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  • Search: subject:"Branching Process"
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Year of publication
Subject
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Branching process 25 branching process 9 Stochastischer Prozess 6 Markov chain 5 Stochastic process 5 Theorie 5 Theory 5 Markov-Kette 4 Coalescent point process 3 Immigration 3 Multi-type branching process 3 Polymerase chain reaction 3 Verzweigungsprozess 3 estimation of the mutation rate 3 lack of PCR accuracy 3 Allelic partition 2 Avalanche 2 Branching Process with Immigration 2 Branching process in random environment 2 Cascading failure 2 Central limit theorem 2 Consistency 2 Crump–Mode–Jagers process 2 Infinite alleles model 2 Linear birth–death process 2 Lévy process 2 Metabolic network 2 Option pricing theory 2 Optionspreistheorie 2 Power law 2 Random environment 2 Renormalization group 2 Scale function 2 Scale-free network 2 Splitting tree 2 Volatility 2 Volatilität 2 Yield curve 2 Zinsstruktur 2 affine process 2
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Online availability
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Undetermined 47 Free 10 CC license 1
Type of publication
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Article 46 Book / Working Paper 15
Type of publication (narrower categories)
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Working Paper 8 Arbeitspapier 6 Graue Literatur 6 Non-commercial literature 6 Article in journal 4 Aufsatz in Zeitschrift 4 research-article 2 review-article 1
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Language
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Undetermined 41 English 19 German 1
Author
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Brunnert, Marcus 3 Fontana, Claudio 3 Gnoatto, Alessandro 3 Müller, Oliver 3 Szulda, Guillaume 3 Urfer, Wolfgang 3 Akutsu, Tatsuya 2 Champagnat, Nicolas 2 Goh, K.-I. 2 Kahng, B. 2 Kim, D. 2 Lambert, Amaury 2 Lee, D.-S. 2 Rahimov, Ibrahim 2 Takemoto, Kazuhiro 2 Tamura, Takeyuki 2 Abraham, Romain 1 Afanasyev, Valeriy Ivanovich 1 Alupoaiei, Alexie 1 Athreya, Krishna B. 1 Ausloos, M. 1 Bazant, Martin Z. 1 Beznea, Lucian 1 Borst, Sem 1 Boxma, Onno 1 Broberg, Per 1 Bulinskaya, Ekaterina Vladimirovna 1 Bálint, Csaba 1 Böinghoff, Christian 1 Chen, Xinxin 1 Ching, Wai-Ki 1 Comets, Francis 1 Cong, Yang 1 De Blasi, Pierpaolo 1 De Luca, Andrea 1 Deaconu, Madalina 1 Delmas, Jean-François 1 Deshmukh, S.R. 1 Deshmukh, Shailaja 1 Donnet, Sophie 1
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Institution
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Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Université Paris-Dauphine (Paris IX) 1
Published in...
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Stochastic Processes and their Applications 14 Physica A: Statistical Mechanics and its Applications 8 Statistics & Probability Letters 6 Stochastics and Quality Control 3 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 3 Annals of the Institute of Statistical Mathematics 2 Grundlehren der mathematischen Wissenschaften 2 Metrika 2 Working paper series 2 Carlo Alberto notebooks 1 Computational Statistics & Data Analysis 1 Discussion Paper 1 Economics Papers from University Paris Dauphine 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 Journal of empirical finance 1 Mathematics and Computers in Simulation (MATCOM) 1 Mathematics and financial economics 1 Mathematics of operations research 1 Occasional papers / National Bank of Romania 1 Research paper series / Swiss Finance Institute 1 Statistical Applications in Genetics and Molecular Biology 1 Swiss Finance Institute Research Paper 1 Technical Report 1 Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 1 Top : transactions in operations research 1
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Source
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RePEc 41 ECONIS (ZBW) 12 USB Cologne (EcoSocSci) 3 Other ZBW resources 3 EconStor 2
Showing 11 - 20 of 61
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Multiple yield curve modelling with CBI processes
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume - In: Mathematics and financial economics 15 (2021) 3, pp. 579-610
Persistent link: https://www.econbiz.de/10012586190
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Combining a self-exciting point process with the truncated generalized Pareto distribution : an extreme risk analysis under price limits
Ji, Jingru; Wang, Donghua; Xu, Dinghai; Xu, Chi - In: Journal of empirical finance 57 (2020), pp. 52-70
Persistent link: https://www.econbiz.de/10012430436
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Estimation of the Hawkes process with renewal immigration using the EM algorithm
Wheatley, Spencer; Filimonov, Vladimir; Sornette, Didier - 2014
We introduce the <I>Hawkes process with renewal immigration</I> and make its statistical estimation possible with two <I>Expectation Maximization</I> (EM) algorithms. The standard <I>Hawkes process</I> introduces <I>immigrant points</I> via a Poisson process, and each immigrant has a subsequent cluster of associated...</i></i></i></i>
Persistent link: https://www.econbiz.de/10010443032
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Polling : past, present, and perspective
Borst, Sem; Boxma, Onno - In: Top : transactions in operations research 26 (2018) 3, pp. 335-369
Persistent link: https://www.econbiz.de/10011929197
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Second order branching process with continuous state space
Kashikar, Akanksha S.; Deshmukh, S.R. - In: Statistics & Probability Letters 82 (2012) 11, pp. 1930-1934
We study an extension of a branching process with continuous state space to account for higher order dependence …
Persistent link: https://www.econbiz.de/10010593930
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BARRIER OPTION PRICING BY BRANCHING PROCESSES
MITOV, GEORGI K.; RACHEV, SVETLOZAR T.; KIM, YOUNG SHIN; … - In: International Journal of Theoretical and Applied … 12 (2009) 07, pp. 1055-1073
This paper examines the pricing of barrier options when the price of the underlying asset is modeled by a branching … process in a random environment (BPRE). We derive an analytical formula for the price of an up-and-out call option, one form …
Persistent link: https://www.econbiz.de/10008468968
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Branching processes for the fragmentation equation
Beznea, Lucian; Deaconu, Madalina; Lupaşcu, Oana - In: Stochastic Processes and their Applications 125 (2015) 5, pp. 1861-1885
solution of the initial fragmentation equation for the mass distribution, we construct a branching process corresponding to a … rate of loss of mass greater than a given strictly positive threshold d. It turns out that this branching process takes …
Persistent link: https://www.econbiz.de/10011209768
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Rate of convergence in the law of large numbers for supercritical general multi-type branching processes
Iksanov, Alexander; Meiners, Matthias - In: Stochastic Processes and their Applications 125 (2015) 2, pp. 708-738
We provide sufficient conditions for polynomial rate of convergence in the weak law of large numbers for supercritical general indecomposable multi-type branching processes. The main result is derived by investigating the embedded single-type process composed of all individuals having the same...
Persistent link: https://www.econbiz.de/10011194120
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Pruning of CRT-sub-trees
Abraham, Romain; Delmas, Jean-François; He, Hui - In: Stochastic Processes and their Applications 125 (2015) 4, pp. 1569-1604
We study the pruning process developed by Abraham and Delmas (2012) on the discrete Galton–Watson sub-trees of the Lévy tree which are obtained by considering the minimal sub-tree connecting the root and leaves chosen uniformly at rate λ, see Duquesne and Le Gall (2002). The tree-valued...
Persistent link: https://www.econbiz.de/10011194138
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Bayesian Inference for Partially Observed Branching Processes
Rousseau, Judith; Donnet, Sophie - Université Paris-Dauphine (Paris IX) - 2015
Poisson processes are used in various application fields applications (public health biology, reliability and so on). In their homogeneous version, the intensity process is a deterministic constant. In their inhomogeneous version, it depends on time. To allow for an endogenous evolution of the...
Persistent link: https://www.econbiz.de/10011228177
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