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Maximums on trees
Jelenković, Predrag R.; Olvera-Cravioto, Mariana - In: Stochastic Processes and their Applications 125 (2015) 1, pp. 217-232
We study the minimal/endogenous solution R to the maximum recursion on weighted branching trees given by R=D(⋁i=1NCiRi)∨Q, where (Q,N,C1,C2,…) is a random vector with N∈N∪{∞}, P(|Q|0)0 and nonnegative weights {Ci}, and {Ri}i∈N is a sequence of i.i.d. copies of R independent of...
Persistent link: https://www.econbiz.de/10011077904
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Large deviations for the stochastic present value of aggregate claims in the renewal risk model
Jiang, Tao; Cui, Sheng; Ming, Ruixing - In: Statistics & Probability Letters 101 (2015) C, pp. 83-91
In insurance, if the insurer continuously invests her wealth in risk-free and risky assets, then the price process of the investment portfolio can be described as a geometric Lévy process. People always are interested in estimating the tail distribution of the stochastic present value of...
Persistent link: https://www.econbiz.de/10011263148
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Large deviations for the extended Heston model : the large-time case
Jacquier, Antoine; Mijatovi´c, Aleksandar - In: Asia-Pacific financial markets 21 (2014) 3, pp. 263-280
Persistent link: https://www.econbiz.de/10010511579
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Learning, large deviations and rare events
Benhabib, Jess; Dave, Chetan - In: Review of economic dynamics 17 (2014) 3, pp. 367-382
Persistent link: https://www.econbiz.de/10011280982
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Exact multivariate workload asymptotics
Es-Saghouani, A.; Mandjes, Michel - In: Mathematical methods of operations research 78 (2013) 3, pp. 405-415
Persistent link: https://www.econbiz.de/10010227444
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Asymptotics of the area under the graph of a Lévy-driven workload process
Blanchet, J.; Mandjes, Michel - In: Operations research letters 41 (2013) 6, pp. 730-736
Persistent link: https://www.econbiz.de/10010236009
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An escape time interpretation of robust control
Cho, In-Koo; Kasa, Kenneth - In: Journal of economic dynamics & control 42 (2014), pp. 1-12
Persistent link: https://www.econbiz.de/10010426626
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Recursive preferences, learning and large deviations
Dave, Chetan; Tsang, Kwok Ping - In: Economics letters 124 (2014) 3, pp. 329-334
Persistent link: https://www.econbiz.de/10010493978
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Asymptotics for volatility derivatives in multi-factor rough volatility models
Lacombe, Chloe; Muguruza, Aitor; Stone, Henry - In: Mathematics and financial economics 15 (2021) 3, pp. 545-577
Persistent link: https://www.econbiz.de/10012586188
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Minimization of a class of rare event probabilities and buffered probabilities of exceedance
Budhiraja, Amarjit; Lu, Shu; Yu, Yang; Tran-Dinh, Quoc - 2021
Persistent link: https://www.econbiz.de/10012605874