JSTOR Daily

An Operational Calculus for Matrix-Exponential Distributions, with Applications to a Brownian (q, Q) Inventory Model

This is a preview. Log in through your library . Abstract A distribution G on (0, ∞) is called matrix-exponential if the density has the form $\boldsymbol{\alpha}\mathbf{\mathit{e}}^{{\bf T}z}$ s ...
JSTOR Daily

ON OPTIMAL STOPPING PROBLEMS FOR MATRIX-EXPONENTIAL JUMP-DIFFUSION PROCESSES

In this paper we consider optimal stopping problems for a general class of reward functions under matrix-exponential jump-diffusion processes. Given an American call-type reward function in this class ...
Nature

Matrix Functions and Their Approximations

Matrix functions, such as the exponential, square root and cosine, play an indispensable role in various fields including quantum mechanics, control theory and numerical solution of differential ...
Risk

Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials

We propose a new, unified approach to solving jump-diffusion partial integrodifferential equations (PIDEs), which often appear in mathematical finance. Our method consists of the following steps.
Nature

A unique neutrino mass matrix texture under exponential parametrization

The Nature Index 2025 Research Leaders — previously known as Annual Tables — reveal the leading institutions and countries/territories in the natural and health sciences, according to their output in ...
Risk

Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials

We propose a new, unified approach to solving jump-diffusion partial integrodifferential equations (PIDEs), which often appear in mathematical finance. Our method consists of the following steps.