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内部出版物
在“
SpringerLink电子期刊
”中,
命中:
8
条,耗时:小于0.01 秒
1.
Asymptotic expansion of Gaussian chaos via probabilistic approach
作者:
Enkelejd Hashorva
;
Dmitry Korshunov
;
Vladimir
I.
Piterbarg
关键词:
Wiener chaos
;
Polynomial chaos
;
Gaussian chaos
;
Multidimensional normal distribution
;
Subexponential distribution
;
Determinant of a random matrix
;
Gaussian orthogonal ensemble
;
Diameter of random Gaussian clouds
;
Max
;
domain of attraction
;
MSC 60J57
;
MSC 60E05
;
MSC 60E99
刊名:Extremes
出版年:2015
2.
On probability of high extremes for product of two independent Gaussian stationary processes
作者:
Vladimir
I.
Piterbarg
;
Alexander Zhdanov
关键词:
Gaussian processes
;
Gaussian chaos
;
High extremes probabilities
;
Double sum method
;
Primary 60G15
;
Secondary 60K30
;
60K40
;
60G70
刊名:Extremes
出版年:2015
3.
On the 100th anniversary of Boris
Vladimir
ovich Gnedenko (01.01.1912-27.12.1995)
作者:
Dmitry B. Gnedenko (1)
Vladimir
I.
Piterbarg
(1)
刊名:Extremes
出版年:2012
4.
Leif B. G. Andersen and
Vladimir
V.
Piterbarg
: Interest Rate Modeling
作者:
Rico von Wyss (1)
刊名:Financial Markets and Portfolio Management
出版年:2011
5.
On average losses in the ruin problem with fractional Brownian motion as input
作者:
Patrick Boulongne
;
Daniel Pierre-Loti-Viaud and
Vladimir
Piterbarg
关键词:
Gaussian process
;
Large excursions
;
Average loss
;
Ruin problem
刊名:Extremes
出版年:2009
6.
Moment explosions in stochastic volatility models
作者:
Leif B. G. Andersen and
Vladimir
V.
Piterbarg
关键词:
Heston model
;
Stochastic volatility
;
CEV model
;
Displaced diffusion model
;
Moment explosion
;
Integrability
;
Martingale property
;
Volatility smile asymptotics
刊名:Finance and Stochastics
出版年:2007
7.
Moment explosions in stochastic volatility models
作者:
Leif B. G. Andersen and
Vladimir
V.
Piterbarg
关键词:
Heston model
;
Stochastic volatility
;
CEV model
;
Displaced diffusion model
;
Moment explosion
;
Integrability
;
Martingale property
;
Volatility smile asymptotics
刊名:Finance and Stochastics
出版年:2007
8.
Discrete and Continuous Time Extremes of Gaussian Processes
作者:
Vladimir
I.
Piterbarg
*
关键词:
extremes
;
Gaussian process
;
limit theorem for maximum
;
Pickands constant
刊名:Extremes
出版年:2004
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