112 citations to https://www.mathnet.ru/rus/tvp3771
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Surya Teja Eada, Vladimir Pozdnyakov, Jun Yan, “Discretely observed Brownian motion governed by telegraph signal process: Estimation and application to finance”, Stat Inference Stoch Process, 28:1 (2025)
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Felix L. Wolf, Griselda Deelstra, Lech A. Grzelak, “Consistent asset modelling with random coefficients and switches between regimes”, Mathematics and Computers in Simulation, 223 (2024), 65
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Thomas Lux, “Estimation of regime-switching diffusions via Fourier transforms”, Stat Comput, 34:2 (2024)
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Viktor Antipov, Yuri Kabanov, “Ruin Probabilities with Investments in Random Environment: Smoothness”, Mathematics, 12:11 (2024), 1705
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Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli, “Deep Quadratic Hedging”, Mathematics of OR, 2024
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Gerardo Barrera, Jani Lukkarinen, “Quantitative control of Wasserstein distance between Brownian motion and the Goldstein–Kac telegraph process”, Ann. Inst. H. Poincaré Probab. Statist., 59:2 (2023)
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Young Lee, Thorsten Rheinländer, “On the cumulant transforms for Hawkes processes”, J. Appl. Probab., 60:2 (2023), 528
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Song-Ping Zhu, Yawen Zheng, “An integral equation approach for pricing American put options under regime-switching model”, International Journal of Computer Mathematics, 100:7 (2023), 1454
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Anindya Goswami, Kedar Nath Mukherjee, Irvine Homi Patalwala, Nadahalli Satish Sanjay, “Regime recovery using implied volatility in Markov modulated market model”, Appl Stoch Models Bus & Ind, 38:6 (2022), 1127
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Yuri Kabanov, Sergey Pergamenshchikov, “On ruin probabilities with investments in a risky asset with a regime-switching price”, Finance Stoch, 26:4 (2022), 877