When using an Euler discretisation to simulate a mean-reverting square root process, one runs into the problem that while the process itself is guaranteed to be nonnegative, the discretisation is not. Although an exact and efficient simulation algorithm exists for this process, at present this...

This discussion paper resulted in a publication in 'Quantitative Finance', 2010, 10, 177-194.<P> When using an Euler discretisation to simulate a mean-reverting square root process, one runs into the problem that while the process itself is guaranteed to be nonnegative, the discretisation is not....</p>

The problem of validity of a model on the informativeness of the right-censoring random variable on the inter-event time with recurrent events is considered. The generalized Koziol–Green model for recurrent events has been used in the literature to account for informativeness in the estimation...

In this paper, we consider some families of one-dimensional locally infinitely divisible Markov processes {ηtϵ}0≤t≤T with frequent small jumps. For a smooth functional F(x[0,T]) on space D[0,T], the following asymptotic expansions for expectations are proved: as...

A lifetime X with survival function S, mean residual life function (MRL) M, and finite mean μ is said to be new better than used in expectation (NBUE) if M(t)≤μ for all t≥0. We propose a new estimator for S, based on a natural estimator of M defined under the NBUE restriction. This is much...

Empirical and sequential empirical copula processes play a central role for statistical inference on copulas. However, as pointed out by Johan Segers [J. Segers, Asymptotics of empirical copula processes under non-restrictive smoothness assumptions, Bernoulli 18 (3) (2012) 764–782] the usual...