Search Results - subject:"Laplace transform"

Bootstrapping laplace transforms of volatility

Hounyo, Ulrich; Liu, Zhi; Varneskov, Rasmus Tangsgaard - In: Quantitative Economics 14 (2023) 3, pp. 1059-1103

This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed-span setting using … bootstrap inference achieves second-order asymptotic refinements. Moreover, we provide new Laplace transform-based estimators of …

Persistent link: https://www.econbiz.de/10014536973

Bootstrapping laplace transforms of volatility

Hounyo, Ulrich; Liu, Zhi; Varneskov, Rasmus Tangsgaard - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 1059-1103

This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed‐span setting using … bootstrap inference achieves second‐order asymptotic refinements. Moreover, we provide new Laplace transform‐based estimators of …

Persistent link: https://www.econbiz.de/10014362565

Some stochastic orders over an interval with applications

Kanellopoulos, Lazaros - In: Risks : open access journal 11 (2023) 9, pp. 1-14

In this article, we study stochastic orders over an interval. Mainly, we focus on orders related to the Laplace … transform. The results are then applied to obtain a bound for heavy-tailed distributions and are illustrated by some examples …

Persistent link: https://www.econbiz.de/10014375227

A new fractional mathematical model to study the impact of vaccination on COVID-19 outbreaks

Shyamsunder; Bhatter, S.; Jangid, K.; Abidemi, A.; … - In: Decision analytics journal 6 (2023), pp. 1-13

This study proposes a new fractional mathematical model to study the impact of vaccination on COVID-19 outbreaks by categorizing infected people into non-vaccinated, first dose-vaccinated, and second dose-vaccinated groups and exploring the transmission dynamics of the disease outbreaks. We...

Persistent link: https://www.econbiz.de/10014337160

Perishable inventories with random input: a unifying survey with extensions

Boxma, Onno; Perry, David; Stadje, Wolfgang - In: Annals of Operations Research 332 (2023) 1, pp. 1069-1105

This paper is devoted to the theory of perishable inventory systems. In such systems items arrive and stay ‘on the shelf’ until they are either taken by a demand or become outdated. Our aim is to survey, extend and enrich the probabilistic analysis of a large class of such systems. A...

Persistent link: https://www.econbiz.de/10015402119

Convergence rate to equilibrium for collisionless transport equations with diffuse boundary operators : a new Tauberian approach

Lods, Bertrand; Mokhtar-Kharroubi, Mustapha - 2021

Persistent link: https://www.econbiz.de/10012514097

Potential densities for taxed spectrally negative Lévy risk processes

Wang, Wenyuan; Zhou, Xiaowen - In: Risks 7 (2019) 3, pp. 1-11

in Kyprianou and Zhou (2009). A joint Laplace transform is found concerning the first down-crossing time below level 0 …

Persistent link: https://www.econbiz.de/10013200503

On the laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes

Gapeev, Pavel V.; Rodosthenous, Neofytos; … - In: Risks 7 (2019) 3, pp. 1-15

We obtain closed-form expressions for the value of the joint Laplace transform of the running maximum and minimum of a …

Persistent link: https://www.econbiz.de/10013200505

On the laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes

Gapeev, Pavel V.; Rodosthenous, Neofytos; … - In: Risks : open access journal 7 (2019) 3/87, pp. 1-15

We obtain closed-form expressions for the value of the joint Laplace transform of the running maximum and minimum of a …

Persistent link: https://www.econbiz.de/10012126486

Potential densities for taxed spectrally negative Lévy risk processes

Wang, Wenyuan; Zhou, Xiaowen - In: Risks : open access journal 7 (2019) 3/85, pp. 1-11

Kyprianou and Zhou (2009). A joint Laplace transform is found concerning the first down-crossing time below level 0. The …

Persistent link: https://www.econbiz.de/10012126580