Results 1 to 10 of about 10,559 (139)
On the infinite divisibility of distributions of some inverse subordinators
Modern Stochastics: Theory and Applications, 2018 We consider the infinite divisibility of distributions of some well-known inverse subordinators. Using a tail probability bound, we establish that distributions of many of the inverse subordinators used in the literature are not infinitely divisible.
Arun Kumar, Erkan Nane
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Characteristic Kernels and Infinitely Divisible Distributions [PDF]
J. Mach. Learn. Res., 2016 We connect shift-invariant characteristic kernels to infinitely divisible distributions on $\mathbb{R}^{d}$. Characteristic kernels play an important role in machine learning applications with their kernel means to distinguish any two probability ...
Fukumizu, Kenji, Nishiyama, Yu
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A Data-Driven Measure of Effective Connectivity Based on Renyi's α-Entropy [PDF]
Frontiers in Neuroscience, 2019 Transfer entropy (TE) is a model-free effective connectivity measure based on information theory. It has been increasingly used in neuroscience because of its ability to detect unknown non-linear interactions, which makes it well suited for exploratory ...
Ivan De La Pava Panche +2 more
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Tempered Infinitely Divisible Distributions and Processes [PDF]
Theory of Probability and Its Applications, 2011 In this paper, we construct the new class of tempered infinitely divisible (TID) distributions. Taking into account the tempered stable distribution class, as introduced in the seminal work of Rosinski [Stochastic Process. Appl., 117 (2007), pp. 677–707], a modification of the tempering function allows one to obtain suitable properties.
S T Rachev, Young Shin Kim
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Classical and free infinitely divisible distributions and random matrices
Annals of Probability, 2005 We construct a random matrix model for the bijection \Psi between clas- sical and free infinitely divisible distributions: for every d\geq1, we associate in a quite natural way to each *-infinitely divisible distribution \mu a distribution P_d^{\mu} on ...
Florent Benaych-Georges
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A New Decomposition of Infinitely Divisible Distributions
Annals of Probability, 1975 In this paper, it is shown that a random variable $Z$ having an infinitely divisible distribution with a finite left extremity can be decomposed in distribution as the sum of two random variables such that, given one, the other has an infinitely divisible distribution of prescribed type.
D N Shanbhag
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Finite Difference Methods for Option Pricing under Lévy Processes: Wiener-Hopf Factorization Approach [PDF]
The Scientific World Journal, 2013 In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propose a general approach to the numerical methods based on a finite difference approximation for the generalized Black-Scholes equation.
Oleg Kudryavtsev
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On Strongly Unimodal Infinitely Divisible Distributions
Annals of Probability, 1982 There are many results as to unimodality of infinitely divisible distributions. But few are known about strong unimodality of infinitely divisible distributions. In this paper, we consider two subclasses of infinitely divisible distributions and give necessary and sufficient conditions for strong unimodality of distributions belonging to such classes.
Makoto Yamazato
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More on Equivalence of Infinitely Divisible Distributions
Annals of Probability, 1975 Any infinitely divisible distribution on $R^n$ with infinite absolutely continuous Levy measure and no Gaussian component has a density which is positive a.e. over its support.
Hudson, W. N., Mason, J. D.
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Educational approaches and research achievements of Alexander Khintchine in mathematics [PDF]
ریاضی و جامعه, 2023 The role of Alexander Yakovlevich Khintchine in mathematics and especially in probability theory is undeniable. His approaches to teaching mathematics, especially in the secondary school, are still a perfect model for mathematics teachers.
Ramin Kazemi
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