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The disorder problem for compound Poisson processes with exponential jumps
8 references·0 citing·27 second hop
The disorder problem for compound Poisson processes with exponential jumps (2005)The disorder problem for compound Poisson…Solving the Poisson Disorder Problem (2002)Solving the Poisson Disorder …ESSENTIALS OF STOCHASTIC FINANCE (2000)ESSENTIALS OF STOCHASTIC FINA…Optimal stopping for a diffusion with jumps (1999)Optimal stopping for a diffus…Essentials of Stochastic Finance (1999)Essentials of Stochastic Fina…Change-point problems (1994)Change-point problemsLimit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Bandit Problems, Sequential Allocation of Experiments. (1987)Bandit Problems, Sequential A…On Optimum Methods in Quickest Detection Problems (1963)On Optimum Methods in Quickes…Continuous-Time Finance. (1991)Investment Under Uncertainty. (1994)Political Learning from Rare Events: Poisson Inference, Fiscal Constraints, and the Lifetime of Bureaus (2004)Pricing American currency options in an exponential Lévy model (2004)Perpetual convertible bonds in jump-diffusion models (2005)Stochastic Integration and Differential Equations (2005)Theory of Games and Statistical Decisions. (1955)Detecting changes in signals and systems—A survey (1988)Sequential Changepoint Detection in Quality Control and Dynamical Systems (1995)Some Current Directions in the Theory and Application of Statistical Process Monitoring (2014)Learning by Doing and the Choice of Technology (1996)Linearly Parameterized Bandits (2010)Unbiased offline evaluation of contextual-bandit-based news article recommendation algorithms (2011)The standard Poisson disorder problem revisited (2005)Compound Poisson Disorder Problem (2006)The Wiener disorder problem with finite horizon (2006)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Dynamical pricing of weather derivatives (2002)The cumulant process and Esscher's change of measure (2002)Common breaks in means and variances for panel data (2009)Analysis of changepoint models (2011)Multiple Change-Point Detection: A Selective Overview (2016)Applications of Hilbert–Huang transform to non‐stationary financial time series analysis (2003)Option pricing and Esscher transform under regime switching (2005)Arbitrage Theory in Continuous Time (1998)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1963On Optimum Methods in Quickest Detection Problems839 cited
  • 1987Bandit Problems, Sequential Allocation of Experiments.566 cited
  • 1999Essentials of Stochastic Finance412 cited
  • 2000ESSENTIALS OF STOCHASTIC FINANCE301 cited
  • 1994Change-point problems146 cited
  • 2002Solving the Poisson Disorder Problem116 cited
  • 1999Optimal stopping for a diffusion with jumps60 cited

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