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Published in 2017 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2017.01.076
Abstract: Abstract We prove a Feynman–Kac-type theorem for jump-diffusion models in random environments. We consider the Cauchy and Dirichlet problems. Our results enable us to calculate some conditional expectations using related partial integro-differential equations (PIDEs) and…
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Keywords:
integro differential;
random environments;
partial integro;
feynman kac ... See more keywords
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Published in 2018 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2018.30
Abstract: Abstract For many practical situations in reliability engineering, components in the system are usually dependent since they generally work in a collaborative environment. In this paper we build sufficient conditions for comparing two coherent systems…
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Keywords:
stochastic comparisons;
different random;
random environments;
systems different ... See more keywords
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Published in 2019 at "Stochastic Models"
DOI: 10.1080/15326349.2019.1588133
Abstract: Abstract Branching processes in random environments arise in a variety of applications such as biology, finance, and other contemporary scientific areas. Motivated by these applications, this article investigates the problem of ancestral inference. Specifically, the…
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Keywords:
random environments;
branching processes;
chain reaction;
processes random ... See more keywords
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Published in 2019 at "Electronic Journal of Probability"
DOI: 10.1214/19-ejp311
Abstract: Consider a heavy-tailed branching process (denoted by $Z_{n}$) in random environments, under the condition which infers that $\mathbb{E}\log m(\xi_{0})=\infty$. We show that (1) there exists no proper $c_{n}$ such that $\{Z_{n}/c_{n}\}$ has a proper, non-degenerate…
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Keywords:
tailed branching;
heavy tailed;
bar;
bar bar ... See more keywords
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Published in 2022 at "Entropy"
DOI: 10.3390/e24040496
Abstract: We address the process of discounting in random environments, which allows valuation of the future in economic terms. We review several approaches to the problem regarding different well-established stochastic market dynamics in the continuous-time context…
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Keywords:
random environments;
discounting random;
future discounting;
environments review ... See more keywords