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20022026
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

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math.PR2021★ 1 cited

Large population asymptotics for a multitype stochastic SIS epidemic model in randomly switched environment

Adrien Prodhomme, Édouard Strickler

We consider an epidemic SIS model described by a multitype birth-and-death process in a randomly switched environment. That is, the infection and cure rates of the process depend o…

math.PR2021★ 1 cited

An expansion formula for Hawkes processes and application to cyber-insurance derivatives

Caroline Hillairet, Anthony Reveillac, Mathieu Rosenbaum

In this paper we provide an expansion formula for Hawkes processes which involves the addition of jumps at deterministic times to the Hawkes process in the spirit of the well-known…