Results 31 to 40 of about 53 (52)
, 2020 In this paper nonparametric methods to assess the multivariate Lévy measure are introduced. Starting from high-frequency observations of a Lévy process X, we construct estimators for its tail integrals and the Pareto Lévy copula and prove weak ...
62m09, Axel Bücher, Mathias Vetter
core
, 2017 This work focuses on the asymptotic behavior of the density in small time of a stochastic differential equation driven by an α-stable process with index α ∈ (0, 2).
Clément, Emmanuelle +2 more
core
The long time asymptotics of the time spent on the positive side are discussed for one-dimensional diffusion processes in random environments. The limiting distributions under the log-log scale are obtained for the diffusion processes in the stable ...
Kasahara, Yuji, Watanabe, Shinzo
core
A bivariate Lévy process with negative binomial and gamma marginals
The joint distribution of X and N, where N has a geometric distribution and X is the sum of N IID exponential variables (independent of N), is infinitely divisible.
Kozubowski, Tomasz J. +2 more
core
Some of the next articles are maybe not open access.
On Singular Control for Lévy Processes
Mathematics of Operations Research, 2023Kei Noba, Kazutoshi Yamazaki
exaly
On recurrence for self-similar additive processes
Kodai Mathematical Journal, 2000Kouji Yamamuro
exaly
Time-changed Poisson processes of order k
Stochastic Analysis and Applications, 2020Neelesh S Upadhye
exaly
Gradient estimates for harmonic and $q$-harmonic functions of symmetric stable processes
Illinois Journal of Mathematics, 2002Krzysztof Bogdan, Adam Nowak
exaly