Related papers: On the gamma-reflected processes with fBm input
Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probability as the initial…
We investigate diffusion models generating synthetic samples from the probability distribution represented by the Ground Truth (GT) samples. We focus on how GT sample information is encoded in the Score Function (SF), computed (not…
We investigate the asymptotic of ruin probabilities when the company invests its reserve in a risky asset with a switching regime price. We assume that the asset price is a conditional geometric Brownian motion with parameters modulated by…
In this paper, we adapt the classic Cram\'er-Lundberg collective risk theory model to a perturbed model by adding a Wiener process to the compound Poisson process, which can be used to incorporate premium income uncertainty, interest rate…
We consider a reflected Ornstein-Uhlenbeck process $X$ driven by a fractional Brownian motion with Hurst parameter $H\in (0, \frac12) \cup (\frac12, 1)$. Our goal is to estimate an unknown drift parameter $\alpha\in (-\infty,\infty)$ on the…
In this paper we study a spectrally negative L\'{e}vy process that is reflected at its draw-down level whenever a draw-down time from the running supremum arrives. Using an excursion-theoretical approach, for such a reflected process we…
The fractional Brownian motion of index $0 < H < 1$, H-FBM, with d-dimensional time is considered on an expanding set TG, where G is a bounded convex domain that contains 0 at its boundary. The main result: if 0 is a point of smoothness of…
Let $\mathcal{G}(\frak{g}_1,\frak{g}_2)$ be the class of all probability distribution functions of positive random variables having the given first two moments $\frak{g}_1$ and $\frak{g}_2$. Let $G_1(x)$ and $G_2(x)$ be two probability…
We analyze here different types of fractional differential equations, under the assumption that their fractional order $\nu \in (0,1] $ is random\ with probability density $n(\nu).$ We start by considering the fractional extension of the…
We consider random walks on the nonnegative integers in a space-time dependent random environment. We assume that transition probabilities are given by independent $\mathrm{Beta}(\mu,\mu)$ distributed random variables, with a specific…
In this paper, we are concerned with the numerical solution of one type integro-differential equation by a probability method based on the fundamental martingale of mixed Gaussian processes. As an application, we will try to simulate the…
Stochastic resetting -- the intermittent restart of random processes -- has profoundly reshaped first-passage theory, providing a mechanism to control and optimize completion times. While the influence of resetting on mean first-passage…
Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of claims according to a renewal process. One ruin problem…
Many quantities characterizing infectious disease outbreaks - like the effective reproduction number ($R_t$), defined as the average number of secondary infections a newly infected individual will cause over the course of their infection -…
Fractional Brownian motion is a self-affine, non-Markovian and translationally invariant generalization of Brownian motion, depending on the Hurst exponent $H$. Here we investigate fractional Brownian motion where both the starting and the…
In combinatorics on words, the well-studied factor complexity function $\rho_{\infw{x}}$ of a sequence $\infw{x}$ over a finite alphabet counts, for every nonnegative integer $n$, the number of distinct length-$n$ factors of $\infw{x}$. In…
We study a random walk (Markov chain) in an unbounded planar domain whose boundary is described by two curves of the form $x_2 = a^+ x_1^{\beta^+}$ and $x_2 = -a^- x_1^{\beta^-}$, with $x_1 \geq 0$. In the interior of the domain, the random…
The tunneling decay rate per unit volume in Quantum Field Theory (QFT), at order $\hbar$, is given by $\Gamma/V = Ae^{-B}$, where $B$ is the Euclidean action evaluated at the so-called bounce, and $A$ is proportional to the determinant of a…
Stochastic processes time-changed by an inverse subordinator have been suggested as a way to model the price of assets in illiquid markets, where the jumps of the subordinator correspond to periods of time where one is unable to sell an…
A fractional reaction-diffusion equation is derived from a continuous time random walk model when the transport is dispersive. The exit from the encounter distance, which is described by the algebraic waiting time distribution of jump…