Search Results - subject:"Diffusion process"

Investment timing and capacity choice in duopolistic competition under a jump-diffusion model

Wu, Xiaoqin; Hu, Zhijun - In: Mathematics and financial economics 16 (2022) 1, pp. 125-152

Persistent link: https://www.econbiz.de/10013167720

Hierarchical Markov model in life insurance and social benefit schemes

Jang, Jiwook; Ramli, Siti Norafidah Mohd - In: Risks 6 (2018) 3, pp. 1-17

We explored the effect of the jump-diffusion process on a social benefit scheme consisting of life insurance …. Assuming independent state-wise intensities taking the form of a jump-diffusion process and deterministic interest rates, we …

Persistent link: https://www.econbiz.de/10011996625

Hierarchical Markov model in life insurance and social benefit schemes

Jang, Jiwook; Ramli, Siti Norafidah Mohd - In: Risks : open access journal 6 (2018) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10011867488

Pricing Asian options with correlators

Lavagnini, Silvia - In: International journal of theoretical and applied finance 24 (2021) 8, pp. 1-44

Persistent link: https://www.econbiz.de/10012887425

Ergodic inventory control with diffusion demand and general ordering costs

Wei, Bo; Yao, Dacheng - In: Operations research letters 49 (2021) 4, pp. 578-585

Persistent link: https://www.econbiz.de/10012649043

Foreign currency power option pricing based on Esscher transform

Li, Wenhan; Li, Cuixiang; Liu, Lixia; Wang, Mengna - In: Computational economics 58 (2021) 2, pp. 535-548

Persistent link: https://www.econbiz.de/10012615075

Diffusion copulas : identification and estimation

Bu, Ruijun; Hadri, Kaddour; Kristensen, Dennis - In: Journal of econometrics 221 (2021) 2, pp. 616-643

Persistent link: https://www.econbiz.de/10012619252

The race for online reputation : implications for platforms, firms, and consumers

Yang, Mingwen; Zheng, Zhiqiang; Mookerjee, Vijay S. - In: Information systems research : ISR 32 (2021) 4, pp. 1262-1280

Persistent link: https://www.econbiz.de/10012805165

Ruin probability in the delayed renewal risk model perturbed by a diffusion process

Adékambi, Franck; Takouda, Essodina - In: Risk and decision analysis 8 (2021) 3/4, pp. 127-144

Persistent link: https://www.econbiz.de/10013173245

A Stochastic Control Model of Investment and Consumption with Applications to Financial Economics

Md. Azizul Baten; Ruzelan Khalid - In: Stochastics and Quality Control 35 (2020) 2, pp. 43-55

Abstract This study considers a stochastic control model in which an economic unit has productive capital and liabilities in the form of debt. The worth of capital changes over time through investment and random Brownian fluctuations in the unit price of capital. Income from production is also...

Persistent link: https://www.econbiz.de/10014591050