4 papers · 1 filter
Diagonal sections of copulas, multivariate conditional hazard rates and distributions of order statistics for minimally stable lifetimes
Rachele Foschi, Giovanna Nappo, Fabio L. Spizzichino
As a motivating problem, we aim to study some special aspects of the marginal distributions of the order statistics for exchangeable and (more generally) for minimally stable non-n…
Revisiting Relations between Stochastic Ageing and Dependence for Exchangeable Lifetimes with an Extension for the IFRA/DFRA Property
Giovanna Nappo, Fabio L. Spizzichino
We first review an approach that had been developed in the past years to introduce concepts of "bivariate ageing" for exchangeable lifetimes and to analyze mutual relations among s…
Strong convergence of a positive preserving drift-implicit Euler scheme for the fixed delay CIR process
Federico Flore, Giovanna Nappo
In this paper, we consider a fixed delay Cox-Ingersoll-Ross process (CIR process) on the regime where it does not hit zero, the aim is to determine a positive preserving implicit E…
A Feynman-Kac type formula for a fixed delay CIR model
Federico Flore, Giovanna Nappo
Stochastic delay differential equations (SDDE's) have been used for financial modeling. In this article, we study a SDDE obtained by the equation of a CIR process, with an addition…