Works matching IS 00219002 AND DT 2020 AND VI 57 AND IP 4
Results: 19
Small-Time smile for the multifactor volatility heston model.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1070, doi. 10.1017/jpr.2020.63
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- Article
Synchronized Lévy queues.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1222, doi. 10.1017/jpr.2020.75
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JPR volume 57 issue 4 Cover and Back matter.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. b1, doi. 10.1017/jpr.2020.95
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- Article
A temporal factorization at the maximum for certain positive self-similar Markov processes.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1045, doi. 10.1017/jpr.2020.62
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Generalised liouville processes and their properties.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1088, doi. 10.1017/jpr.2020.61
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JPR volume 57 issue 4 Cover and Front matter.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. f1, doi. 10.1017/jpr.2020.94
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- Article
On geometric and algebraic transience for block-structured Markov chains.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1313, doi. 10.1017/jpr.2020.69
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The empirical mean position of a branching Lévy process.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1252, doi. 10.1017/jpr.2020.60
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Rate of convergence for traditional Pólya urns.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1029, doi. 10.1017/jpr.2020.59
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On a new stochastic model for cascading failures.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1150, doi. 10.1017/jpr.2020.68
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Non-Comparability with respect to the convex transform order with applications.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1339, doi. 10.1017/jpr.2020.67
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A generalization of Matérn hard-core processes with applications to max-stable processes.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1298, doi. 10.1017/jpr.2020.66
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Multivariate finite-support phase-type distributions.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1260, doi. 10.1017/jpr.2020.65
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Zipf's law for atlas models.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1276, doi. 10.1017/jpr.2020.64
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- Article
Representations of hermite processes using local time of intersecting stationary stable regenerative sets.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1234, doi. 10.1017/jpr.2020.57
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- Article
Exact sampling of determinantal point processes without eigendecomposition.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1198, doi. 10.1017/jpr.2020.56
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- Article
On Λ-Fleming–Viot processes with general frequency-dependent selection for general selective interactions as well as extreme reproductive events. Our multidimensional model aims for the generality of adaptive dynamics and the tractability of population genetics. It generalises the idea of Krone and Neuhauser [39] and González Casanova and Spanò [29], who represented the selection by allowing individuals to sample several potential parents in the previous generation before choosing the 'strongest' one, by allowing individuals to use any rule to choose their parent. The type of the newborn can even not be one of the types of the potential parents, which allows modelling mutations. Via a large population limit, we obtain a generalisation of $\Lambda$ -Fleming–Viot processes, with a diffusion term and a general frequency-dependent selection, which allows for non-transitive interactions between the different types present in the population. We provide some properties of these processes related to extinction and fixation events, and give conditions for them to be realised as unique strong solutions of multidimensional stochastic differential equations with jumps. Finally, we illustrate the generality of our model with applications to some classical biological interactions. This framework provides a natural bridge between two of the most prominent modelling frameworks of biological evolution: population genetics and eco-evolutionary models.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1162, doi. 10.1017/jpr.2020.55
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Maximizing the p th moment of the exit time of planar brownian motion from a given domain.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1135, doi. 10.1017/jpr.2020.54
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- Article
Skeletal stochastic differential equations for superprocesses in law to a discrete Markov branching process whose genealogy is dressed in a Poissonian way with immigration which initiates subcritical superprocesses. The Markov branching process corresponds to the genealogical description of prolific individuals, that is, individuals who produce eternal genealogical lines of descent, and is often referred to as the skeleton or backbone of the original superprocess. The Poissonian dressing along the skeleton may be considered to be the remaining non-prolific genealogical mass in the superprocess. Such skeletal decompositions are equally well understood for continuous-state branching processes (CSBP). In a previous article [16] we developed an SDE approach to study the skeletal representation of CSBPs, which provided a common framework for the skeletal decompositions of supercritical and (sub)critical CSBPs. It also helped us to understand how the skeleton thins down onto one infinite line of descent when conditioning on survival until larger and larger times, and eventually forever. Here our main motivation is to show the robustness of the SDE approach by expanding it to the spatial setting of superprocesses. The current article only considers supercritical superprocesses, leaving the subcritical case open.
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- Journal of Applied Probability, 2020, v. 57, n. 4, p. 1111, doi. 10.1017/jpr.2020.53
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- Article