Michel Mandjes

Management Science and Operations Research · 2004–2015

A researcher in the Science corpus: 3 papers; trusts 2 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

Whom Michel Mandjes trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Lothar Breuer

Papers from Michel Mandjes's perspective

Ordered by how strongly the researchers Michel Mandjes trusts endorse each paper. Same corpus, a different order for every researcher.

  1. A multi-dimensional martingale for Markov additive processes and its applications (Advances in Applied Probability)
  2. Russian and American put options under exponential phase-type Lévy models
  3. Fluctuations of spectrally negative Markov additive processes
  4. Is network traffic approximated by stable Levy motion or fractional Brownian motion
  5. First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type (Journal of Applied Probability)
  6. Erlangian Approximations for Finite-Horizon Ruin Probabilities (ASTIN Bulletin: The Journal of the International Actuarial Association)
  7. ASSET PRICES ARE BROWNIAN MOTION: ONLY IN BUSINESS TIME
  8. The estimation of phase-type related functionals using Markov chain Monte Carlo methods
  9. An explicit solution to an optimal stopping problem with regime switching (Journal of Applied Probability)
  10. On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts

Their papers