2 citations · 2 across the 12 of their papers we have counts for
4 papers · 1 filter
Multivariate matrix-exponential affine mixtures and their applications in risk theory
Eric C. K. Cheung, Oscar Peralta, Jae-Kyung Woo
In this paper, a class of multivariate matrix-exponential affine mixtures with matrix-exponential marginals is proposed. The class is shown to possess various attractive properties…
A Markov jump process associated with the matrix-exponential distribution
Oscar Peralta
Let be the density function associated to a matrix-exponential distribution of parameters . By exponentially tilting , we find a probabilistic interpretation which…
RAP-modulated Fluid Processes: First Passages and the Stationary Distribution
Nigel G. Bean, Giang T. Nguyen, Bo F. Nielsen +1
We construct a stochastic fluid process with an underlying piecewise deterministic Markov process (PDMP) akin to the one used in the construction of the rational arrival process (R…
Wong--Zakai approximations with convergence rate for stochastic differential equations with regime switching
Giang T. Nguyen, Oscar Peralta
We construct Wong--Zakai approximations of time--inhomogeneous stochastic differential equations with regime switching (RSSDEs), and provide a convergence rate. %Given a family of…