no code implementations • 25 Feb 2021 • Andrea Agazzi, Luisa Andreis, Robert I. A. Patterson, D. R. Michiel Renger
We prove a large-deviation principle (LDP) for the sample paths of jump Markov processes in the small noise limit when, possibly, all the jump rates vanish uniformly, but slowly enough, in a region of the state space.
Probability Molecular Networks 60F10, 60J75, 80A30
no code implementations • 12 Sep 2019 • Luisa Andreis, Maria Flora, Fulvio Fontini, Tiziano Vargiolu
We finally perform sensitivity analyses to highlight the impact of the level and volatility of both power and strike price, of the mean reversion speeds and of the correlation coefficient on the Reliability Options' value.
