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Stochastic process
Large deviations
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Mathematics of operations research
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ECONIS (ZBW)
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Stationary waiting time in parallel queues with synchronization
Olvera-Cravioto, Mariana
;
Lacedelli, Octavio Ruiz
- In:
Mathematics of operations research
46
(
2021
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012498080
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2
Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 931-965
Persistent link: https://www.econbiz.de/10011944457
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3
A pareto dominance principle for data-driven optimization
Sutter, Tobias
;
Parys, Bart P. G. van
;
Kuhn, Daniel
- In:
Operations research
72
(
2024
)
5
,
pp. 1976-1999
Persistent link: https://www.econbiz.de/10015361762
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4
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
Saved in:
5
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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6
Markovian stochastic volatility with stochastic correlation : joint calibration and consistency of SPX/VIX short-maturity smiles
Forde, Martin
;
Smith, Benjamin
- In:
International journal of theoretical and applied …
26
(
2023
)
2/3
,
pp. 1-42
Persistent link: https://www.econbiz.de/10014365673
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7
A probabilistic approach to growth networks
Jelenković, Predrag
;
Kondev, Jane
;
Mohapatra, Lishibanya
; …
- In:
Operations research
70
(
2022
)
6
,
pp. 3386-3402
Persistent link: https://www.econbiz.de/10014307835
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8
Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Operations research letters
51
(
2023
)
3
,
pp. 346-352
Persistent link: https://www.econbiz.de/10014374962
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9
Short-maturity asymptotics for option prices with interest rate effects
Pirjol, Dan
;
Zhu, Lingjiong
- In:
International journal of theoretical and applied …
26
(
2023
)
6/7
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014500189
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10
Large deviations and stochastic stability in the small noise double limit
Sandholm, William H.
;
Staudigl, Mathias
- In:
Theoretical economics : TE ; journal of the Econometric …
11
(
2016
)
1
,
pp. 279-355
Persistent link: https://www.econbiz.de/10011486359
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