Pages that link to "Item:Q1860996"

The following pages link to A technique for exponential change of measure for Markov processes (Q1860996):

Displaying 50 items.

• Large deviations for Markov-modulated diffusion processes with rapid switching (Q271854) (← links)
• A generalized asymmetric exclusion process with \(U_q(\mathfrak {sl}_2)\) stochastic duality (Q343794) (← links)
• A note on Wiener-Hopf factorization for Markov additive processes (Q457101) (← links)
• Nonequilibrium Markov processes conditioned on large deviations (Q496165) (← links)
• Density of generalized Verhulst process and Bessel process with constant drift (Q507027) (← links)
• Two refreshing views of fluctuation theorems through kinematics elements and exponential martingale (Q548107) (← links)
• Exponential change of measure applied to term structures of interest rates and exchange rates (Q634008) (← links)
• On exponential local martingales associated with strong Markov continuous local martingales (Q841482) (← links)
• On perpetual American put valuation and first-passage in a regime-switching model with jumps (Q1003346) (← links)
• A note on the forward measure (Q1381487) (← links)
• Change of measures for Markov chains and the \(L\log L\) theorem for branching processes (Q1567212) (← links)
• Valuation of correlation options under a stochastic interest rate model with regime switching (Q1690474) (← links)
• Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching (Q1739344) (← links)
• An integral representation of elasticity and sensitivity for stochastic volatility models (Q1744204) (← links)
• Large deviations of the trajectory of empirical distributions of Feller processes on locally compact spaces (Q1746141) (← links)
• Lévy systems and the time value of ruin for Markov additive processes (Q1936473) (← links)
• Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion (Q2020534) (← links)
• Change of drift in one-dimensional diffusions (Q2022766) (← links)
• Two theorems on Hunt's hypothesis (H) for Markov processes (Q2039094) (← links)
• Martingales associated with functions of Markov and finite variation processes (Q2146384) (← links)
• No arbitrage in continuous financial markets (Q2190064) (← links)
• Regime-switching shot-noise processes and longevity bond pricing (Q2257575) (← links)
• \(L \log L\) criterion for a class of multitype superdiffusions with non-local branching mechanisms (Q2273280) (← links)
• Valuation of contingent convertible catastrophe bonds -- the case for equity conversion (Q2273992) (← links)
• Large deviations of jump process fluxes (Q2275076) (← links)
• Martingales and buffer overflow for the symmetric shortest queue model (Q2294090) (← links)
• Quickest drift change detection in Lévy-type force of mortality model (Q2335769) (← links)
• Exponential change of measure for general piecewise deterministic Markov processes (Q2423855) (← links)
• Equivalent and absolutely continuous measure changes for jump-diffusion processes (Q2572390) (← links)
• Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing (Q2806062) (← links)
• Extended Poisson equation for weakly ergodic Markov processes (Q2849272) (← links)
• Hitting Times and the Running Maximum of Markovian Growth-Collapse Processes (Q3014974) (← links)
• Thinning and multilevel Monte Carlo methods for piecewise deterministic (Markov) processes with an application to a stochastic Morris–Lecar model (Q3298816) (← links)
• The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework (Q3385434) (← links)
• MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL (Q3608736) (← links)
• (Q4578301) (← links)
• Martingale approach for tail asymptotic problems in the generalized Jackson network (Q4578304) (← links)
• INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS (Q4602498) (← links)
• Unifying the Dynkin and Lebesgue–Stieltjes formulae (Q4684851) (← links)
• A note on chaotic and predictable representations for Itô–Markov additive processes (Q4685693) (← links)
• Markov modulated fluid network process: Tail asymptotics of the stationary distribution (Q4994067) (← links)
• Ruin probabilities for risk process in a regime-switching environment (Q5042780) (← links)
• Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process (Q5122737) (← links)
• A unified approach for large queue asymptotics in a heterogeneous multiserver queue (Q5233164) (← links)
• Equivalent measure changes for subordinate diffusions (Q5243380) (← links)
• On the exact asymptotics of the busy period in GI/G/1 queues (Q5395360) (← links)
• Ruin probabilities in a Markovian shot-noise environment (Q6102052) (← links)
• Perpetual American options with asset-dependent discounting (Q6139952) (← links)
• Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) (← links)
• Variational structures beyond gradient flows: a macroscopic fluctuation-theory perspective (Q6189807) (← links)