Advanced Series on Statistical Science & Applied Probability

Advanced Series on Statistical Science & Applied Probability

The heat modulated infinite dimensional Heston model and its numerical approximation.

Συγγραφείς: Espen Benth, Fred, Lord, Gabriel J., Di Nunno, Giulia, Petersson, Andreas

Πηγή: Stochastics: An International Journal of Probability & Stochastic Processes; Dec2025, Vol. 97 Issue 8, p1038-1078, 41p

Enhanced Fast Fractional Fourier Transform (FRFT) Scheme Based on Closed Newton-Cotes Rules.

Συγγραφείς: Nzokem, Aubain, Maposa, Daniel, Seimela, Anna M.

Πηγή: Axioms (2075-1680); Jul2025, Vol. 14 Issue 7, p543, 19p

Θεματικοί όροι: FAST Fourier transforms, NUMERICAL integration, STATISTICAL models, PROBABILITY density function, MATHEMATICAL models, NUMERICAL analysis

REVIEW OF WIND FUTURES BY GAUSSIAN AND LÉVY JUMP RISKS.

Συγγραφείς: Dennhardt, Benjamin, Ling Lang

Πηγή: Risk Governance & Control: Financial Markets & Institutions; 2025, Vol. 15 Issue 1, p50-60, 11p

On the pricing and hedging of precipitation derivatives.

Συγγραφείς: Hess, Markus

Πηγή: Probability, Uncertainty & Quantitative Risk; Dec2024, Vol. 9 Issue 4, p1-30, 30p

Θεματικοί όροι: STOCHASTIC differential equations, MALLIAVIN calculus, PRICES, FOURIER transforms, HEDGING (Finance)

Vector Calculus for Tamed Dirichlet Spaces.

Συγγραφείς: Braun, Mathias

Πηγή: Memoirs of the American Mathematical Society; Nov2024, Vol. 303 Issue 1522, p1-150, 150p

Hessian Estimates for Dirichlet and Neumann Eigenfunctions of Laplacian.

Συγγραφείς: Cheng, Li-Juan, Thalmaier, Anton, Wang, Feng-Yu

Πηγή: IMRN: International Mathematics Research Notices; Nov2024, Vol. 2024 Issue 21, p13563-13585, 23p

Θεματικοί όροι: STOCHASTIC analysis, EIGENVALUES

Markov additive friendships.

Συγγραφείς: Döring, Leif, Trottner, Lukas, Watson, Alexander R.

Πηγή: Transactions of the American Mathematical Society; Nov2024, Vol. 377 Issue 11, p7699-7752, 54p

Θεματικοί όροι: MARKOV processes, LEVY processes, INVERSE problems, FRIENDSHIP, ADDITIVES

Overconservativeness of Variance-Based Efficiency Criteria and Probabilistic Efficiency in Rare-Event Simulation.

Συγγραφείς: Bai, Yuanlu, Huang, Zhiyuan, Lam, Henry, Zhao, Ding

Πηγή: Management Science; Oct2024, Vol. 70 Issue 10, p6852-6873, 22p

Θεματικοί όροι: ARTIFICIAL intelligence, LARGE deviations (Mathematics), COMPUTER networks, COMPUTER systems, STOCHASTIC models

FROM CALENDAR TIME TO BUSINESS TIME: THE CASE OF COMMODITY MARKETS.

Συγγραφείς: LADOKHIN, SERGIY, SCHMECK, MAREN DIANE, BOROVKOVA, SVETLANA

Πηγή: International Journal of Theoretical & Applied Finance; Aug/Sep2024, Vol. 27 Issue 5/6, p1-37, 37p

Θεματικοί όροι: COMMODITY futures, PETROLEUM, FUTURES sales & prices, PRICES, NATURAL gas, COMMODITY exchanges

Estimating stratospheric polar vortex strength using ambient ocean‐generated infrasound and stochastics‐based machine learning.

Συγγραφείς: Vorobeva, Ekaterina, Eggen, Mari Dahl, Midtfjord, Alise Danielle, Benth, Fred Espen, Hupe, Patrick, Brissaud, Quentin, Orsolini, Yvan, Näsholm, Sven Peter

Πηγή: Quarterly Journal of the Royal Meteorological Society; Jul2024, Vol. 150 Issue 762, p2712-2726, 15p

Θεματικοί όροι: INFRASONIC waves, ZONAL winds, ATMOSPHERIC waves, OCEAN waves, WEATHER forecasting, POLAR vortex, SURFACE waves (Seismic waves)

A simplified Wiener–Hopf factorization method for pricing double barrier options under Lévy processes.

Συγγραφείς: Kudryavtsev, Oleg

Πηγή: Computational Management Science; 6/9/2024, Vol. 21 Issue 1, p1-30, 30p

Θεματικοί όροι: LEVY processes, LAPLACE transformation, FACTORIZATION, DISTRIBUTION (Probability theory), NEWTON-Raphson method, PRICES, CHARACTERISTIC functions

The Bahadur Representation for Empirical and Smooth Quantile Estimators Under Association.

Συγγραφείς: Berrahou, Nour-Eddine, Bouzebda, Salim, Douge, Lahcen

Πηγή: Methodology & Computing in Applied Probability; Jun2024, Vol. 26 Issue 2, p1-37, 37p

Almost sure convergence for weighted sums of pairwise PQD random variables.

Συγγραφείς: da Silva, João Lita

Πηγή: Communications in Statistics: Theory & Methods; 2024, Vol. 53 Issue 10, p3435-3458, 24p

Θεματικοί όροι: RANDOM variables, LAW of large numbers, REGRESSION analysis, DEPENDENT variables

FINANCIAL FINANCE.

Συγγραφείς: MADAN, DILIP B., WANG, KING

Πηγή: International Journal of Theoretical & Applied Finance; May/Jun2024, Vol. 27 Issue 3/4, p1-27, 27p

Θεματικοί όροι: RISK premiums, PROBABILITY measures, EXPECTANCY theories, NONLINEAR theories, CASH flow

Simulating the behavior of a kernel M-estimator for left-truncated and associated model.

Συγγραφείς: Gheliem, Asma, Guessoum, Zohra

Πηγή: Communications in Statistics: Simulation & Computation; 2024, Vol. 53 Issue 5, p2366-2388, 23p

Θεματικοί όροι: REGRESSION analysis, MONTE Carlo method, SAMPLE size (Statistics)

Zero-Adjusted Log-Symmetric Quantile Regression Models.

Συγγραφείς: Cunha, Danúbia R., Divino, Jose Angelo, Saulo, Helton

Πηγή: Computational Economics; May2024, Vol. 63 Issue 5, p2087-2111, 25p

Θεματικοί όροι: QUANTILE regression, REGRESSION analysis, MONTE Carlo method, HETEROSCEDASTICITY, DEPENDENT variables

Stochastic Modeling of Wind Derivatives with Application to the Alberta Energy Market.

Συγγραφείς: Warunasinghe, Sudeesha, Swishchuk, Anatoliy

Πηγή: Risks; Feb2024, Vol. 12 Issue 2, p18, 26p

Θεματικοί όροι: ENERGY industries, STOCHASTIC models, LEVY processes, ELECTRICITY pricing, WIND power, WIND power plants

Branching Brownian motion under soft killing.

Συγγραφείς: Öz, Mehmet

Πηγή: ALEA. Latin American Journal of Probability & Mathematical Statistics; 2024, Vol. 21 Issue 1, p491-515, 25p

Θεματικοί όροι: BROWNIAN motion, POISSON algebras, ASSOCIATIVE algebras, MATHEMATICS, NULL hypothesis