Results 11 to 20 of about 53 (52)
Higher order asymptotics for large deviations-Part II [PDF]
, 2020 A preprint of this article is archived at arXiv:1907.11655v1 [math.PR], https://arxiv.org/abs/1907.11655v1 . It has not been certified by peer review. Free access is available online at: https://www.worldscientific.com/doi/abs/10.1142/S0219493721500258 ...
Hebbar, P, Fernando, K
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Spectral calibration of exponential Lévy models [PDF]
, 2006 European option, Jump diffusion, Minimax rates, Severely ill-posed, Nonlinear inverse problem, Spectral cut-off, 60G51, 62G20, 91B28, G13, C14,
Reiß, Markus +3 more
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Continuous convolution hemigroups integrating a sub-multiplicative function [PDF]
, 2009 Unifying and generalizing previous investigations for vector spaces and for locally compact groups, E. Siebert obtained the following remarkable result: A Lévy process on a completely metrizable topological group G, resp.
Hazod, Wilfried
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Option Pricing for Pure Jump Processes with Markov Switching Compensators
, 2006 Jump process, Markov switching, Compensator, Characteristic function, European options, Hedging, 91B28, 60G10, 60G44, 60G51, G12, G13, D52,
Robert Elliott +2 more
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Нови резултати в областта на аномалните дифузии
, 2023 [Savov Mladen; Савов Младен]In this paper we review briefly some of the results in the area of anomalous diffusions which are related to the anomalous aggregation phenomenon. Loosely, speaking this phenomenon occurs when a particle moves in a milieu with
Savov, Mladen
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Minimal q-entropy martingale measures for exponential time-changed Lévy processes
Lévy process, Time change, Subordination, Generalized relative entropy, Martingale measures, 60G44, 60G51, 91B28, G10,
Thomas Liebmann, Stefan Kassberger
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Risk Measures for Classical and Perturbed Risk Processes - a Survey [PDF]
, 2011 2000 Mathematics Subject Classification: 60B10, 60G17, 60G51, 62P05.In this review paper we consider several risk measures in actuarial mathematics, such as the ruin probability, the ruin time, the severity of ruin, the surplus immediately before ruin ...
T. Kolkovska, Ekaterina
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On q-optimal martingale measures in exponential Lévy models
Stochastic duality, q-optimal martingale measure, Minimal entropy martingale measure, Lévy processes, 91B28, 60H10, 60G51, 60J75, G11, C61,
Christina Niethammer, Christian Bender
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Intraday returns, (Time-changed) Lévy processes, Intraday up- and downside volatility, Permutation tests, 91B28, 60G51, 62G10, C14, C52, G12,
Stefan Klößner
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Switch-Time Distributions and Processes [PDF]
, 2019 [Stoynov Pavel; Стойнов Павел]A family of probability distributions and related to them processes known as Switch Time distributions and processes (ST distributions and processes) are presented and simulated.
Stoynov, Pavel
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