Search Results - subject:"Poisson Process"

"Ito's Lemma" and the Bellman equation for poisson processes : an applied view

Sennewald, Ken; Wälde, Klaus - 2006

Poisson process. Our results can be derived because of the proofs presented in the accompanying paper by Sennewald (2006 …

Persistent link: https://www.econbiz.de/10010261427

Ten Do it Better, Do They? An Empirical Analysis of an Old Football Myth

Caliendo, Marco; Radić, Dubravko - 2006

In this paper we investigate how the expulsion of a player influences the outcome of a football match. Common sense implies a negative impact for the affected team. However, an old football myth suggests that such an expulsion might also be beneficial since it increases the team spirit as well...

Persistent link: https://www.econbiz.de/10010276285

Ten do it better, do they? An empirical analysis of an old football myth

Caliendo, Marco; Radić, Dubravko - 2006

Persistent link: https://www.econbiz.de/10010276313

Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes

Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial … driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing … to the problems (2.4) and (5.1) in a jump-diffusion model driven by a Brownian motion and a compound Poisson process with …

Persistent link: https://www.econbiz.de/10005489963

Testing for unit roots in autoregressions with multiple level shifts

Cavaliere, Giuseppe; Georgiev, Iliyan - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2006

The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root tests for autoregressive processes with a unit or near-unit root are discussed in the presence of multiple stochastic level shifts of large size occurring independently in time. The distributions depend on a Brownian motion...

Persistent link: https://www.econbiz.de/10011228078

Testing for unit roots in autoregressions with multiple level shifts

Cavaliere, Giuseppe; Georgiev, Iliyan - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2006

Persistent link: https://www.econbiz.de/10005042446

Ten Do It Better, Do They?: An Empirical Analysis of an Old Football Myth

Caliendo, Marco; Radic, Dubravko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006

In this paper we investigate how the expulsion of a player influences the out-come of a football match. Common sense implies a negative impact for the affected team. However, an old football myth suggests that such an expulsion might also be beneficial since it increases the team spirit as well...

Persistent link: https://www.econbiz.de/10005069120

Multiple Disorder Problems for Wiener and Compound Poisson Processes With Exponential Jumps

Gapeev, Pavel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

a formulation and solution of the multiple disorder problem for a Wiener and a compound Poisson process with exponential … multiple disorder problem for a Wiener and a compound Poisson process with exponen- tial jumps. The method of proof is based on … disorder problem, Wiener process, compound Poisson process, optimal switching, coupled optimal stopping problem, (integro …

Persistent link: https://www.econbiz.de/10005677963

Integral Options in Models with Jumps

Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

We present an explicit solution to the formulated in [17] optimal stopping problem for a geometric compound Poisson … process with exponential jumps. The method of proof is based on reducing the initial problem to an integro-differential free … Poisson process, Shiryaev’s process, Girsanov’s theorem, Itˆo’s formula, integro- differential free-boundary problem, smooth …

Persistent link: https://www.econbiz.de/10005678045

“Itô’s Lemma“ and the Bellman Equation for Poisson Processes: An Applied View

Sennewald, Ken; Wälde, Klaus - CESifo - 2006

Poisson process. Our results can be derived because of the proofs presented in the accompanying paper by Sennewald (2006 …

Persistent link: https://www.econbiz.de/10005765876