Discrete-Time Approximation of Functionals in Models of Ornstein–Uhlenbeck Type, with Applications to Finance (English)
- New search for: Schröder, Michael
- New search for: Schröder, Michael
In:
Methodology and Computing in Applied Probability
;
17
, 2
; 285-313
;
2013
-
ISSN:
- Article (Journal) / Print
-
Title:Discrete-Time Approximation of Functionals in Models of Ornstein–Uhlenbeck Type, with Applications to Finance
-
Contributors:Schröder, Michael ( author )
-
Published in:Methodology and Computing in Applied Probability ; 17, 2 ; 285-313
-
Publisher:
- New search for: Springer US
- New search for: Springer
-
Place of publication:Heidelberg [u.a.]
-
Publication date:2013
-
ISSN:
-
ZDBID:
-
DOI:
-
Type of media:Article (Journal)
-
Type of material:Print
-
Language:English
- New search for: 31.70 / 31.70$jWahrscheinlichkeitsrechnung / 31.80$jAngewandte Mathematik / 31.80
- Further information on Basic classification
-
Keywords:
-
Classification:
BKL: 31.70 Wahrscheinlichkeitsrechnung / 31.70$jWahrscheinlichkeitsrechnung / 31.80$jAngewandte Mathematik / 31.80 Angewandte Mathematik -
Source:
Table of contents – Volume 17, Issue 2
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 251
-
The Perturbed Sparre Andersen Model with Interest and a Threshold Dividend StrategyWang, Wei et al. | 2013
- 285
-
Discrete-Time Approximation of Functionals in Models of Ornstein–Uhlenbeck Type, with Applications to FinanceSchröder, Michael et al. | 2013
- 315
-
Gradient Free Parameter Estimation for Hidden Markov Models with Intractable LikelihoodsEhrlich, Elena / Jasra, Ajay / Kantas, Nikolas et al. | 2013
- 351
-
First and Last Passage Times of Spectrally Positive Lévy Processes with Application to ReliabilityParoissin, Christian / Rabehasaina, Landy et al. | 2013
- 373
-
Sequential Maximum Likelihood Estimation for the Hyperbolic Diffusion ProcessKuang, Nenghui / Xie, Huantian et al. | 2013
- 383
-
Large Deviation Approaches for the Numerical Computation of the Hitting Probability for Gaussian ProcessesCaramellino, Lucia / Pacchiarotti, Barbara / Salvadei, Simone et al. | 2013
- 403
-
Analysis on a Stochastic Two-Species Ratio-Dependent Predator-Prey ModelLv, Jingliang / Wang, Ke / Chen, Dongdong et al. | 2013
- 419
-
Asymptotic Normality for Inference on Multisample, High-Dimensional Mean Vectors Under Mild ConditionsAoshima, Makoto / Yata, Kazuyoshi et al. | 2015
- 441
-
Error Rates and Improved Algorithms for Rare Event Simulation with Heavy Weibull TailsAsmussen, Søren / Kortschak, Dominik et al. | 2013
- 463
-
Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed ClaimsLi, Xiaohu / Wu, Jintang / Zhuang, Jinsen et al. | 2013
- 479
-
Detection of Significant Genomic Alterations via Simultaneous Minimal Sojourns at a State by Independent Continuous-time Markov ChainsRobin, Stéphane / Stefanov, Valeri T. et al. | 2013
- 489
-
On the Distribution of the Length of the Longest Increasing Subsequence in a Random PermutationFu, James C. / Hsieh, Yu-Fei et al. | 2013
- 497
-
On the Integrated Tail of the Deficit in the Renewal Risk ModelPsarrakos, Georgios et al. | 2013
- 515
-
Remarks on the Stable S α (β,γ,μ) DistributionPogány, Tibor K. / Nadarajah, Saralees et al. | 2014