Browsing Matematisk institutt by Author "Banos, David"
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Banos, David; Bølviken, Erik; Duedahl, Sindre; Proske, Frank Norbert (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2020)In this paper we aim at modeling stochastic transition rates of state processes in life insurance by using generalized Cox processes. A feature of a our non-Gaussian model is that it can be used to capture ‘regime switching’ ...
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Banos, David; Cordoni, Francesco; Di Nunno, Giulia; Di Persio, Luca; Røse, Elin Engen (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2018)
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Banos, David; Ortiz-Latorre, Salvador; Pilipenko, Andrey (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2021)In this paper, we prove the existence of strong solutions to an stochastic differential equation with a generalized drift driven by a multidimensional fractional Brownian motion for small Hurst parameters H<12. Here, the ...