A Useful Family of Stochastic Processes for Modeling Shape Diffusions

Stochastic Processes and Control for Jump-Diffusions∗

An applied compact introductory survey of Markov stochastic processes and control in continuous time is presented. The presentation is in tutorial stages, beginning with deterministic dynamical systems for contrast and continuing on to perturbing the deterministic model with diffusions using Wiener processes. Then jump perturbations are added using simple Poisson processes constructing the theo...

Applied Stochastic Processes and Control for Jump - Diffusions : Modeling , Analysis , and Computation Floyd

Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation

an investigation about the appropriate stochastic modeling framework for agricultural insurance pricing

با توجه به اینکه بیمه محصولات کشاورزی در ایران بیشتر جنبه ای حمایتی دارد و خسارات گزارش شده عموما بیش از حق بیمه های دریافت شده است، در این پایان نامه به جهت تعیین قیمت بیمه محصولات کشاورزی (گندم دیم) از فرآیندهای نوفه شلیک به عنوان مدلی مناسب استفاده شده است. بر اساس داده های صندوق بیمه کشاورزی از خسارات اعلام شده در سال زراعی 1388-1389 گندم دیم، در این پایان نامه حق بیمه خالص و ناخالص این محص...

Stochastic derivatives for fractional diffusions

In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given σ-field Q. In our framework, we recall well-known results about Markov Wiener diffusions. We afterwards mainly focus on the case where X is a fractional diffusion and where Q is the past, the future or the present of X . We treat some crucial examples and our main result ...

Useful Martingales for Stochastic Storage Processes with Lévy-Type Input

In this paper we generalize the martingale of Kella and Whitt to the setting of Lévy-type processes and show that under some quite minimal conditions the local martingales are actually L martingales which upon dividing by the time index converge to zero a.s. and in L. We apply these results to generalize known decomposition results for Lévy queues with secondary jump inputs and queues with serv...