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Decomposition in multistage stochastic programs with individual probability constraints

Kaňková, Vlasta - In: Operations research proceedings 2005 : selected papers …, (pp. 793-798). 2006

Persistent link: https://www.econbiz.de/10003356127

The distribution of continuous time rank processes

Fujita, Takahiko; Miura, Ryozo - In: Advances in mathematical economics 9 (2006), pp. 25-32

Persistent link: https://www.econbiz.de/10003331351

Probabilistic properties of stochastic volatility models

Davis, Richard A.; Mikosch, Thomas - In: Handbook of financial time series, (pp. 255-267). 2009

Persistent link: https://www.econbiz.de/10003833954

Reflected Brownian motion in the quadrant : tail behavior of the stationary distribution

Harrison, J. Michael; Hasenbein, John J. - In: Queueing systems : theory and applications ; affiliated … 61 (2009) 2/3, pp. 113-138

Persistent link: https://www.econbiz.de/10003837721

The maximum entropy distribution for stochastically ordered random variables with fixed marginals

Kiefer, Nicholas M. (contributor) - 2009

Stochastically ordered random variables with given marginal distributions are combined into a joint distribution preserving the ordering and the marginals using a maximum entropy formulation. A closed-form expression is obtained. An application is in default estimation for different portfolio...