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math.PR2008★ 2 cited
Hiding a drift
Miklós Rásonyi, Walter Schachermayer, Richard Warnung
In this article we consider a Brownian motion with drift of the form \[dS_t=μ_t dt+dB_t\qquadfor t\ge0,\] with a specific nontrivial , predictable with respect to $…
math.PR2007
Finding Efficient Recursions for Risk Aggregation by Computer Algebra
S. Gerhold, R. Warnung
We derive recursions for the probability distribution of random sums by computer algebra. Unlike the well-known Panjer-type recursions, they are of finite order and thus allow for…