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Characteristic function equations for the state of dynamic systems with Gaussian, Poisson, and Lévy white noise
7 references·0 citing·19 second hop
Characteristic function equations for the state of dynamic systems with Gaussian, Poisson, and Lévy white noise (2004)Characteristic function equations for the…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions (2003)Tails of solutions of certain…Stochastic Calculus: Applications in Science and Engineering (2002)Stochastic Calculus: Applicat…Stochastic Calculus and Financial Applications (2001)Stochastic Calculus and Finan…G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance (1996)G.Samorodnitsky,M.S.Taqqu:Sta…Applied non-Gaussian processes : examples, theory, simulation, linear random vibration, and MATLAB solutions (1995)Applied non-Gaussian processe…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Extreme Values, Regular Variation and Point Processes (1987)Stochastic Integration and Differential Equations : A New Approach (2014)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Bandwagons and Momentum in Sequential Voting (2007)The Knowledge Gradient Algorithm for a General Class of Online Learning Problems (2012)Probabilistic engineering mechanics (1993)Stochastic Finite Elements (2009)A simple and efficient methodology to approximate a general non-Gaussian stationary stochastic process by a translation process (2011)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)A critical look at Lo's modified R/S statistic (1999)Regular variation of GARCH processes (2002)Arbitrage in fractional Brownian motion models (2003)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)Computational stochastic mechanics – recent advances (2001)Simulation of second-order processes using Karhunen–Loeve expansion (2002)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1996G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance559 cited
  • 2001Stochastic Calculus and Financial Applications501 cited
  • 2002Stochastic Calculus: Applications in Science and Engineering345 cited
  • 1995Applied non-Gaussian processes : examples, theory, simulation, linear random vibration, and MATLAB solutions288 cited
  • 2003Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions33 cited

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