35 citations to https://www.mathnet.ru/rus/tvp288
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Xing X., Zhang W., Wang Y., “The stationary distributions of two classes of reflected Ornstein–Uhlenbeck processes”, J. Appl. Probab., 46:3 (2009), 709–720
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Bankovsky D., Sly A., “Exact conditions for no ruin for the generalised Ornstein–Uhlenbeck process”, Stochastic Process. Appl., 119:8 (2009), 2544–2562
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Ross A. Maller, Gernot Müller, Alex Szimayer, Handbook of Financial Time Series, 2009, 421
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Jaap H. Abbring, “Mixed Hitting-Time Models”, SSRN Journal, 2009
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Xiaoyu Xing, Wei Zhang, Yongjin Wang, “The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes”, J. Appl. Probab., 46:03 (2009), 709
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А. А. Новиков, “Несколько замечаний о распределении времени первого выхода и оптимальной остановке AR(1)-последовательностей”, Теория вероятн. и ее примен., 53:3 (2008), 458–471 ; A. A. Novikov, “On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences”, Theory Probab. Appl., 53:3 (2009), 419–429
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Avram F., Usabel M., “The Gerber-Shiu expected discounted penalty-reward function under an affine jump-diffusion model”, Astin Bull., 38:2 (2008), 461–481
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Novikov A., Kordzakhia N., “Martingales and first passage times of AR(1) sequences”, Stochastics, 80:2-3 (2008), 197–210
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Borovkov K., Novikov A., “On exit times of Levy-driven Ornstein–Uhlenbeck processes”, Statist. Probab. Lett., 78:12 (2008), 1517–1525
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Jacobsen M., Jensen A.T., “Exit times for a class of piecewise exponential Markov processes with two–sided jumps”, Stochastic Process. Appl., 117:9 (2007), 1330–1356