Brazilian Journal of Probability and Statistics, Vol. 34, No. 3 (2020), pp. 658-684 (27 pages) The existence of an invariant probability measure is proven for a class of solutions of stochastic ...
Complex behaviour in many systems arises from the stochastic interactions of spatially distributed particles or agents. Stochastic reaction–diffusion processes are widely used to model such behaviour ...
Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...
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