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  • Search: subject:"Diffusion approximation"
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Year of publication
Subject
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Diffusion approximation 23 diffusion approximation 20 Stochastic process 15 Stochastischer Prozess 15 Theorie 11 Theory 11 Risiko 8 Risk 8 Risikomodell 7 Risk model 7 Probability theory 6 Wahrscheinlichkeitsrechnung 6 Estimation theory 5 Markov chain 5 Mathematical programming 5 Mathematische Optimierung 5 Reinsurance 5 Schätztheorie 5 Actuarial mathematics 4 Markov-Kette 4 Portfolio selection 4 Portfolio-Management 4 Ruin probability 4 Rückversicherung 4 Versicherungsmathematik 4 Diffusion Approximation 3 European option 3 Game theory 3 Hawkes process 3 Insurance 3 Martingale limit theorem 3 Probability of ruin 3 Spieltheorie 3 Stochastic differential game 3 Versicherung 3 Black-Scholes formula 2 Brownian motion 2 Börsenkurs 2 Common shock model 2 Control theory 2
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Online availability
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Undetermined 30 Free 12 CC license 3
Type of publication
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Article 41 Book / Working Paper 8
Type of publication (narrower categories)
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Article in journal 24 Aufsatz in Zeitschrift 24 Arbeitspapier 1 Article 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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Language
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English 30 Undetermined 19
Author
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Young, Virginia R. 5 Sviščuk, Anatolij 4 Cohen, Asaf 3 Kabanov, Yuri 3 Bai, Lihua 2 Beggs, Alan 2 Burnecki, Krzysztof 2 Cai, Jun 2 Cont, Rama 2 Dai, J. 2 Harrison, J. 2 Liang, Xiaoqing 2 Lin, Xiang 2 Lépinette-Denis, Emmanuel 2 Siu, Tak 2 Zhang, Chunhong 2 Zhou, Ming 2 Aghajani, Reza 1 Anisimov, Vladimir 1 Asmussen, Søren 1 Bayraktar, Erhan 1 Braverman, Anton 1 Cao, Jingyi 1 Cecchin, Alekos 1 Cerrato, Mario 1 Chechelnitski, Alexander 1 Christensen, Bent Jesper 1 Chávez Casillas, Jonathan A. 1 Contreras, Ana Roldan 1 Costa, Manon 1 Dai, J. G. 1 Delarue, François 1 Denis, Emmanuel 1 Fang, Xiao 1 Gadat, Sébastien 1 Hambly, Ben 1 Huang, Junfei 1 Jeantheau, Thierry 1 Kaniovski, Yuri M. 1 Kimura, Toshikazu 1
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Institution
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Department of Economics, Adam Smith Business School 1 Department of Economics, Oxford University 1 HAL 1 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 1 Santa Fe Institute 1 Université Paris-Dauphine 1 Université Paris-Dauphine (Paris IX) 1
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Published in...
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Insurance / Mathematics & economics 7 Mathematics of operations research 4 Risks : open access journal 3 Computational Statistics 2 Finance and Stochastics 2 Insurance: Mathematics and Economics 2 Mathematical Methods of Operations Research 2 Scandinavian actuarial journal 2 TOP: An Official Journal of the Spanish Society of Statistics and Operations Research 2 Computational economics 1 Dynamic games and applications : DGA 1 Economic Theory 1 Economics Papers from University Paris Dauphine 1 Economics Series Working Papers / Department of Economics, Oxford University 1 HSC Research Reports 1 International journal of production research 1 International journal of theoretical and applied finance 1 Journal of Evolutionary Economics 1 Management Science 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1 Manufacturing & Service Operations Management 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Natural Hazards 1 Open Access publications from Université Paris-Dauphine 1 Operations research 1 Opsearch : journal of the Operational Research Society of India 1 Risks 1 Stochastic Processes and their Applications 1 Working Papers / Department of Economics, Adam Smith Business School 1 Working Papers / HAL 1 Working Papers / Santa Fe Institute 1 Working papers / TSE : WP 1
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Source
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ECONIS (ZBW) 25 RePEc 23 EconStor 1
Showing 31 - 40 of 49
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Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
Bai, Lihua; Cai, Jun; Zhou, Ming - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 664-670
martingale central limit theorem, we first derive a two-dimensional diffusion approximation to the two-dimensional compound …
Persistent link: https://www.econbiz.de/10010719110
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First exit times and diffusion approximations for storage models with Poisson inputs, Poisson outputs and deterministic release rule
Vittal, P. R.; Venkateswaran, M.; Reddy, P. R. S. - In: Opsearch : journal of the Operational Research Society … 50 (2013) 4, pp. 566-581
Persistent link: https://www.econbiz.de/10010234226
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Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
Bai, Lihua; Cai, Jun; Zhou, Ming - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 664-670
Persistent link: https://www.econbiz.de/10010227909
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Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Lin, Xiang; Zhang, Chunhong; Siu, Tak - In: Computational Statistics 75 (2012) 1, pp. 83-100
-diffusion risk process and its diffusion approximation for the case of an exponential utility. Copyright Springer-Verlag 2012 …
Persistent link: https://www.econbiz.de/10010759576
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Reflecting Brownian motion in three dimensions: a new proof of sufficient conditions for positive recurrence
Dai, J.; Harrison, J. - In: Computational Statistics 75 (2012) 2, pp. 135-147
Let Z = {Z(t), t ≥ 0} be a semimartingale reflecting Brownian motion that lives in the three-dimensional non-negative orthant. A 2002 paper by El Kharroubi, Ben Tahar and Yaacoubi gave sufficient conditions for positive recurrence of Z. Recently Bramson, Dai and Harrison have shown that...
Persistent link: https://www.econbiz.de/10010847549
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Reflecting Brownian motion in three dimensions: a new proof of sufficient conditions for positive recurrence
Dai, J.; Harrison, J. - In: Mathematical Methods of Operations Research 75 (2012) 2, pp. 135-147
Let Z = {Z(t), t ≥ 0} be a semimartingale reflecting Brownian motion that lives in the three-dimensional non-negative orthant. A <CitationRef CitationID="CR7">2002</CitationRef> paper by El Kharroubi, Ben Tahar and Yaacoubi gave sufficient conditions for positive recurrence of Z. Recently Bramson, Dai and Harrison have shown that...</citationref>
Persistent link: https://www.econbiz.de/10010999600
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Cover Image
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Lin, Xiang; Zhang, Chunhong; Siu, Tak - In: Mathematical Methods of Operations Research 75 (2012) 1, pp. 83-100
-diffusion risk process and its diffusion approximation for the case of an exponential utility. Copyright Springer-Verlag 2012 …
Persistent link: https://www.econbiz.de/10010999992
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Minimal cost of a Brownian risk without ruin
Luo, Shangzhen; Taksar, Michael - In: Insurance: Mathematics and Economics 51 (2012) 3, pp. 685-693
by a Brownian motion with drift (the diffusion approximation model). The company can purchase reinsurance to lower its …
Persistent link: https://www.econbiz.de/10010594534
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Mean square error for the Leland–Lott hedging strategy: convex pay-offs
Denis, Emmanuel; Kabanov, Yuri - In: Finance and Stochastics 14 (2010) 4, pp. 625-667
Persistent link: https://www.econbiz.de/10008775835
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Stochastic Evolution with Slow Learning
Beggs, Alan - Department of Economics, Oxford University - 2000
This paper studies the extent to which diffusion approximations provide a reliable guide to equilibrium selection results in finite games. It is shown that they do for a class of finite games with weak learning provided that limits are taken in a certain order. The paper also shows that making...
Persistent link: https://www.econbiz.de/10010604827
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