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  • Search: subject:"Piecewise-deterministic Markov process"
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Subject
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Markov chain 4 Markov-Kette 4 Stochastic process 4 Stochastischer Prozess 4 Piecewise deterministic Markov process 3 Piecewise-deterministic Markov process 3 Theorie 3 Theory 3 Bivariate shot noise self-exciting process 2 Hawkes process 2 Insurance premium 2 Martingal 2 Martingale 2 Martingale methodology 2 piecewise deterministic Markov process 2 Averaging 1 Central limit theorem 1 Change of probability measure 1 Continuous control 1 Continuous-time Markov decision process 1 Control theory 1 Credit risk 1 Dividend 1 Dividende 1 Epidemic severity 1 Epidemic size 1 Esscher transform 1 Homogenization 1 Importance sampling 1 Insurance 1 Kontrolltheorie 1 Kreditrisiko 1 Martingale method 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Multiscale 1 Neuron models with stochastic ion channels 1 Probability theory 1 Rare-event simulation 1 Renewal shot-noise Cox process 1
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Undetermined 6
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Article 8
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Article in journal 4 Aufsatz in Zeitschrift 4
Language
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English 4 Undetermined 4
Author
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Dassios, Angelos 4 Jang, Jiwook 3 Clancy, Damian 1 Costa, Oswaldo Luiz do Valle 1 Dufour, François 1 Jang, Ji-Wook 1 Kritzer, Peter 1 Leobacher, Gunther 1 Pakdaman, Khashayar 1 Szölgyenyi, Michaela 1 Thieullen, Michèle 1 Thonhauser, Stefan 1 Wainrib, Gilles 1 Zhao, Hongbiao 1
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Published in...
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Insurance / Mathematics & economics 2 Finance and Stochastics 1 Insurance: Mathematics and Economics 1 Mathematical methods of operations research : ZOR 1 Scandinavian actuarial journal 1 Statistics & Probability Letters 1 Stochastic Processes and their Applications 1
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Source
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ECONIS (ZBW) 4 RePEc 4
Showing 1 - 8 of 8
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Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes
Costa, Oswaldo Luiz do Valle; Dufour, François - In: Mathematical methods of operations research : ZOR 93 (2021) 2, pp. 327-357
Persistent link: https://www.econbiz.de/10012548532
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A risk model with renewal shot-noise Cox process
Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao - In: Insurance / Mathematics & economics 65 (2015), pp. 55-65
Persistent link: https://www.econbiz.de/10011422868
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Approximation methods for piecewise deterministic Markov processes and their costs
Kritzer, Peter; Leobacher, Gunther; Szölgyenyi, Michaela; … - In: Scandinavian actuarial journal 2019 (2019) 4, pp. 308-335
Persistent link: https://www.econbiz.de/10012194953
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SIR epidemic models with general infectious period distribution
Clancy, Damian - In: Statistics & Probability Letters 85 (2014) C, pp. 1-5
We show how epidemics in which individuals’ infectious periods are not necessarily exponentially distributed may be naturally modelled as piecewise deterministic Markov processes. For the standard susceptible–infective–removed (SIR) model, we exhibit a family of martingales which may be...
Persistent link: https://www.econbiz.de/10010743577
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Asymptotic expansion and central limit theorem for multiscale piecewise-deterministic Markov processes
Pakdaman, Khashayar; Thieullen, Michèle; Wainrib, Gilles - In: Stochastic Processes and their Applications 122 (2012) 6, pp. 2292-2318
We consider a general class of piecewise-deterministic Markov processes with multiple time-scales. In line with recent results on the stochastic averaging principle for these processes, we obtain a description of their law through an asymptotic expansion. We further study the fluctuations around...
Persistent link: https://www.econbiz.de/10010577841
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A bivariate shot noise self-exciting process for insurance
Jang, Jiwook; Dassios, Angelos - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 524-532
, based on the piecewise deterministic Markov process theory developed by Davis (1984), and the martingale methodology used by …
Persistent link: https://www.econbiz.de/10010719113
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A bivariate shot noise self-exciting process for insurance
Jang, Jiwook; Dassios, Angelos - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 524-532
Persistent link: https://www.econbiz.de/10010227969
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Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Jang, Ji-Wook; Dassios, Angelos - In: Finance and Stochastics 7 (2003) 1, pp. 73-95
noise intensity is examined by piecewise deterministic Markov process theory. We apply the model to price stop …
Persistent link: https://www.econbiz.de/10005759608
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