802 citations
- Heidelberg UniversityDE8 papers
- Centre National de la Recherche ScientifiqueFR6 papers
- Clausthal University of TechnologyDE4 papers
- University of Science and Technology of ChinaCN4 papers
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- Hebrew University of JerusalemIL3 papers
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Showing 2007 · math.PRShow all
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math.PR2007
Ornstein-Uhlenbeck Processes on Lie Groups
Fabrice Baudoin, Martin Hairer, Josef Teichmann
We consider Ornstein-Uhlenbeck processes (OU-processes) associated to hypoelliptic diffusion processes on finite-dimensional Lie groups: let be a hypoelliptic, left…
math.PR2007
Finding Efficient Recursions for Risk Aggregation by Computer Algebra
S. Gerhold, R. Warnung
We derive recursions for the probability distribution of random sums by computer algebra. Unlike the well-known Panjer-type recursions, they are of finite order and thus allow for…