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1

Coupling for Markov renewal processes and the rate of convergence in ergodic theorems for processes with semi-Markov switchings

Dmitrii S. Silvestrov

Journal:

Acta Applicandae Mathematicae

Year:

1994

Language:

english

File:

PDF, 785 KB

english, 1994

2

An Algorithmic Approach to Discrete Time Non-homogeneous Backward Semi-Markov Reward Processes with an Application to Disability Insurance

Fredrik Stenberg, Raimondo Manca, Dmitrii Silvestrov

Journal:

Methodology and Computing in Applied Probability

Year:

2007

Language:

english

File:

PDF, 417 KB

english, 2007

3

A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process

Silvestrov, Dmitrii, Stenberg, Fredrik

Journal:

Communication in Statistics- Theory and Methods

Year:

2004

Language:

english

File:

PDF, 208 KB

english, 2004

4

Computational Algorithms for Moments of Accumulated Markov and Semi-Markov Rewards

Silvestrov, Dmitrii, Manca, Raimondo, Silvestrova, Evelina

Journal:

Communication in Statistics- Theory and Methods

Year:

2014

Language:

english

File:

PDF, 191 KB

english, 2014

5

[IEEE 2016 Second International Symposium on Stochastic Models in Reliability Engineering, Life Science and Operations Management (SMRLO) - Beer Sheva, Israel (2016.2.15-2016.2.18)] 2016 Second International Symposium on Stochastic Models in Reliability Engineering, Life Science and Operations Management (SMRLO) - Asymptotic Expansions for Stationary Distributions of Perturbed Semi-Markov Processes

Silvestrov, Dmitrii, Silvestrov, Sergei

Year:

2016

Language:

english

File:

PDF, 229 KB

english, 2016

6

American-Type Options (Stochastic Approximation Methods, Volume 2) || 4 Upper bounds for option rewards for Markov LPP

Silvestrov, Dmitrii S.

Year:

2015

Language:

english

File:

PDF, 850 KB

english, 2015

7

Limit theorems for mixed max?sum processes with renewal stopping

Silvestrov, Dmitrii S., Teugels, Jozef L.

Journal:

The Annals of Applied Probability

Year:

2004

Language:

english

File:

PDF, 242 KB

english, 2004

8

Limit theorems for extremes with random sample size

Silvestrov, Dmitrii S., Teugels, Jozef L.

Journal:

Advances in Applied Probability

Year:

1998

Language:

english

File:

PDF, 237 KB

english, 1998

9

Perturbed Markov Chains with Damping Component

Silvestrov, Dmitrii, Silvestrov, Sergei, Abola, Benard, Biganda, Pitos Seleka, EngstrÃ¶m, Christopher, Mango, John Magero, Kakuba, Godwin

Journal:

Methodology and Computing in Applied Probability

Year:

2020

File:

PDF, 584 KB

2020

10

Cramér–Lundberg approximation for nonlinearly perturbed risk processes

Mats Gyllenberg, Dmitrii S. Silvestrov

Journal:

Insurance: Mathematics and Economics

Year:

2000

Language:

english

File:

PDF, 129 KB

english, 2000

11

Nonlinearly perturbed regenerative processes and pseudo-stationary phenomena for stochastic systems

Mats Gyllenberg, Dmitrii S. Silvestrov

Journal:

Stochastic Processes and their Applications

Year:

2000

Language:

english

File:

PDF, 200 KB

english, 2000

12

Quasi-stationary distributions of a stochastic metapopulation model

Mats Gyllenberg, Dmitrii S. Silvestrov

Journal:

Journal of Mathematical Biology

Year:

1994

Language:

english

File:

PDF, 1.64 MB

english, 1994

13

Ergodic Theorems for Iterated Function Systems Controlled by Regenerative Sequences

Dmitrii S. Silvestrov, Örjan Stenflo

Journal:

Journal of Theoretical Probability

Year:

1998

Language:

english

File:

PDF, 684 KB

english, 1998

14

Coupling and Explicit Rate of Convergence in Cramér–Lundberg Approximation for Reinsurance Risk Processes

Ekheden, Erland, Silvestrov, Dmitrii

Journal:

Communication in Statistics- Theory and Methods

Year:

2011

Language:

english

File:

PDF, 252 KB

english, 2011

15

Upper Bounds for Exponential Moments of Hitting Times for Semi-Markov Processes

Silvestrov, Dmitrii

Journal:

Communication in Statistics- Theory and Methods

Year:

2004

Language:

english

File:

PDF, 174 KB

english, 2004

16

[Probability and its Applications] Limit Theorems for Randomly Stopped Stochastic Processes ||

Silvestrov, Dmitrii S.

Year:

2004

Language:

english

File:

PDF, 38.00 MB

english, 2004

17

Limit Theorems for Extremes with Random Sample Size

Dmitrii S. Silvestrov and Jozef L. Teugels

Journal:

Advances in Applied Probability

Year:

1998

Language:

english

File:

PDF, 2.82 MB

english, 1998

18

Recurrence Relations for Generalized Hitting Times for Semi-Markov Processes

Dmitrii S. Silvestrov

Journal:

The Annals of Applied Probability

Year:

1996

Language:

english

File:

PDF, 3.08 MB

english, 1996

19

Stochastic approximation methods for American type options

Silvestrov, Dmitrii, Li, Yanxiong

Journal:

Communication in Statistics- Theory and Methods

Year:

2016

Language:

english

File:

PDF, 1.04 MB

english, 2016

20

American-Type Options (Stochastic Approximation Methods, Volume 1) || 4. Upper bounds for option rewards

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 549 KB

english, 2013

21

American-Type Options (Stochastic Approximation Methods, Volume 2) || 1 Reward approximations for autoregressive log-price processes (LPP)

Silvestrov, Dmitrii S.

Year:

2015

Language:

english

File:

PDF, 860 KB

english, 2015

22

American-Type Options (Stochastic Approximation Methods, Volume 2) || 2 Reward approximations for autoregressive stochastic volatility LPP

Silvestrov, Dmitrii S.

Year:

2015

Language:

english

File:

PDF, 923 KB

english, 2015

23

American-Type Options (Stochastic Approximation Methods, Volume 1) || 10. Convergence of tree-type reward approximations

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 579 KB

english, 2013

24

American-Type Options (Stochastic Approximation Methods, Volume 2) || 9 European, knockout, reselling and random pay-off options

Silvestrov, Dmitrii S.

Year:

2015

Language:

english

File:

PDF, 679 KB

english, 2015

25

American-Type Options (Stochastic Approximation Methods, Volume 1) || 1. Multivariate modulated Markov log-price processes (LPP)

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 457 KB

english, 2013

26

American-Type Options (Stochastic Approximation Methods, Volume 1) || Preface

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 87 KB

english, 2013

27

American-Type Options (Stochastic Approximation Methods, Volume 2) || De Gruyter Studies in Mathematics

Silvestrov, Dmitrii S.

Year:

2015

File:

PDF, 35 KB

2015

28

American-Type Options (Stochastic Approximation Methods, Volume 1) || 9. Tree-type approximations for Markov Gaussian LPP

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 597 KB

english, 2013

29

American-Type Options (Stochastic Approximation Methods, Volume 2) || 8 Convergence of option rewards for diffusion LPP

Silvestrov, Dmitrii S.

Year:

2015

Language:

english

File:

PDF, 512 KB

english, 2015

30

American-Type Options (Stochastic Approximation Methods, Volume 1) || Bibliography

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 296 KB

english, 2013

31

American-Type Options (Stochastic Approximation Methods, Volume 2) || Bibliography

Silvestrov, Dmitrii S.

Year:

2015

Language:

english

File:

PDF, 252 KB

english, 2015

32

American-Type Options (Stochastic Approximation Methods, Volume 1) || 6. Convergence of option rewards – II

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 447 KB

english, 2013

33

American-Type Options (Stochastic Approximation Methods, Volume 1) || 5. Convergence of option rewards – I

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 436 KB

english, 2013

34

American-Type Options (Stochastic Approximation Methods, Volume 2) || 3 American-type options for continuous time Markov LPP

Silvestrov, Dmitrii S.

Year:

2015

Language:

english

File:

PDF, 447 KB

english, 2015

35

American-Type Options (Stochastic Approximation Methods, Volume 2) || Preface

Silvestrov, Dmitrii S.

Year:

2015

Language:

english

File:

PDF, 200 KB

english, 2015

36

American-Type Options (Stochastic Approximation Methods, Volume 1) || Bibliographical Remarks

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 123 KB

english, 2013

37

American-Type Options (Stochastic Approximation Methods, Volume 2) || Bibliographical Remarks

Silvestrov, Dmitrii S.

Year:

2015

Language:

english

File:

PDF, 133 KB

english, 2015

38

American-Type Options (Stochastic Approximation Methods, Volume 1) || 2. American-type options

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 376 KB

english, 2013

39

American-Type Options (Stochastic Approximation Methods, Volume 2) || 10 Results of experimental studies

Silvestrov, Dmitrii S.

Year:

2015

Language:

english

File:

PDF, 1.01 MB

english, 2015

40

American-Type Options (Stochastic Approximation Methods, Volume 1) || 7. Space-skeleton reward approximations

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 684 KB

english, 2013

41

American-Type Options (Stochastic Approximation Methods, Volume 2) || 6 Time-space-skeleton reward approximations for Markov LPP

Silvestrov, Dmitrii S.

Year:

2015

Language:

english

File:

PDF, 729 KB

english, 2015

42

American-Type Options (Stochastic Approximation Methods, Volume 1) || Backmatter

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 49 KB

english, 2013

43

American-Type Options (Stochastic Approximation Methods, Volume 2) || Index

Silvestrov, Dmitrii S.

Year:

2015

Language:

english

File:

PDF, 308 KB

english, 2015

44

American-Type Options (Stochastic Approximation Methods, Volume 1) || 8. Convergence of rewards for Markov Gaussian LPP

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 600 KB

english, 2013

45

American-Type Options (Stochastic Approximation Methods, Volume 2) || 7 Convergence of option rewards for continuous time Markov LPP

Silvestrov, Dmitrii S.

Year:

2015

Language:

english

File:

PDF, 759 KB

english, 2015

46

American-Type Options (Stochastic Approximation Methods, Volume 1) || Index

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 132 KB

english, 2013

47

American-Type Options (Stochastic Approximation Methods, Volume 1) || 3. Backward recurrence reward algorithms

Silvestrov, Dmitrii S.

Year:

2013

Language:

english

File:

PDF, 470 KB

english, 2013

48

American-Type Options (Stochastic Approximation Methods, Volume 2) || 5 Time-skeleton reward approximations for Markov LPP

Silvestrov, Dmitrii S.

Year:

2015

Language:

english

File:

PDF, 660 KB

english, 2015

49

[de Gruyter Expositions in Mathematics] Quasi-Stationary Phenomena in Nonlinearly Perturbed Stochastic Systems || Chapter 2. Nonlinearly perturbed renewal equation

Gyllenberg, Mats, Silvestrov, Dmitrii S.

Year:

2008

Language:

english

File:

PDF, 431 KB

english, 2008

50

[de Gruyter Expositions in Mathematics] Quasi-Stationary Phenomena in Nonlinearly Perturbed Stochastic Systems || Chapter 4. Perturbed semi-Markov processes

Gyllenberg, Mats, Silvestrov, Dmitrii S.

Year:

2008

Language:

english

File:

PDF, 885 KB

english, 2008