Search Results - subject_exact:"Poisson process"

ORAKULUM : an information-impact asset pricing model introducing a jump-diffusion framework for information-driven markets

Köntös, Zoltán; Rahimkulov, Ruszlan Megdetovics - 2026

Standard asset pricing models treat price dynamics as a stochastic process driven by undifferentiated random noise, rendering them agnostic about the primary engine of price discovery: the arrival of economically significant information. This paper introduces ORAKULUM, a structured...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015656182

Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes

Josa-Fombellida, Ricardo; López-Casado, Paula - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015432035

Modeling price-sensitive demand in turbulent times : an application to continuous pricing

Meyer, Felix; Kauermann, Göran; Alder, Christopher; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015446373

A seasonal two-factor model for solar energy production : a climate extreme events analysis

Bufalo, Michele; Fanelli, Viviana - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015608104

Delegation of learning from multiple sources of information

Diamantopoulos, Angelos; Nikandrova, Arina - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015580624

Convergence of a deep BSDE solver with jumps

Gnoatto, Alessandro; Oberpriller, Katharina; Picarelli, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015650304

Data Analysis for Risk Management – Economics, Finance and Business

2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015324884

Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks

2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015325017

Is accumulation risk in cyber methodically underestimated?

Zeller, Gabriela; Scherer, Matthias - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015393846

Advantages of accounting for stochasticity in the premium process

Miao, Yang; Sendova, Kristina P. - 2024

In this paper, we study a risk model with stochastic premium income and its impact on solvency risk management. It is assumed that both the premium arrival process and the claim arrival process are modelled by homogeneous Poisson processes, and that the premium amounts are modelled by...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015130492

Exact Bayesian Inference for Diffusion-Driven Cox Processes

Gonçalves, Flávio B.; Łatuszyński, Krzysztof G.; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015980695

A continuous-review retrial inventory system with repair options for defective items

Sivadasan, Saranyadas; Lawrence, Shophia - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015593450

Resilience assessment of mobile emergency generator-assisted distribution networks : a stochastic geometry approach

Ren, Chenhao; Liu, Rong-Peng; Yin, Wenqian; Long, Qinfei; … - 2023

Escalation of extreme weather events represents substantial threat to power system infrastructure. Mobile emergency generators (MEGs) can form part of a flexible restoration strategy against such destructive events. However, with continued expansion of distribution networks, quantification of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014555502

Asymptotics for fractional processes

Davidson, James E. H. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015423358

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Asymptotics for fractional processes

Davidson, James E. H. - 2025

Book / Working Paper

Sustainability in a risky world

Campbell, John Y.; Martin, Ian - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015443887

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Sustainability in a Risky World

Campbell, John Y.; Martin, Ian - 2021

Book / Working Paper

Sustainability in a risky world

Campbell, John Y.; Martin, Ian - 2021 - First draft: March 2021

Edition: First draft: March 2021

Book / Working Paper

Sustainability in a Risky World

Campbell, John Y.; Martin, Ian - 2021

Book / Working Paper

A framework for analyzing the periodically-observed time-homogeneous Poisson process

Hornberger, Zachary T.; King, Douglas M.; Jacobson, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015552140

A dynamic programming approach to optimal pollution control under uncertain irreversibility : the Poisson case

Boucekkine, Raouf; Ruan, Weihua; Zou, Benteng - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013331036

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A dynamic programming approach to optimal pollution control under uncertain irreversibility : the Poisson case

Boucekkine, Raouf; Ruan, Weihua; Zou, Benteng - 2022

Book / Working Paper

Poisson voting games under proportional rule

De Sinopoli, Francesco; Meroni, Claudia - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013197666

Following beliefs or excluding the worst? : the role of unfindable state in learning

Majskaja, Tatʹjana - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015076029

A perspective analysis of obligatory vacation and retention of impatient purchaser on queueing-inventory with retrial policy

Nithya, N.; Anbazhagan, Neelamegam; Amutha, S.; Joshi, … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015135412

Discussing some approaches to delta-shock modeling

Finkelstein, Maxim; Cha, Ji Hwan - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015187738

Entropic two-asset option

Sebehela, Tumellano - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015046655

Bankruptcy prediction with a doubly stochastic poisson forward intensity model and low-quality data

Berent, Tomasz; Rejman, Radosław - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013200879

Bankruptcy prediction with a doubly stochastic poisson forward intensity model and low-quality data

Berent, Tomasz; Rejman, Radosław - 2021

With the record high leverage across all segments of the (global) economy, default prediction has never been more important. The excess cash illusion created in the context of COVID-19 may disappear just as quickly as the pandemic entered our world in 2020. In this paper, instead of using any...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012794088

Optimal prediction problems and the last zero of spectrally negative Lévy processes

Pedraza Ramírez, José Manuel - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012938989

Do rare events explain CDX tranche spreads?

Seo, Sang Byung; Wachter, Jessica - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011563045

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Do rare events explain CDX tranche spreads?

Seo, Sang Byung; Wachter, Jessica - 2016

Book / Working Paper

Do Rare Events Explain CDX Tranche Spreads?

Seo, Sang Byung - 2020

Book / Working Paper

Do Rare Events Explain CDX Tranche Spreads?

Seo, Sang Byung - 2016

Book / Working Paper

Do Rare Events Explain Cdx Tranche Spreads?

Seo, Sang Byung - 2016

Book / Working Paper

Dependence modeling of frequency-severity of insurance claims using waiting time

Gao, Guangyuan; Li, Jiahong - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014282468

The dark side of transparency : When hiding in plain sight works

Majskaja, Tatʹjana; Nikandrova, Arina - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014471765

A robust consumption model when the intensity of technological progress is ambiguous

Tsujimura, Motoh; Yoshioka, Hidekazu - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014226249

Introduction to Stochastic Processes Using R

Madhira, Sivaprasad; Deshmukh, Shailaja - 2023

Basics of Stochastic Processes -- Markov Chains -- Long-run Behaviour of Markov Chains -- Random Walks -- Bienayme Galton Watson Branching Process -- Continuous Time Markov Chains -- Poisson Process -- Birth and Death Processes -- Brownian Motion Process -- Renewal Process -- Solutions...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014425470

Rough volatility and portfolio optimisation under small transaction costs

Schelling, Denis Matthias - 2019

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012533244

Dynamic choice of information sources

Mayskaya, Tatiana - 2019

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012152960

Optimal dynamic information acquisition

Zhong, Weijie - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013382393

Single-dimensional leg-level dynamic programming with booking-time dependent cancellation probabilities for revenue management

Hopman, Daniel; Koole, Ger M.; Mei, R. D. van der - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014227853

On the running maximum of brownian motion and associated lookback options

Ho, Tak Yui - 2018

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012533193

The role of jumps and options in the risk premia of interest rates

Lund, Bruno - 2018

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012129514

Optimal bookmaking

Loring, Matthew; Zhou, Zhou; Zou, Bin - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013205968

The theory of uncertaintism

Sebehela, Tumellano - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012657791

Technical note : approximating systems fed by poisson processes with rapidly changing arrival rates

Zheng, Zeyu; Honnappa, Harsha; Glynn, Peter W. - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012660307

Markov chain analysis for the neonatal inpatient flow in a hospital

Kanai, Yuta; Takagi, Hideaki - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012544537

Sustainability in a risky world

Martin, Ian; Campbell, John Y. - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012521268

The importance of being honest

Klein, Nicolas - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011599585

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The importance of being honest

Klein, Nicolas Alexandre - 2016

Article

The importance of being honest

Klein, Nicolas Alexandre - 2016

Article

Jump and volatility dynamics for the S&P 500 : evidence for infinite-activity jumps with non-affine volatility dynamics from stock and option markets

Yang, Hanxue; Kanniainen, Juho - 2017

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011803307

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Jump and Volatility Dynamics for the S&P 500 : Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets

Yang, Hanxue - 2016

Book / Working Paper

Comparison and anti-concentration bounds for maxima of Gaussian random vectors

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2016 - This version: May 1, 2014

Slepian and Sudakov-Fernique type inequalities, which compare expectations of maxima of Gaussian random vectors under certain restrictions on the covariance matrices, play an important role in probability theory, especially in empirical process and extreme value theories. Here we give explicit...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011525793