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1Academic Journal
المؤلفون: Alexander M. G. Cox (Department of Mathematical Sciences, University of Bath, UK), Benjamin A. Robinson (University of Vienna)
المصدر: Electronic Journal of Probability ; issn:1083-6489
مصطلحات موضوعية: Brownian filtrations, circular Brownian motion, Stochastic control, Stochastic differential equations
وصف الملف: application/pdf
Relation: hdl:11353/10.2072466; https://phaidra.univie.ac.at/o:2072466
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2Academic Journal
المؤلفون: Alexander M G Cox, Simon C Harris, Andreas E Kyprianou, Minmin Wang
مصطلحات موضوعية: Monte Carlo, neutron transport
Relation: 10779/uos.23486516.v1; https://figshare.com/articles/journal_contribution/Monte_Carlo_methods_for_the_neutron_transport_equation/23486516
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المساهمون: University of Bath [Bath], Méthodes avancées d’apprentissage statistique et de contrôle (ASTRAL), Institut de Mathématiques de Bordeaux (IMB), Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Inria Bordeaux - Sud-Ouest, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Naval Group, Institut Élie Cartan de Lorraine (IECL), Université de Lorraine (UL)-Centre National de la Recherche Scientifique (CNRS), Biology, genetics and statistics (BIGS), Inria Nancy - Grand Est, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Institut Élie Cartan de Lorraine (IECL), Université de Lorraine (UL)-Centre National de la Recherche Scientifique (CNRS)-Université de Lorraine (UL)-Centre National de la Recherche Scientifique (CNRS), AEK and AMGC are supported by EPSRC grant EP/P009220/1., ELH is supported by a PhDscholarship with funding from industrial partner Wood., Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1 (UB)-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Université Bordeaux Segalen - Bordeaux 2-Université Sciences et Technologies - Bordeaux 1 (UB)-Université de Bordeaux (UB)-Institut Polytechnique de Bordeaux (Bordeaux INP)-Centre National de la Recherche Scientifique (CNRS)-Inria Bordeaux - Sud-Ouest
المصدر: Cox, A, Horton, E, Kyprianou, A & Villemonais, D 2021, ' Stochastic Methods for Neutron Transport Equation III: Generational many-to-one and k_eff ', SIAM Journal on Applied Mathematics, vol. 81, no. 3, pp. 982-1001 . https://doi.org/10.1137/19M1295854
SIAM Journal on Applied Mathematics
SIAM Journal on Applied Mathematics, Society for Industrial and Applied Mathematics, 2021, 81 (3), ⟨10.1137/19M1295854⟩
SIAM Journal on Applied Mathematics, 2021, 81 (3), ⟨10.1137/19M1295854⟩مصطلحات موضوعية: Neutron transport, Perron-Frobenius decomposition, Astrophysics::High Energy Astrophysical Phenomena, Nuclear Theory, Flux, Semigroup theory, 01 natural sciences, Nuclear physics, 010104 statistics & probability, FOS: Mathematics, Neutron, 0101 mathematics, Nuclear Experiment, Physics, Fissile material, R-theory for Markov processes, Semigroup, Applied Mathematics, Probability (math.PR), 010102 general mathematics, 82D75, 60J80, 60J75, 60J99, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], MSC : 82D75, 60J80, 60J75, 60J99, Many to one, Principal eigenvalue, Neutron Transport Equation, Mathematics - Probability
وصف الملف: application/pdf
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المؤلفون: Martin Huesmann, Mathias Beiglböck, Alexander M. G. Cox
المصدر: Beiglboeck, M, Cox, A & Huesmann, M 2020, ' The geometry of multi-marginal Skorokhod Embedding ', Probability Theory and Related Fields, vol. 176, no. 3-4, pp. 1045-1096 . https://doi.org/10.1007/s00440-019-00935-z
Probability Theory and Related Fieldsمصطلحات موضوعية: Statistics and Probability, Multiple marginals, Skorokhod problem, math.PR, 01 natural sciences, Article, FOS: Economics and business, Embedding problem, 010104 statistics & probability, Bernoulli's principle, Optimal transport, FOS: Mathematics, 60G44, 0101 mathematics, Mathematics, Discrete mathematics, Martingale optimal transport, Stochastic process, 60G42, 60G44, 91G20, Mathematical finance, Probability (math.PR), 010102 general mathematics, Primary 60G42, Peacocks, Skorokhod embedding, Secondary 91G20, Embedding, Pricing of Securities (q-fin.PR), Statistics, Probability and Uncertainty, Martingale (probability theory), Quantitative Finance - Pricing of Securities, q-fin.PR, Mathematics - Probability, Analysis
وصف الملف: application/pdf
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5Academic Journal
المؤلفون: Alexander M. G. Cox, Jiajie Wang, Recent Work Of Dupire
المساهمون: The Pennsylvania State University CiteSeerX Archives
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.423.6614; http://people.bath.ac.uk/mapamgc/AAP857.pdf
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6Academic Journal
المؤلفون: Alexander M. G. Cox, David Hobson, Jan Obłoj
المساهمون: The Pennsylvania State University CiteSeerX Archives
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.225.8721; http://people.bath.ac.uk/%7Emapamgc/ps0951.pdf
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7Academic Journal
المؤلفون: Alexander M. G. Cox
المساهمون: The Pennsylvania State University CiteSeerX Archives
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.423.6794; http://people.bath.ac.uk/mapamgc/doublenotouch_jan09.pdf
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المصدر: Cox, A M G, Harris, S C, Kyprianou, A E & Wang, M 2022, ' Monte-Carlo Methods for the Neutron Transport Equation ', SIAM/ASA Journal on Uncertainty Quantification, vol. 10, no. 2, pp. 775-825 . https://doi.org/10.1137/21M1390578
مصطلحات موضوعية: Statistics and Probability, Doob h-transform, Perron–Frobenius decomposition, Applied Mathematics, neutron transport equation, Probability (math.PR), Numerical Analysis (math.NA), semigroup theory, 82D75, 60J80, 60J75, 60J99, principal eigenvalue, Modelling and Simulation, Modeling and Simulation, twisted Monte Carlo, FOS: Mathematics, Discrete Mathematics and Combinatorics, Mathematics - Numerical Analysis, Statistics, Probability and Uncertainty, complexity, Mathematics - Probability, Monte Carlo simulation
وصف الملف: application/pdf
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المؤلفون: Alexander M. G. Cox, Sigrid Källblad
المصدر: Cox, A & Källblad, S 2017, ' Model-independent bounds for Asian options : A dynamic programming approach ', SIAM Journal on Control and Optimization, vol. 55, no. 6, pp. 3409–3436 . https://doi.org/10.1137/16M1087527
مصطلحات موضوعية: Computer Science::Computer Science and Game Theory, 050208 finance, Control and Optimization, Applied Mathematics, Probability (math.PR), 05 social sciences, 91G20 (Primary), 93E20, 49L20, 60G48 (Secondary), 01 natural sciences, FOS: Economics and business, Dynamic programming, 010104 statistics & probability, Optimization and Control (math.OC), 0502 economics and business, FOS: Mathematics, Econometrics, Asian option, Pricing of Securities (q-fin.PR), 0101 mathematics, Quantitative Finance - Pricing of Securities, Mathematics - Optimization and Control, Mathematics - Probability, Mathematics
وصف الملف: application/pdf
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المؤلفون: Mathias Beiglböck, Martin Huesmann, Alexander M. G. Cox
المصدر: Beiglboeck, M, Cox, A M G & Huesmann, M 2017, ' Optimal transport and Skorokhod embedding ', Inventiones Mathematicae, vol. 208, no. 2, pp. 327-400 . https://doi.org/10.1007/s00222-016-0692-2
مصطلحات موضوعية: Mathematics(all), General Mathematics, Applied probability, Markov process, math.PR, 01 natural sciences, Embedding problem, 010104 statistics & probability, symbols.namesake, Mathematics::Probability, Probability theory, Stopping time, FOS: Mathematics, Applied mathematics, 0101 mathematics, Mathematics - Optimization and Control, Brownian motion, Mathematics, math.OC, Probability (math.PR), 010102 general mathematics, Optimization and Control (math.OC), 60G42, 60G44 (Primary) 91G20 (Secondary), symbols, Embedding, Variety (universal algebra), Mathematics - Probability
وصف الملف: application/pdf
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المؤلفون: Sam M. Kinsley, Alexander M. G. Cox
المصدر: Ann. Appl. Probab. 29, no. 1 (2019), 531-576
Cox, A M G & Kinsley, S M 2019, ' Robust Hedging of Options on a Leveraged Exchange Traded Fund ', Annals of Applied Probability, vol. 29, no. 1, pp. 531-576 . https://doi.org/10.1214/18-AAP1427مصطلحات موضوعية: Statistics and Probability, Mathematical optimization, Exchange-traded fund, Optimal Skorokhod embedding problem, Financial economics, Structure (category theory), Monotonicity principle, 60G40, 91G20, robust pricing and hedging, Upper and lower bounds, FOS: Economics and business, Embedding problem, Stopping time, FOS: Mathematics, Leveraged exchange traded fund, optimal Skorokhod embedding problem, 60G44, monotonicity principle, 60G40, 60J60, Mathematics, Probability (math.PR), Hitting time, 91G20, Mathematical Finance (q-fin.MF), Dual (category theory), Quantitative Finance - Mathematical Finance, Embedding, Pricing of Securities (q-fin.PR), Robust pricing and Hedging, Statistics, Probability and Uncertainty, Quantitative Finance - Pricing of Securities, Mathematics - Probability
وصف الملف: application/pdf
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مصطلحات موضوعية: Neutron transport, Semigroup, Stochastic process, Probability (math.PR), Probabilistic logic, Statistical and Nonlinear Physics, 01 natural sciences, 010305 fluids & plasmas, 0103 physical sciences, Multi species, FOS: Mathematics, Neutron, Statistical physics, Variety (universal algebra), 010306 general physics, Representation (mathematics), Mathematical Physics, Mathematics - Probability, Mathematics
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المؤلفون: Martin Huesmann, David J. Prömel, Alexander M. G. Cox, Mathias Beiglböck, Nicolas Perkowski
المصدر: Finance and Stochastics, 21 (4)
مصطلحات موضوعية: Statistics and Probability, 050208 finance, Model-Independent Pricing, Realized variance, Mathematical finance, Optimal Transport, 05 social sciences, Duality (mathematics), Super-Replication Theorem, 01 natural sciences, Connection (mathematics), Embedding problem, 010104 statistics & probability, Range (mathematics), 0502 economics and business, Vovk’s Outer Measure, Skorokhod Embedding, Outer measure, Asian option, 0101 mathematics, Statistics, Probability and Uncertainty, Mathematical economics, Finance, Mathematics
وصف الملف: application/application/pdf
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المؤلفون: Christoph Hoeggerl, Alexander M. G. Cox
المصدر: Mathematical Finance. 26:431-458
مصطلحات موضوعية: Economics and Econometrics, 050208 finance, Process (engineering), Financial economics, Applied Mathematics, 05 social sciences, 01 natural sciences, 010104 statistics & probability, Accounting, 0502 economics and business, Economics, Optimal stopping, Arbitrage, Asset (economics), 0101 mathematics, Construct (philosophy), Social Sciences (miscellaneous), Finance
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المؤلفون: Yavor I. Stoev, Erhan Bayraktar, Alexander M. G. Cox
المصدر: Bayraktar, E, Cox, A M G & Stoev, Y 2018, ' Martingale optimal transport with stopping ', SIAM Journal on Control and Optimization, vol. 56, no. 1, pp. 417-433 . https://doi.org/10.2139/ssrn.2926552, https://doi.org/10.1137/17M1114065
مصطلحات موضوعية: 0209 industrial biotechnology, Control and Optimization, Hamilton–Jacobi–Bellman equation, 02 engineering and technology, Optional stopping theorem, 01 natural sciences, math.PR, 020901 industrial engineering & automation, FOS: Mathematics, Applied mathematics, Optimal stopping, Asian option, 0101 mathematics, Envelope (mathematics), Mathematics, Applied Mathematics, 010102 general mathematics, Mathematical analysis, Probability (math.PR), Function (mathematics), Dynamic programming, Local martingale, 60G40, 93E20, 91A10, 91A60, 60G07, Martingale difference sequence, Viscosity solution, Martingale (probability theory), Mathematics - Probability
وصف الملف: application/pdf
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المؤلفون: Martin Huesmann, Beatrice Acciaio, Alexander M. G. Cox
المصدر: Acciaio, B, Cox, A M G & Huesmann, M 2021, ' Model-independent pricing with insider information : A Skorokhod embedding approach ', Advances in Applied Probability, vol. 53, no. 1, pp. 30-56 . https://doi.org/10.1017/apr.2020.50
مصطلحات موضوعية: Statistics and Probability, Duality (mathematics), Inside information, 91G20, 60G40, Asset (computer security), Quadratic variation, Insider, FOS: Economics and business, Derivative (finance), FOS: Mathematics, Skorokhod embedding problem, Set (psychology), monotonicity principle, Mathematics, Applied Mathematics, Probability (math.PR), Stochastic game, Mathematical Finance (q-fin.MF), model-independent pricing and hedging, Quantitative Finance - Mathematical Finance, Embedding, Pricing of Securities (q-fin.PR), Mathematical economics, Quantitative Finance - Pricing of Securities, Mathematics - Probability
وصف الملف: application/pdf
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المؤلفون: Alexander M. G. Cox, Goran Peskir
المصدر: M. G. Cox, A & Peskir, G 2015, ' Embedding laws in diffusions by functions of time ', Annals of Probability, vol. 43, no. 5, pp. 2481-2510 . https://doi.org/10.1214/14-AOP941
Ann. Probab. 43, no. 5 (2015), 2481-2510مصطلحات موضوعية: Statistics and Probability, Uniform integrability, Helly’s selection theorem, Helly's selection theorem, symbols.namesake, Wiener process, Mathematics::Probability, 60F05, FOS: Mathematics, 60J65, Markov process, Real line, 60G40, Lévy metric, Probability measure, Mathematics, 60J60, minimal stopping time, Weak convergence, Probability (math.PR), Skorokhod embedding, Law, symbols, weak convergence, Statistics, Probability and Uncertainty, Brownian motion, diffusion process, reversed barrier, Mathematics - Probability, Stopped process
وصف الملف: application/pdf
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المؤلفون: Alexander M. G. Cox, David Hobson
المصدر: Finance and Stochastics. 9:477-492
مصطلحات موضوعية: Statistics and Probability, Financial economics, Mathematical finance, Put–call parity, Valuation of options, Econometrics, Local martingale, Economics, Asian option, Price level, Statistics, Probability and Uncertainty, Martingale (probability theory), Moneyness, Finance
PDF النص الكاملURL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::8ca34e2ea0975b6c2309046a040e93bb
https://doi.org/10.1007/s00780-005-0162-y -
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المؤلفون: David Hobson, Alexander M. G. Cox
المصدر: Probability Theory and Related Fields. 135:395-414
مصطلحات موضوعية: Statistics and Probability, Combinatorics, Embedding problem, Class (set theory), Uniform integrability, Probability theory, Stopping time, Mathematical finance, Embedding, Statistics, Probability and Uncertainty, Analysis, Mathematics, Skorokhod integral
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المؤلفون: Martin Klimmek, Alexander M. G. Cox
المصدر: Cox, A M G & Klimmek, M 2014, ' From minimal embeddings to minimal diffusions ', Electronic Communications in Probability, vol. 19, 34, pp. 1-13 . https://doi.org/10.1214/ECP.v19-2889
Electron. Commun. Probab.مصطلحات موضوعية: Statistics and Probability, Discrete mathematics, diffusion, Probability (math.PR), 60J60, 60G40 (Primary) 60J55 (Secondary), Exponential function, Embedding problem, Mathematics::Probability, local-martingales, Local time, Local martingale, FOS: Mathematics, Skorokhod embedding problem, Embedding, 60J55, Statistics, Probability and Uncertainty, Martingale (probability theory), minimality, Mathematics - Probability, 60G40, 60J60, Mathematics
وصف الملف: application/pdf