In analyzing the practical engineering problems involving stochastic processes, a key
component is the estimation of time intervals between the crossings across a specified …

In this article, we focus on death-linked contingent claims (GMDBs) paying a random
financial return at a random time of death in the general case where financial returns follow …

Evidence from response time studies and time pressure experiments has led several
authors to conclude that “fairness is intuitive”. In light of conflicting findings, we provide …

This paper studies the problem of sequential Gaussian shift-in-mean hypothesis testing in a
distributed multi-agent network. A sequential probability ratio test (SPRT) type algorithm in a …

In this paper, we consider some properties of switching Brownian motion. Combining the
analytic method and probabilistic method, some explicit expressions of density functions, the …

The probability of a stochastic process to first breach an upper and/or a lower level is an
important quantity for optimal control and risk management. We present those probabilities …

In this work, we explore the information content of senior, subordinated and additional tier 1
(or contingent convertible) bonds issued by euro-area banks. We analyze both the asset …

In this paper, we focus on some properties and the maximum distribution estimates for one-
dimensional Brownian motion with Markov switching. The explicit expressions for density …

In this paper, an approximate version of the Barndorff-Nielsen and Shephard model, driven
by a Brownian motion and a L\'evy subordinator, is formulated. The first-exit time of the log …

In this paper we show how to approximate the transition density of a CARMA (p, q) model
driven by a time-changed Brownian motion based on the Gauss--Laguerre quadrature. This …