EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Occupation times"
Narrow search

Narrow search

Year of publication
Subject
All
Occupation times 5 Stochastic process 4 Stochastischer Prozess 4 occupation times 4 Markov additive process 3 Option pricing theory 3 Optionspreistheorie 3 Poissonian observation 3 level-crossing probabilities 3 ruin probability 3 Theorie 2 Theory 2 60G52 Occupation times Arc-sine law Lamperti laws Brox model Random environments Feller generator Functional limit theorem 1 60J55 secondary 1 Cauchy–Stieltjes transform 1 Cifarelli–Regazzini identity 1 Derivat 1 Derivative 1 Exact simulation 1 Expected time analysis 1 Exponential spectrally negative Lévy processes 1 Fluctuation theory 1 Functionals of random probability measures 1 Generalized two-barrier occupation times 1 Generalized two-barrier proportional step options 1 Lamperti’s distribution 1 Laplace transform 1 Lévy insurance risk processes 1 Lévy processes 1 Markov chain 1 Markov-Kette 1 Monte Carlo methods 1 Option trading 1 Optionsgeschäft 1 Parisian ruin 1 Path-dependent options 1 Poisson process Occupation times Association 1 Portfolio selection 1 Portfolio-Management 1 Primary 65C10 1
more ... less ...
Online availability
All
Undetermined 9 Free 2
Type of publication
All
Article 11 Book / Working Paper 1
Type of publication (narrower categories)
All
Article in journal 5 Aufsatz in Zeitschrift 5 Article 1
Language
All
English 7 Undetermined 5
Author
All
Albrecher, Hansjörg 3 Ivanovs, Jevgenijs 3 Renaud, Jean-François 2 Aoudia, Djilali Ait 1 Devroye, Luc 1 James, Lancelot 1 James, Lancelot F. 1 Kasahara, Yuji 1 Khoshnevisan, Davar 1 Lewis, Thomas M. 1 Li, Xin 1 Lijoi, Antonio 1 Lkabous, Mohamed Amine 1 Loeffen, Ronnie L. 1 Prünster, Igor 1 Watanabe, Shinzo 1 Wu, Lan 1 Zhang, Xiao 1 Zhou, Xiaowen 1
more ... less ...
Institution
All
International Centre for Economic Research (ICER) 1
Published in...
All
Stochastic Processes and their Applications 3 Risks 2 Applied mathematical finance 1 Finance research letters 1 ICER Working Papers - Applied Mathematics Series 1 International journal of financial engineering 1 Risks : open access journal 1 Scandinavian actuarial journal 1 Statistical Methods and Applications 1
more ... less ...
Source
All
RePEc 6 ECONIS (ZBW) 5 EconStor 1
Showing 11 - 12 of 12
Cover Image
Distributions of Functionals of the two Parameter Poisson-Dirichlet Process
James, Lancelot F.; Lijoi, Antonio; Prünster, Igor - International Centre for Economic Research (ICER) - 2006
The present paper provides exact expressions for the probability distribution of linear functionals of the two–parameter Poisson–Dirichlet process. Distributional results that follow from the application of an inversion formula for a (generalized) Cauchy–Stieltjes transform are achieved....
Persistent link: https://www.econbiz.de/10004972506
Saved in:
Cover Image
The favorite point of a Poisson process
Khoshnevisan, Davar; Lewis, Thomas M. - In: Stochastic Processes and their Applications 57 (1995) 1, pp. 19-38
In this paper we consider the most visited site, Xt, of a Poisson process up to time t. Our point of departure from the literature on maximal spacings is our asymptotic analysis of where the maximal spacing occurs (i.e., the size of Xt) and not the size of the spacings.
Persistent link: https://www.econbiz.de/10008875033
Saved in:
  • First
  • Prev
  • 1
  • 2
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...