2 citations · 2 across the 12 of their papers we have counts for
3 papers · 2 filters
Ruin-dependent bivariate stochastic fluid processes
Hamed Amini, Andreea Minca, Oscar Peralta
This paper presents a novel model for bivariate stochastic fluid processes that incorporate a ruin-dependent behavioral switch. Unlike typical models that assume a shared underlyin…
Wong--Zakai approximation of regime-switching SDEs via rough path theory
Jasper Barr, Giang T. Nguyen, Oscar Peralta
This paper investigates the convergence of Wong--Zakai approximations to regime-switching stochastic differential equations, generated by a collection of finite-variation approxima…
Duration-dependent stochastic fluid processes and solar energy revenue modeling
Hamed Amini, Andreea Minca, Oscar Peralta
We endow the classical stochastic fluid process with a duration-dependent Markovian arrival process (DMArP). We show that this provides a flexible model for the revenue of a solar…