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math.PR2020
On distributional and asymptotic results for exponential functional of renewal -- reward processes describing risk models
J. Akahori, C. Constantinescu, Y. Imamura +1
Inspired by the double-debt problem in Japan where the mortgagor has to pay the remaining loan even if their house was destroyed by a catastrophic event, we model the lender's cash…
math.PR2018
Carr-Nadtochiy's Weak Reflection Principle for Markov Chains on
Yuri Imamura
The present paper establishes a discrete version of the result obtained by P. Carr and S. Nadtochiy (2011) for 1-dimensional diffusion processes. Our result is for Markov chains on…