2 citations · 2 across the 2 of their papers we have counts for
3 papers
Perturbations of copulas and Mixing properties
Martial Longla, Fidel Djongreba Ndikwa, Mathias Muia Nthiani +1
This paper explores the impact of perturbations of copulas on the dependence properties of the Markov chains they generate. We consider Markov chains generated by perturbed copulas…
European Option Pricing of electricity under exponential functional of Lévy processes with Price-Cap principle
Martin Kegnenlezom, Patrice Takam Soh, Antoine-Marie Bogso +1
We propose a new model for electricity pricing based on the price cap principle. The particularity of the model is that the asset price is an exponential functional of a jump Lévy…
Weak decreasing stochastic order
Antoine-Marie Bogso, Patrice Takam Soh
We introduce the notion of weak decreasing stochastic (WDS) ordering for real-valued processes with negative means, which, to our knowledge, has not been studied before. Thanks to…