Results 21 to 30 of about 53 (52)
Exponential moments for HJM models with jumps
Lévy processes, Bond models, HJM postulate, Martingales, 60H30, 91B28, 60G51, E43, G12,
Jerzy Zabczyk, Jacek Jakubowski
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Intermittency for the wave equation with Lévy white noise
, 2020 In this article, we consider the stochastic wave equation on R + × R driven by the Lévy white noise introduced in MSC 2010: Primary 60H15; secondary 60G51 ...
† Cheikh, Raluca M Balan, B Ndongo
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Central limit theorem for supercritical binary homogeneous Crump-Mode-Jagers processes
, 2016 We consider a supercritical general branching population where the lifetimes of individuals are i.i.d. with arbitrary distribution and each individual gives birth to new individuals at Poisson times independently from each others. The population counting
Henry, Benoît, Benoît Henry
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Relationship between Extremal and Sum Processes Generated by the same Point Process [PDF]
, 2009 2000 Mathematics Subject Classification: Primary 60G51, secondary 60G70, 60F17.We discuss weak limit theorems for a uniformly negligible triangular array (u.n.t.a.) in Z = [0, ∞) × [0, ∞)^d as well as for the associated with it sum and extremal processes
Mitov, I., Pancheva, E., Volkovich, Z.
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Bootstrap, Resampling, Low intensity, Infinitely divisible laws, Stable laws, Domains of attraction, Lévy processes, 62F40, 60G51,
Arnold Janssen +2 more
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Joint estimation for SDE driven by locally stable Lévy processes
, 2020 Considering a class of stochastic differential equations driven by a locally stable process, we address the joint parametric estimation, based on high frequency observations of the process on a fixed time interval , of the drift coefficient, the scale ...
Clément, Emmanuelle, Gloter, Arnaud
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Existence of Lévy term structure models
Forward curve spaces, Lévy term structure models, Stochastic integration in Hilbert spaces, Strong, weak and mild solutions of infinite dimensional SDEs, 91B28, 91B70, 60G51, 60H15, E43, G10,
Damir Filipović +2 more
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Joint estimation for SDE driven by locally stable Lévy processes
, 2019 Considering a class of stochastic differential equations driven by a locally stable process, we address the joint parametric estimation, based on high frequency observations of the process on a fixed time interval , of the drift coefficient, the scale ...
Clément, Emmanuelle, Gloter, Arnaud
core +1 more source
On a Fluctuation Identity for Random Walks and Lévy Processes
, 2017 In this paper, some identities in laws involving ladder processes for random walks and Lévy processes are extended and unified.
Alili, L., Chaumont, L., Doney, R. A.
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Lévy Processes in Cones of Banach Spaces
, 2003 AMS Subject classification: 60G51, 60B05Subordinators in Banach spaces are studied. The existence of the special Lévy-Khintchine representation is related to the geometry of the space and a Pettis integral with respect to the underlying Lévy measure ...
Pérez-Abreu, Víctor +1 more
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