Burnecki, Z. Palmowski, M.

Palmowski, J. Krawiec, Z. Palmowski, L. De Donno, Z. Stettner, A.

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## Matrix-Analytic Methods in Stochastic Models | Guy Latouche | Springer

Wang On the exact asymptotics of exit time from a cone of a isotropic alpha-self-similar Markov process with a skew-product structure, Report Bhattacharya, K. Maulik, Z. Palmowski, P. Czarna, Y. Li, Z.

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Palmowski, C. Zhao Optimal Parisian-type dividends payments discounted by the number of claims for the perturbed classical risk process, Submitted for publication Azcue, N. Muler, Z. Palmowski Optimal dividend payments for a two-dimensional insurance risk process, Submitted for publication Borovkov, Z. Zhao, C. Ramsden, A. Papaioannou Parisian ruin for the dual risk process in discrete-time, European Actuarial Journal Bogdan, Z.

Wang Yaglom limit for stable processes in cones, Electronic Journal of Probability 23 11 , 1â€” Loeffen, Z. Palmowski, B. Liang, Z. Palmowski A note on optimal expected utility of dividend payments with proportional reinsurance, Scandinavian Actuarial Journal Marciniak, Z. Foss, D. Korshunov, Z. Palmowski, T. Rolski Two-dimensional ruin probability for subexponential claim size, Probability and Mathematical Statistics 37 2 , Kapodistria, Z. Palmowski Matrix geometric approach for random walks: stability condition and equilibrium distribution, Stochastic Models 33 4 , Baran, Z.

Czarna, Z.

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Tumilewicz Insurance drawdowns-type contracts for a phase-type risk process perturbed by Brownian motion, Silesian Statistical Review 15 21 , Baurdoux, Z. Zhao The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model, Journal of Computational and Applied Mathematics , Swiatek Discrete time ruin probability with Parisian delay, Scandinavian Actuarial Journal 10 , Constantinescu, S.

Dai, W. Ni, Z. Palmowski Ruin probabilities with dependence on the number of claims within a fixed time window, Risks 4 2 Palmowski A matrix geometric approach for random walks in the quadrant, Proceedings of the Ninth International Conference on Matrix-Analytic Methods in Stochastic Models , Palmowski On the optimal dividend problem for insurance risk models with surplus-dependent premiums, Journal of Optimization Theory and Applications , Michna, Z.

Avram, Z. Vlasiou, Z.

Klusik, Z. O'Reilly, Z. Palmowski Loss rate for stochastic fluid models, Performance Evaluation 70 9 , Basrak, R. Kulik, Z. Palmowski Heavy tailed branching process with immigration, Stochastic models Albrecher, C. Constantinescu, Z. Generalized Bell polynomials and the combinatorics of Poisson central moments. Electronic Journal of Combinatorics 18 , Paper Random Hermite polynomials and Girsanov identities on the Wiener space. Theory of Stochastic Processes 16 Zambrini Stochastic deformation of integrable dynamical systems and random time symmetry. Journal of Mathematical Physics 51 Covariance identities and mixing of random transformations on the Wiener space.

Communications on Stochastic Analysis 4 Pintoux A direct solution to the Fokker-Planck equation for exponential Brownian functionals. Analysis and Applications 8 David Numerical computation of Theta in a jump-diffusion model by integration by parts. Quantitative Finance 9 Loisel Sensitivity analysis and density estimation for finite-time ruin probabilities. Journal of Computational and Applied Mathematics Moment identities for Skorohod integrals on the Wiener space and applications.

Electronic Communications in Probability 14 Statistical Inference for Stochastic Processes 12 Moment identities for Poisson-Skorohod integrals and application to measure invariance.

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A probabilistic interpretation to the symmetries of a discrete heat equation. Arnaudon and J. Breton Convex ordering for random vectors using predictable representation. Potential Analysis 29 Annals of Statistics 36 Breton Bounds on option prices in point process diffusion models.

International Journal of Theoretical and Applied Finance 11 Wei Integration by parts for point processes and Monte Carlo estimation.

Journal of Applied Probability 44 Breton Convex comparison inequalities for exponential jump-diffusion processes. Communications on Stochastic Analysis 1 Breton and C. Acta Applicandae Mathematicae 95 Klein and Y. Ma Convex concentration inequalities and forward-backward stochastic calculus. Electronic Journal of Probability 11 Zhang Deviation inequalities and the law of iterated logarithm on the path space over a loop group. Stochastics 77 Zambrini Euclidean quantum mechanics in the momentum representation.

Journal of Mathematical Physics 46 Franz and R. Schott Non-Gaussian Malliavin calculus on real Lie algebras.

## Stochastic process

Wei A Malliavin calculus approach to sensitivity analysis in insurance. Insurance: Mathematics and Economics 35 Zambrini Markovian bridges and reversible diffusions with jumps. Joulin Functional inequalities for discrete gradients and applications to the geometric distribution. El Khatib Computations of Greeks in a market with jumps via the Malliavin calculus. Ouerdiane Asymptotic estimates for white noise distributions. El Khatib Hedging in complete markets driven by normal martingales. Applicationes Mathematicae 30 Gao Clark formula and logarithmic Sobolev inequalities for Bernoulli measures.

Mensi Conditional calculus and enlargement of filtration on Poisson space. Stochastic Analysis and Applications 21 Schott Smoothness of Wigner densities on the affine algebra. Bernoulli 8 Distribution-valued iterated gradient and chaotic decompositions of Poisson jump times functionals. Schoutens Discrete chaotic calculus and covariance identities.