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Modelling of stochastic hybrid systems with applications to accident risk assessment
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Modelling of stochastic hybrid systems with applications to accident risk assessment (2006)Modelling of stochastic hybrid systems wi…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Stochastic differential equations and applications (2008)Stochastic differential equat…Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Chapter 11 Rare-Event Simulat…Importance Sampling for Portfolio Credit Risk (2005)Importance Sampling for Portf…Feynman-Kac Formulae (2004)Feynman-Kac FormulaeMultilevel Splitting for Estimating Rare Event Probabilities (1999)Multilevel Splitting for Esti…Stochastic differential equations and their applications (1997)Stochastic differential equat…Fast simulation of rare events in queueing and reliability models (1995)Fast simulation of rare event…Restart: a straightforward method for fast simulation of rare events (1994)Restart: a straightforward me…Markov Models & Optimization (1993)Markov Models & OptimizationON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modelling of extremal events in insurance and finance (1994)Monte Carlo Methods in Financial Engineering (2003)Efficient rare-event simulation for the maximum of heavy-tailed random walks (2008)Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation (2008)Asymptotic robustness of estimators in rare-event simulation (2010)Applied Probability and Queues (1987)Stability, queue length, and delay of deterministic and stochastic queueing networks (1994)Proceedings of the 2002 Winter Simulation Conference (2002)Rare Event Simulation using Monte Carlo Methods (2009)Introduction to Stochastic Processes (2014)CSIM (1986)A quick simulation method for excessive backlogs in networks of queues (1989)Simulation and Estimation of Extreme Quantiles and Extreme Probabilities (2011)On Default Correlation (2000)The systemic risk of European banks during the financial and sovereign debt crises (2015)Searching for innovation: Product, process, and business model innovations and search behavior in established firms (2018)BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients (2010)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Modeling Term Structures of Defaultable Bonds (1999)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Recovering volatility from option prices by evolutionary optimization (2005)Rare events, splitting, and quasi-Monte Carlo (2007)Self-Exciting Jumps, Learning, and Asset Pricing Implications (2014)Stability and convergence of moments for multiclass queueing networks via fluid limit models (1995)Controlled diffusion models for optimal dividend pay-out (1997)Dynamic modeling and control of supply chain systems: A review (2007)Splitting for rare event simulation (1996)Techniques for fast simulation of models of highly dependable systems (2001)
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References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2008Stochastic differential equations and applications4,595 cited
  • 1997Stochastic differential equations and their applications1,351 cited
  • 1993Markov Models & Optimization861 cited
  • 2004Feynman-Kac Formulae769 cited
  • 1995Fast simulation of rare events in queueing and reliability models546 cited
  • 2005Importance Sampling for Portfolio Credit Risk322 cited
  • 1999Multilevel Splitting for Estimating Rare Event Probabilities252 cited
  • 2006Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances180 cited
  • 1994Restart: a straightforward method for fast simulation of rare events96 cited

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