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Publications (10 of 77) Show all publications
Silvestrov, D. & Silvestrov, S. (2016). Asymptotic Expansions for Stationary Distributions of Nonlinearly Perturbed Semi-Markov Processes. II.
Open this publication in new window or tab >>Asymptotic Expansions for Stationary Distributions of Nonlinearly Perturbed Semi-Markov Processes. II
2016 (English)Report (Other academic)
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-33087 (URN)
Available from: 2017-09-28 Created: 2017-09-28 Last updated: 2017-10-03Bibliographically approved
Silvestrov, D. & Silvestrov, S. (2016). Asymptotic expansions for stationary distributions of perturbed semi-Markov processes.
Open this publication in new window or tab >>Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
2016 (English)Report (Other academic)
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-33086 (URN)
Available from: 2017-09-28 Created: 2017-09-28 Last updated: 2017-10-03Bibliographically approved
Silvestrov, D. & Li, Y. (2016). Stochastic Approximation Methods for American Type Options. Communications in Statistics - Theory and Methods, 45(6), 1607-1631
Open this publication in new window or tab >>Stochastic Approximation Methods for American Type Options
2016 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 45, no 6, p. 1607-1631Article in journal (Refereed) Published
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-23092 (URN)10.1080/03610926.2014.915046 (DOI)000372556000003 ()2-s2.0-84960540164 (Scopus ID)
Available from: 2013-12-02 Created: 2013-12-02 Last updated: 2017-12-06Bibliographically approved
Silvestrov, D. (2015). American-Type Options, Stochastic Approximation Methods, Volume 2. De Gruyter
Open this publication in new window or tab >>American-Type Options, Stochastic Approximation Methods, Volume 2
2015 (English)Book (Refereed)
Place, publisher, year, edition, pages
De Gruyter, 2015. p. 559
Series
De Gruyter Studies in Mathematics ; 57
Keywords
American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm
National Category
Mathematics Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-27269 (URN)10.1515/9783110329841 (DOI)978-3-11-032984-1 (ISBN)
Available from: 2015-01-02 Created: 2015-01-02 Last updated: 2017-10-03Bibliographically approved
Silvestrov, D. (2014). American-Type Options:  Stochastic Approximation Methods. Volume I. Berlin: Walter de Gruyter
Open this publication in new window or tab >>American-Type Options:  Stochastic Approximation Methods. Volume I
2014 (English)Book (Refereed)
Place, publisher, year, edition, pages
Berlin: Walter de Gruyter, 2014. p. 509
Series
De Gruiter Studies in Mathematics ; 56
Keywords
american option, optimal stopping, convergence of rewards, Markov chain, approximation algorithm
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-23083 (URN)978-3-11-032967-4 (ISBN)978-3-11-032982-7 (ISBN)
Available from: 2013-12-02 Created: 2013-12-02 Last updated: 2017-10-03Bibliographically approved
Silvestrov, D. (2014). Improved Asymptotics for Ruin Probabilities. In: Silvestrov, Dmitrii; Martin-Löf, Anders (Ed.), Modern Problems in Insurance Mathematics: (pp. 37-68). Springer International Publishing
Open this publication in new window or tab >>Improved Asymptotics for Ruin Probabilities
2014 (English)In: Modern Problems in Insurance Mathematics / [ed] Silvestrov, Dmitrii; Martin-Löf, Anders, Springer International Publishing , 2014, p. 37-68Chapter in book (Refereed)
Abstract [en]

This chapter presents a survey of results on improved asymptotics for ruin probabilities in the Cramér–Lundberg, diffusion, and stable approximations of ruin probabilities for perturbed risk processes, obtained by the author and his collaborators. These results are: exponential asymptotic expansions for ruin probabilities in the Cramér–Lundberg and diffusion approximations of ruin probabilities; necessary and sufficient conditions for convergence of ruin probabilities in the model of diffusion and stable approximations; and explicit exponential rates of convergence in the Cramér–Lundberg approximation for ruin probabilities for reinsurance risk processes.

Place, publisher, year, edition, pages
Springer International Publishing, 2014
Series
EAA Series
National Category
Mathematics Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-27270 (URN)10.1007/978-3-319-06653-0_5 (DOI)978-3-319-06652-3 (ISBN)978-3-319-06653-0 (ISBN)
Available from: 2015-01-02 Created: 2015-01-02 Last updated: 2015-01-30Bibliographically approved
Silvestrov, D. & Martin-Löf, A. (Eds.). (2014). Modern Problems in Insurance Mathematics. Paper presented at International Cramér Symposium on Insurance Mathematics (ICSIM) held at Stockholm University in June, 2013.. Springer Publishing Company, Incorporated
Open this publication in new window or tab >>Modern Problems in Insurance Mathematics
2014 (English)Conference proceedings (editor) (Refereed)
Place, publisher, year, edition, pages
Springer Publishing Company, Incorporated, 2014. p. 385
National Category
Mathematics Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-27271 (URN)10.1007/978-3-319-06653-0 (DOI)3319066528 (ISBN)9783319066523 (ISBN)
Conference
International Cramér Symposium on Insurance Mathematics (ICSIM) held at Stockholm University in June, 2013.
Available from: 2015-01-02 Created: 2015-01-02 Last updated: 2015-01-30Bibliographically approved
Silvestrov, D. & Lundgren, R. (2013). Convergence of option rewards for multivariate price processes. Theory of Probability and Mathematical Statistics, 85, 115-131
Open this publication in new window or tab >>Convergence of option rewards for multivariate price processes
2013 (English)In: Theory of Probability and Mathematical Statistics, ISSN 0094-9000, Vol. 85, p. 53p. 115-131Article in journal (Refereed) Published
Abstract [en]

American type options with general payoff functions possessing polynomial rate of growth are considered for multivariate Markov price processes.Convergence results areobtained for optimal reward functionals of American type options forperturbed multivariate Markov processes. Theseresults are applied to approximation tree type algorithms forAmerican type options for exponential diffusion type price processes.Application to mean-reverse price processes used to model stochasticdynamics of energy prices are presented. Also application to reselling of European options are given.

Publisher
p. 53
Keywords
American option; Convergence of option rewards; binomial-trinomial tree approximation; optimal stopping; skeleton approximation; multivariate Markov price process
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-8064 (URN)10.1090/S0094-9000-2013-00879-5 (DOI)2-s2.0-84877857656 (Scopus ID)
Available from: 2010-02-11 Created: 2010-02-11 Last updated: 2015-01-30Bibliographically approved
Silvestrov, D. & Petersson, M. (2013). Exponential expansions for perturbed discrete time renewal equations. In: A.Karagrigoriou, A. Lisnianski, A. Kleyner, I. Frenkel (Ed.), Applied Reliability Engineering and Risk Analysis: Probabilistic Models and Statistical Inference (pp. 349-362). John Wiley & Sons
Open this publication in new window or tab >>Exponential expansions for perturbed discrete time renewal equations
2013 (English)In: Applied Reliability Engineering and Risk Analysis: Probabilistic Models and Statistical Inference / [ed] A.Karagrigoriou, A. Lisnianski, A. Kleyner, I. Frenkel, John Wiley & Sons, 2013, p. 349-362Chapter in book (Refereed)
Place, publisher, year, edition, pages
John Wiley & Sons, 2013
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-23093 (URN)10.1002/9781118701881.ch23 (DOI)9781118539422 (ISBN)
Available from: 2013-12-02 Created: 2013-12-02 Last updated: 2015-01-30Bibliographically approved
Silvestrov, D. & Li, Y. (2013). Lattice Approximation Methods for American Type Options. Stockholm: Stockholm University
Open this publication in new window or tab >>Lattice Approximation Methods for American Type Options
2013 (English)Report (Other academic)
Place, publisher, year, edition, pages
Stockholm: Stockholm University, 2013. p. 35
Series
Research Report 2013:2, ISSN 1650-0377
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-23100 (URN)
Available from: 2013-12-03 Created: 2013-12-03 Last updated: 2015-11-13Bibliographically approved
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0002-2626-5598

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