116 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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Anindya Goswami, Kuldip Singh Patel, “Domain truncation error analysis for a multidimensional system of PDEs of option prices”, Mathematics and Computers in Simulation, 2025
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Ankit Singh, Vikas Maurya, Manoj K. Rajpoot, “Numerical valuation of American options with liquidity shocks using IMEX methods”, Numer Algor, 2025
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Hai-Dang Nguyen, George Yin, Chao Zhu, Probability Theory and Stochastic Modelling, 63, Hybrid Switching Diffusions, 2025, 311
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Hai-Dang Nguyen, George Yin, Chao Zhu, Probability Theory and Stochastic Modelling, 63, Hybrid Switching Diffusions, 2025, 275
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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)