca, Cristina

Source: Network: Computation in Neural Systems, Volume 18, Number 1, 2007 , pp. 63-75(13)

Publisher: Informa Healthcare

Instrumental Variable Estimation for Linear Stochastic Differential Equations Driven by Fractional Brownian Motion

Author: Rao, B. L. S. Prakasa

Source: Stochastic Analysis and Applications, Volume 25, Number 6, November 2007 , pp. 1203-1215(13)

Publisher: Taylor and Francis Ltd

A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

Authors: Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo

Source: Applied Mathematical Finance, Volume 14, Number 2, May 2007 , pp. 153-169(17)

Publisher: Routledge, part of the Taylor & Francis Group

Short and Long Memory Fractional Ornstein-Uhlenbeck α-Stable Processes

Author: Magdziarz, Marcin

Source: Stochastic Models, Volume 23, Number 3, July 2007 , pp. 451-473(23)

Publisher: Taylor and Francis Ltd

Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem

Authors: Maejima, Makoto; Tudor, Ciprian A.

Source: Stochastic Analysis and Applications, Volume 25, Number 5, September 2007 , pp. 1043-1056(14)

Publisher: Taylor and Francis Ltd

Effect of correlated temperature fluctuations on the phase dynamics in an ultrathin lubricant film

Author: Khomenko, A.

Source: Technical Physics, Volume 52, Number 3, March 2007 , pp. 320-327(8)

Publisher: MAIK Nauka/Interperiodica

Estimation for queues from queue length data

Authors: Ross, J.; Taimre, T.; Pollett, P.

Source: Queueing Systems, Volume 55, Number 2, February 2007 , pp. 131-138(8)

Publisher: Springer

Asymptotic normality of a discrete procedure of stochastic approximation in a semi-Markov medium

Author: Chabanyuk, Ya.

Source: Ukrainian Mathematical Journal, Volume 58, Number 10, October 2006 , pp. 1616-1625(10)

Publisher: Springer

Infinite horizon BSDEs in infinite dimensions with continuous driver and applications

Authors: Fuhrman, Marco; Hu, Ying

Source: Journal of Evolution Equations, Volume 6, Number 3, August 2006 , pp. 459-484(26)

Publisher: Springer