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Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/310519
Description: This paper is concerned with certain multilinear commutators of BMO functions and multilinear singular integral operators with non-smooth kernels. By the sharp maximal functions estimates, the weighte ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/144970
Description: Boolean functions and their Möbius transforms are involved in logical calculation, digital communications, coding theory and modern cryptography. So far, little is known about the relations of Boolean ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143451
Description: We derive a nonlinear filter and the corresponding filter-based estimates for a threshold autoregressive stochastic volatility (TARSV) model. Using the technique of a reference probability measure, we ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/135733
Description: We investigate an optimal financing and dividend control problem of an insurance company facing fixed and proportional transaction costs. The goal of the company is to maximize the expected present va ... More
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Authors: Bui, The Anh | Li, Ji
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/134300
Description: Let X be a metric space with doubling measure, and L be an operator which has a bounded H∞ functional calculus and satisfies Davies-Gaffney estimates. In this paper, we develop a theory of Orlicz-Hard ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/170484
Description: We study the pricing and hedging of contingent claims in a Markov regime-switching market with a money market account, a zero-coupon bond, and an ordinary share. General contingent claims with payoffs ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/135675
Description: We discuss ruin theory when the insurance risk process is described by a hidden Markov, regime-switching diffusion process. The innovations approach to filtering theory is used to transform the partia ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/163441
Description: In this paper, we study utility-based indifference pricing and hedging of a contingent claim in a continuous-time, Markov, regime-switching model. The market in this model is incomplete, so there is m ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/312940
Description: Simulation of waves scattered by a large number of particles is important for several applications---for example, to investigate interactions between particles in an ensemble---and hence to design eff ... More
Reviewed: Reviewed
Date: 2010
Subject Keyword: 010200 Applied Mathematics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/114781
Description: Sensitivity analysis, or so-called ‘stress-testing’, has long been part of the actuarial contribution to pricing, reserving and management of capital levels in both life and non-life assurance. Recent ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/101495
Description: We develop a new exact filter when a hidden Markov chain influences both the sizes and times of a marked point process. An example would be an insurance claims process, where we assume that both the s ... More
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Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1228017
Description: We describe and compare two iterative fully discrete high-order algorithms for simulation of electromagnetic scattering by multiple perfectly conducting three dimensional particles. Our hybrid surface ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/115309
Description: Let T be a bounded multilinear operator on some product of Lq(ℝn) spaces. Assume that T has a non-smooth associated kernel which satisfies certain weak regularity conditions but not regular enough to ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1162362
Description: 5 page(s)
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1170238
Description: 16 page(s)
Reviewed: Reviewed