Feynman–Kac theorem in random environments and partial integro-differential equations
Sign Up to like & getrecommendations! 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… read more here.
Keywords: integro differential; random environments; partial integro; feynman kac ... See more keywords
Stochastic comparisons of coherent systems under different random environments
Sign Up to like & getrecommendations! 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… read more here.
Keywords: stochastic comparisons; different random; random environments; systems different ... See more keywords
Ancestral inference for branching processes in random environments and an application to polymerase chain reaction
Sign Up to like & getrecommendations! 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… read more here.
Keywords: random environments; branching processes; chain reaction; processes random ... See more keywords
Closed-form solutions for Bernoulli and compound Poisson branching processes in random environments
Sign Up to like & getrecommendations! Published in 2024 at "Journal of Statistical Mechanics: Theory and Experiment"
DOI: 10.1088/1742-5468/ad83c8
Abstract: For branching processes, the generating functions for the limit distributions of the so-called ratios of probabilities of rare events satisfy Schröder-type integral–functional equations. With the exception of a few special cases, the corresponding equations cannot… read more here.
Keywords: processes random; poisson; random environments; form solutions ... See more keywords
Asymptotic behaviour of heavy-tailed branching processes in random environments
Sign Up to like & getrecommendations! 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… read more here.
Keywords: tailed branching; heavy tailed; bar; bar bar ... See more keywords
Valuing the Future and Discounting in Random Environments: A Review
Sign Up to like & getrecommendations! 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… read more here.
Keywords: random environments; discounting random; future discounting; environments review ... See more keywords