Related papers: Integro-differential equations linked to compound …

The aim of this article is to analyze data from multiple repairable systems under the presence of dependent competing risks. In order to model this dependence structure, we adopted the well-known shared frailty model. This model provides a…

The dynamics of populations is frequently subject to intrinsic noise. At the same time unknown interaction networks or rate constants can present quenched uncertainty. Existing approaches often involve repeated sampling of the quenched…

In this paper we study strong solutions of some non-local difference-differential equations linked to a class of birth-death processes arising as discrete approximations of Pearson diffusions by means of a spectral decomposition in terms of…

This article deals with a viscoplastic material model of overstress type. The model is based on a multiplicative decomposition of the deformation gradient into elastic and inelastic part. An additional multiplicative decomposition of…

We consider the intensity-based approach for the modeling of default times of one or more companies. In this approach the default times are defined as the jump times of a Cox process, which is a Poisson process conditional on the…

We consider the problem of determining escape probabilities from an interval of a general compound renewal process with drift. This problem is reduced to the solution of a certain integral equation. In an actuarial situation where only…

Failure times of a machinery cannot always be assumed independent and identically distributed, e.g. if after reparations the machinery is not restored to a same-as-new condition. Framed within the renewal processes approach, a…

We investigate, focusing on the ruin probability, an adaptation of the Cramer-Lundberg model for the surplus process of an insurance company, in which, conditionally on their intensities, the two mixed Poisson processes governing the…

In this paper we discuss a natural extension of infinite discrete partition-of-unity copulas which were recently introduced in the literature to continuous partition of copulas with possible applications in risk management and other fields.…

We consider the pricing of derivatives written on accumulated marks, such as weather derivatives or aggregate loss claims, using a self-exciting marked point process. The jump intensity mean-reverts between events and increases at jump…

In this paper the numerical approximation of solutions of Liouville-Master Equations for time-dependent distribution functions of Piecewise Deterministic Processes with memory is considered. These equations are linear hyperbolic PDEs with…

We characterize the class of exchangeable Feller processes evolving on partitions with boundedly many blocks. In continuous-time, the jump measure decomposes into two parts: a $\sigma$-finite measure on stochastic matrices and a collection…

This paper is the first part of a series of papers on filtering for partially observed jump diffusions satisfying a stochastic differential equation driven by Wiener processes and Poisson martingale measures. The coefficients of the…

In this work, we consider the coupled systems of linear unsteady partial differential equations, which arise in the modeling of poroelasticity processes. Stability estimates of weighted difference schemes for the coupled system of equations…

This paper introduces a discrete-time fractional Poisson process defined as a renewal process, where the waiting times follow a discrete Mittag-Leffler distribution. We investigate its fundamental properties by explicitly deriving the…

In this paper, we study the convergence for solutions to a sequence of (possibly degenerate) stochastic differential equations with jumps, when the coefficients converge in some appropriate sense. Our main tools are the superposition…

A new method of numerical solution for partial differential equations is proposed. The method is based on a fast matrix multiplication algorithm. Two-dimensional Poison equation is used for comparison of the proposed method with…

It is our intention to provide via fractional calculus a generalization of the pure and compound Poisson processes, which are known to play a fundamental role in renewal theory, without and with reward, respectively. We first recall the…

The present study supposes a single unit and investigates cumulative damage and catastrophic failure models for the unit, in situations where the interarrival times between the shocks, and the magnitudes of the shocks, involve two different…

One of approaches to quantum gravity is different models of a discrete pregeometry. An example of a discrete pregeometry on a microscopic scale is introduced. This is the particular case of a causal set. The causal set is a locally finite…