Numerical aspects of shot noise representation of infinitely divisible laws and related processes-Reference-Cited by-同舟云学术

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Numerical aspects of shot noise representation of infinitely divisible laws and related processes

Published:2021-01-01 Issue:none Volume:18 Page:
ISSN:1549-5787
Container-title:Probability Surveys
language:
Short-container-title:Probab. Surveys

Author:

Yuan Sida¹,Kawai Reiichiro²

Affiliation:

1. Commonwealth Bank of Australia, 5-7 Central Avenue, Sydney, NSW 2015, Australia

2. Graduate School of Arts and Sciences / Mathematics and Informatics Center, The University of Tokyo, Japan

Publisher

Institute of Mathematical Statistics

Subject

Statistics and Probability

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3. The Gerber-Shiu discounted penalty function: A review from practical perspectives;Insurance: Mathematics and Economics;2023-03

4. Numerical methods for backward stochastic differential equations: A survey;Probability Surveys;2023-01-01

5. Approximation and error analysis of forward–backward SDEs driven by general Lévy processes using shot noise series representations;ESAIM: Probability and Statistics;2023

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