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  • Search: subject:"Excessive function"
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Absorbing set 1 American put option 1 Analysis 1 Branching kernel 1 Branching semigroup 1 Convex set 1 Discrete branching process 1 Duality 1 Excessive function 1 Fragmentation equation 1 Fragmentation kernel 1 Geometric Brownian motion 1 Integral equation 1 Integral representation of excessive function 1 Mathematical analysis 1 Mathematical programming 1 Mathematische Optimierung 1 Measure-valued process 1 Optimal investment problem 1 Option pricing theory 1 Optionspreistheorie 1 Resolvent kernel 1 Stochastic differential equation of fragmentation 1 Stochastic process 1 Stochastischer Prozess 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Beznea, Lucian 1 Christensen, Sören 1 Deaconu, Madalina 1 Lupaşcu, Oana 1 Salminen, Paavo 1
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Mathematics and financial economics 1 Stochastic Processes and their Applications 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Multidimensional investment problem
Christensen, Sören; Salminen, Paavo - In: Mathematics and financial economics 12 (2018) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10011963303
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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
We investigate branching properties of the solution of a fragmentation equation for the mass distribution and we properly associate a continuous time càdlàg Markov process on the space S↓ of all fragmentation sizes, introduced by J. Bertoin. A binary fragmentation kernel induces a specific...
Persistent link: https://www.econbiz.de/10011209768
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