zbMath1089.60005MaRDI QIDQ5711199
Stewart N. Ethier, Thomas G. Kurtz
Publication date: 9 December 2005
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Asymptotically Optimal Control of a Centralized Dynamic Matching Market with General Utilities ⋮
RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS ⋮
On the functional central limit theorem for first passage time of nonlinear semi-Markov reward processes ⋮
On weak solution of SDE driven by inhomogeneous singular Lévy noise ⋮
Some characterizations for Markov processes at first passage ⋮
On the existence of semimartingales with continuous characteristics ⋮
Wiener-Hopf factorization technique for time-inhomogeneous finite Markov chains ⋮
On the validity of the Girsanov transformation method for sensitivity analysis of stochastic chemical reaction networks ⋮
The Most Likely Evolution of Diffusing and Vanishing Particles: Schrödinger Bridges with Unbalanced Marginals ⋮
Limit Theory for Controlled McKean--Vlasov Dynamics ⋮
Existence, uniqueness and the strong Markov property of solutions to Kimura diffusions with singular drift ⋮
Large-time behaviour and the second eigenvalue problem for finite-state mean-field interacting particle systems ⋮
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation ⋮
Combinatorial and stochastic properties of ranked tree‐child networks ⋮
A q -binomial extension of the CRR asset pricing model ⋮
Nonlinear Poisson autoregression and nonlinear Hawkes processes ⋮
Diffusion approximation of an infinite-server queue under Markovian environment with rapid switching ⋮
On a nonlinear SPDE derived from a hydrodynamic limit in a Sinai-type random environment ⋮
On the Feller-Dynkin and the martingale property of one-dimensional diffusions ⋮
A general method for analysis and valuation of drawdown risk ⋮
Boundary approximation for sticky jump-reflected processes on the half-line ⋮
Directed preferential attachment models: Limiting degree distributions and their tails ⋮
An invariance principle and a large deviation principle for the biased random walk on ⋮
RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR ⋮
Extinction in host-vector infection models and the role of heterogeneity ⋮
Historical lattice trees ⋮
Stability of backward stochastic differential equations: the general Lipschitz case ⋮
The martingale problem method revisited ⋮
Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients ⋮
Asymptotic persistence time formulae for multitype birth–death processes ⋮
Propagation of chaos for weakly interacting mild solutions to stochastic partial differential equations ⋮
A general approximation method for optimal stopping and random delay ⋮
Continuous-state branching processes with collisions: first passage times and duality ⋮
Limit of the environment viewed from Sinaï's walk ⋮
Absolute Continuity under Time Shift of Trajectories and Related Stochastic Calculus ⋮
Entrance laws at the origin of self-similar Markov processes in high dimensions ⋮
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS ⋮
Markov random walks on homogeneous spaces and Diophantine approximation on fractals ⋮
Hyperviscous stochastic Navier–Stokes equations with white noise invariant measure ⋮
Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations ⋮
An extended likelihood framework for modelling discretely observed credit rating transitions ⋮
Limit behaviour of diffusion in high-contrast periodic media and related Markov semigroups ⋮
Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle ⋮
UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION ⋮
Information thermodynamics for interacting stochastic systems without bipartite structure ⋮
An invariance principle for stochastic heat equations with periodic coefficients ⋮
SERIES EXPANSION OF THE SABR JOINT DENSITY ⋮
Weak uniqueness for SDEs driven by supercritical stable processes with Hölder drifts ⋮
Supercritical SDEs driven by multiplicative stable-like Lévy processes ⋮
A Multilevel Adaptive Reaction-splitting Simulation Method for Stochastic Reaction Networks ⋮
Large deviation principle for epidemic models ⋮
Uncertainty Quantification for Markov Processes via Variational Principles and Functional Inequalities ⋮
The law of the iterated logarithm for a class of SPDEs ⋮
The martingale comparison method for Markov processes ⋮
Laws of large numbers for the frog model on the complete graph ⋮
Join the Shortest Queue with Many Servers. The Heavy-Traffic Asymptotics ⋮
How to Calculate the Barycenter of a Weighted Graph ⋮
Homogenization of a Random Walk on a Graph in $\mathbb R^d$: An Approach to Predict Macroscale Diffusivity in Media with Finescale Obstructions and Interactions ⋮
Random switching near bifurcations ⋮
Limit theorems for the zig-zag process ⋮
Adaption of Akaike information criterion under least squares frameworks for comparison of stochastic models ⋮
Obstacle problems for nonlocal operators ⋮
A variational characterization of the optimal exit rate for controlled diffusions ⋮
Stability results for martingale representations: The general case ⋮
Biased random walks on random graphs ⋮
Markov dynamics on the dual object to the infinite-dimensional unitary group ⋮
Asymptotics of the Invariant Measure in Mean Field Models with Jumps ⋮
A Hamilton-Jacobi point of view on mean-field Gibbs-non-Gibbs transitions ⋮
The semigroup of metric measure spaces and its infinitely divisible probability measures ⋮
Law of large numbers for the SIR epidemic on a random graph with given degrees ⋮
On the forward algorithm for stopping problems on continuous-time Markov chains ⋮
Unnamed Item ⋮
Ranked masses in two-parameter Fleming–Viot diffusions ⋮
Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes ⋮
Choosing among heterogeneous server clouds ⋮
Heavy-traffic limits for an infinite-server fork-join queueing system with dependent and disruptive services ⋮
Exchangeable graph-valued Feller processes ⋮
Convergence of Brownian motion with a scaled Dirac delta potential ⋮
Reflected spectrally negative stable processes and their governing equations ⋮
Limit theorems for \(p\)-adic valued asymmetric semistable laws and processes ⋮
A General Framework for Pricing Asian Options Under Markov Processes ⋮
Stochastic approximation to understand simple simulation models ⋮
Probability measure-valued polynomial diffusions ⋮
The nonlinear Schrödinger equation driven by jump processes ⋮
Efficiency of the Girsanov Transformation Approach for Parametric Sensitivity Analysis of Stochastic Chemical Kinetics ⋮
Long-Time Behavior of a Hawkes Process--Based Limit Order Book ⋮
Homogenization of Lateral Diffusion on a Random Surface ⋮
Universality of the Stochastic Airy Operator ⋮
Entropy, Feller processes and \(p\)-adic analogues of the scattering equation ⋮
Deterministic homogenization under optimal moment assumptions for fast-slow systems. II ⋮
Solutions of Lévy-driven SDEs with unbounded coefficients as Feller processes ⋮
Ancestral lineages in mutation selection equilibria with moving optimum ⋮
Comparison principles and applications to mathematical modelling of vegetal meta-communities ⋮
Large deviations of mean-field interacting particle systems in a fast varying environment ⋮
A two-parameter family of measure-valued diffusions with Poisson-Dirichlet stationary distributions ⋮
The Kardar-Parisi-Zhang equation as scaling limit of weakly asymmetric interacting Brownian motions ⋮
A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮
On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Itô processes ⋮
A jump-type SDE approach to real-valued self-similar Markov processes ⋮
Limit theorems for cylindrical martingale problems associated with Lévy generators ⋮
Fluid Model Checking of Timed Properties ⋮
An approximate Nash equilibrium for pure jump Markov games of mean-field-type on continuous state space ⋮
Estimation of state-dependent jump activity and drift for Markovian semimartingales ⋮
Convex Analysis in Decentralized Stochastic Control, Strategic Measures, and Optimal Solutions ⋮
Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk ⋮
No arbitrage in continuous financial markets ⋮
Wiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility ⋮
Periodic Homogenization of Nonlocal Operators with a Convolution-Type Kernel ⋮
High-order numerical schemes for jump-SDEs ⋮
The replicator equation in stochastic spatial evolutionary games ⋮
Dirichlet form analysis of the Jacobi process ⋮
Optimal scaling of random-walk Metropolis algorithms on general target distributions ⋮
Diffusive limits of two-parameter ordered Chinese restaurant process up-down chains ⋮
On Poisson equations with a potential in the whole space for “ergodic” generators ⋮
On the Asymptotic Normality of Adaptive Multilevel Splitting ⋮
Convergence to equilibrium for time-inhomogeneous jump diffusions with state-dependent jump intensity ⋮
Large population and size scale limit of a stochastic particle model ⋮
A weak Gordon type condition for absence of eigenvalues of one-dimensional Schrödinger operators ⋮
A functional central limit theorem for spatial birth and death processes ⋮
Single-crossover recombination and ancestral recombination trees ⋮
Weak convergence of subordinators to extremal processes ⋮
Stochastic Dynamic Programming and Control of Markov Processes ⋮
Data-driven, variational model reduction of high-dimensional reaction networks ⋮
On Constrained Langevin Equations and (Bio)Chemical Reaction Networks ⋮
Statistical inference for Markov chains with applications to credit risk ⋮
Classification of asymptotic behavior in a stochastic SEIR epidemic model ⋮
A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS ⋮
Bootstrapping least-squares estimates in biochemical reaction networks ⋮
A Random String with Reflection in a Convex Domain ⋮
An Overview for Markov Decision Processes in Queues and Networks ⋮
Fast approximate simulation of finite long-range spin systems ⋮
Inference for partially observed epidemic dynamics guided by Kalman filtering techniques ⋮
Measuring edge importance: a quantitative analysis of the stochastic shielding approximation for random processes on graphs ⋮
Ergodicity and stability of a dynamical system perturbed by impulsive random interventions ⋮
Strict local martingales with jumps ⋮
Limit theorems for individual-based models in economics and finance ⋮
On tightness of probability measures on Skorokhod spaces ⋮
Scaling limits for conditional diffusion exit problems and asymptotics for nonlinear elliptic equations ⋮
Block trading: building up a stock position under a regime switching model ⋮
Uniqueness of stable processes with drift ⋮
PERFORMANCE ESTIMATION OFM/DK/1 QUEUE UNDER FAIR SOJOURN PROTOCOL IN HEAVY TRAFFIC ⋮
Persistence of stability for equilibria of map iterations in Banach spaces under small random perturbations ⋮
Approximation of epidemic models by diffusion processes and their statistical inference ⋮
Estimates of Dirichlet heat kernel for symmetric Markov processes ⋮
An efficient forward–reverse expectation-maximization algorithm for statistical inference in stochastic reaction networks ⋮
Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing ⋮
Queue-Based Random-Access Algorithms: Fluid Limits and Stability Issues ⋮
Convergence of the age structure of general schemes of population processes ⋮
The free path in a high velocity random flight process associated to a Lorentz gas in an external field ⋮
The uniqueness of hierarchically extended backward solutions of the Wright–Fisher model ⋮
Nonlinear and additive white noise perturbations of linear delay differential equations at the verge of instability: An averaging approach ⋮
Final outcome probabilities for SIR epidemic model ⋮
A weak convergence criterion for constructing changes of measure ⋮
Right marker speeds of solutions to the KPP equation with noise ⋮
Reinforcement with Fading Memories ⋮
On mean-field (\(\mathrm{GI}/\mathrm{GI}/1\)) queueing model: existence and uniqueness ⋮
Central Limit Theorem for Nonlinear Semi-Markov Reward Processes ⋮
Lyapunov criteria for the Feller-Dynkin property of martingale problems ⋮
An approximation scheme for quasi-stationary distributions of killed diffusions ⋮
Control of singularly perturbed Markov chains: A numerical study ⋮
Cylindrical martingale problems associated with Lévy generators ⋮
Large fluctuations in two-level systems with stimulated emission ⋮
Effective fluctuation and response theory ⋮
METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS ⋮
Large rank-based models with common noise ⋮
Explicit stochastic ODE solution methods applied to high-temperature combustion ⋮
Stochastic dynamics of eukaryotic flagellar growth ⋮
Asymptotic behavior for a modified Maki-Thompson model with directed inter-group interactions ⋮
A stochastic model for cell adhesion to the vascular wall ⋮
Long Run Control with Degenerate Observation ⋮
Functional Ross recovery: theoretical results and empirical tests ⋮
Diffusion approximation for the components in critical inhomogeneous random graphs of rank 1. ⋮
Optimal stopping of Markov switching Lévy processes ⋮
Protected polymorphisms and evolutionary stability of patch-selection strategies in stochastic environments ⋮
Superprocesses of stochastic flows ⋮
Bivariate Markov chains converging to Lamperti transform Markov additive processes ⋮
Dual processes and an invariance result for exchangeable models in population genetics ⋮
Precise estimates of persistence time for SIS infections in heterogeneous populations ⋮
Polynomial jump-diffusions on the unit simplex ⋮
Approximation of Markov dynamics on the dual object of the infinite-dimensional unitary group ⋮
Multilevel hybrid Chernoff tau-leap ⋮
Scaling limit theorem for transient random walk in random environment ⋮
Mean-field analysis of hybrid Markov population models with time-inhomogeneous rates ⋮
Poisson's equation for queues driven by a Markovian marked point process ⋮
A new coalescent for seed-bank models ⋮
Piecewise deterministic Markov processes for continuous-time Monte Carlo ⋮
Stochastic traveling wave solution to a stochastic KPP equation ⋮
Approximation of martingale couplings on the line in the adapted weak topology ⋮
A minimum entropy problem for stationary reversible stochastic spin systems on the infinite lattice ⋮
Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales ⋮
Ergodicity of Spitzer's renewal model ⋮
A class of Lévy driven SDEs and their explicit invariant measures ⋮
Averaging of semigroups associated to diffusion processes on a simplex ⋮
Who is the infector? Epidemic models with symptomatic and asymptomatic cases ⋮
Polynomial diffusions and applications in finance ⋮
Resistance to antibiotics: limit theorems for a stochastic SIS model structured by level of resistance ⋮
Continuum modeling and control of large nonuniform wireless networks via nonlinear partial differential equations ⋮
On the rate of convergence to stationarity of the M/M/\(n\) queue in the Halfin-Whitt regime ⋮
On the physical interpretation of statistical data from black-box systems ⋮
Kernel density estimation via diffusion ⋮
Particle representations of superprocesses with dependent motions ⋮
Mean field games of timing and models for bank runs ⋮
A thermodynamic formalism for continuous time Markov chains with values on the Bernoulli space: entropy, pressure and large deviations ⋮
A formal view on level 2.5 large deviations and fluctuation relations ⋮
Spines, skeletons and the strong law of large numbers for superdiffusions ⋮
Scaling limit of local time of Sinai's random walk ⋮
Local time at zero for Arratia flow ⋮
Successful couplings for a class of stochastic differential equations driven by Lévy processes ⋮
Correlation functions evolution for the Glauber dynamics in continuum ⋮
Edge scaling of the \(\beta\)-Jacobi ensemble ⋮
Scaling limit of symmetric random walk in high-contrast periodic environment ⋮
A functional central limit theorem for Markov additive arrival processes and its applications to queueing systems ⋮
Branching process approach for epidemics in dynamic partnership network ⋮
Branching random walks in random environment and super-Brownian motion in random environment ⋮
Large deviations for random evolutions with independent increments in a scheme of the Lévy approximation ⋮
Change-point in stochastic design regression and the bootstrap ⋮
An invariance principle for the two-dimensional parabolic Anderson model with small potential ⋮
A continuous mapping theorem for the smallest argmax functional ⋮
Stability of stochastic systems of random structure with Markov switchings and perturbations ⋮
A stochastic maximum principle for Markov chains of mean-field type ⋮
Recovering the Brownian coalescent point process from the Kingman coalescent by conditional sampling ⋮
A new Markov selection procedure for degenerate diffusions ⋮
A skew stochastic heat equation ⋮
Stochastic epidemics in growing populations ⋮
Scaling of the sasamoto-Spohn model in equilibrium ⋮
On the existence and explicit estimates for the coupling property of Lévy processes with drift ⋮
Error analysis of tau-leap simulation methods ⋮
Convergences and projection Markov property of Markov processes on ultrametric spaces ⋮
Stationary analysis of the shortest queue first service policy ⋮
Limit theorem for countable systems of stochastic differential equations ⋮
Optimal maintenance scheduling for a complex manufacturing system subject to deterioration ⋮
Persistence time of SIS infections in heterogeneous populations and networks ⋮
Limit theorems and governing equations for Lévy walks ⋮
Uniform Cesaro limit theorems for synchronous processes with applications to queues ⋮
One form of Lyapunov operator for stochastic dynamic system with Markov parameters ⋮
On the solution of two-sided fractional ordinary differential equations of Caputo type ⋮
Martingale problem under nonlinear expectations ⋮
Diffusion processes on the Thoma cone ⋮
On martingales and Feller semigroups ⋮
Fluctuation results for Hastings-Levitov planar growth ⋮
Quadratic and rate-independent limits for a large-deviations functional ⋮
Polynomial diffusions on compact quadric sets ⋮
Near-optimal stochastic approximation for online principal component estimation ⋮
Flux large deviations of independent and reacting particle systems, with implications for macroscopic fluctuation theory ⋮
On the block counting process and the fixation line of the Bolthausen-Sznitman coalescent ⋮
On the rate of convergence to equilibrium for reflected Brownian motion ⋮
Stochastic games for continuous-time jump processes under finite-horizon payoff criterion ⋮
Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics ⋮
On optimal stopping of multidimensional diffusions ⋮
Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve ⋮
Long-term behaviour of a cyclic catalytic branching system ⋮
Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve ⋮
Equilibrium fluctuations for exclusion processes with conductances in random environments ⋮
Infinite-dimensional polynomial processes ⋮
Efficient estimation and filtering for multivariate jump-diffusions ⋮
Model checking Markov population models by stochastic approximations ⋮
Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty ⋮
Coupled continuous time random maxima ⋮
Solving the selection-recombination equation: ancestral lines and dual processes ⋮
A central limit theorem for stochastic heat equations in random environment ⋮
Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces ⋮
On absolute continuity and singularity of multidimensional diffusions ⋮
Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noise ⋮
A dual Yamada-Watanabe theorem for Lévy driven stochastic differential equations ⋮
Structural properties of Markov chains with weak and strong interactions ⋮
Safety of stochastic systems: an analytic and computational approach ⋮
Mean field limits for interacting Hawkes processes in a diffusive regime ⋮
On a theorem by A.S. Cherny for semilinear stochastic partial differential equations ⋮
Fast Jackson networks ⋮
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models ⋮
On the long-time behavior of a perturbed conservative system with degeneracy ⋮
Correction to: ``Cylindrical martingale problems associated with Lévy generators ⋮ The leftmost column of ordered Chinese restaurant process up-down chains: intertwining and convergence ⋮ Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation