Directory UMM :Data Elmu:jurnal:S:Stochastic Processes And Their Applications:Vol92.Issue2.2001:
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Keywords: Insurance mathematics; Ruin problem; Level-crossing probability; Stochastic discounting; Large deviations theory.. We are interested in the ruin probabilities
We employ the interlacing construction to show that the solutions ofstochastic dierential equations on manifolds which are written in Marcus canonical form and driven by
Keywords: Stochastic Hamiltonian systems; Large deviations; Moderate deviations; Exponential convergence; Hyper-exponential
Then we prove that if the drift is ane or 1-periodic in the second variable, then the solution is reciprocal (Theorems 4.7 and 4.8); we exhibit other drifts coecients with the
In Section 4 we obtain the asymptotic velocity of a second class particle for the zero-range process in a non-homogeneous environment and use this result to prove the main
Keywords: Lyapunov exponents; Stability; Stabilization by noise; Stochastic linear systems; Integrals of stationary processes.. Goal of
Motivated by Barron (1986, Ann. 140, 339 –371), we prove a version of the Lindeberg–Feller Theorem, showing normal convergence of the normalised sum of independent, not
We focus on the stability behaviour and error analysis of one-leg methods with respect to nonlinear DDEs.. The new concepts of GR-stability, GAR-stability and weak GAR-stability
