The first part of the paper gives a multitude of essentially different representations of a stationary stochastic process. The second part gives a sufficient condition for the sum of two oscillatory ...

Quasi-stationary distributions (QSDs) offer a compelling framework for understanding the long-term behaviour of Markov processes that possess an absorbing state. In many natural and engineered systems ...

This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics, BSc in Financial Mathematics and Statistics, BSc in Mathematics ...

Consider a stochastic process X on a finite state space X = {1,..., d}. It is conditionally Markov, given a real-valued “input process” ζ. This is assumed to be small, which is modeled through the ...

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 ...

A stationary stochastic process where the current value of the time series is related to the past p values, where p is any integer, is called an AR(p) process. When the current value is related to the ...

This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics, BSc in Financial Mathematics and Statistics, BSc in Mathematics ...