Subdiffusive option price model with Inverse Gaussian subordinator
Modern Stochastics: Theory and ApplicationsThe paper focuses on the option price subdiffusive model under the unusual behavior of the market, when the price may not be changed for some time, which is a quite common situation in modern illiquid financial markets or during global crises.
Nataliya Shchestyuk, Sergii Tyshchenko
doaj +3 more sources
Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator [PDF]
Communications in Statistics - Theory and Methods, 2020 We define the delayed Lévy-driven continuous-time autoregressive process via the inverse of the stable subordinator. We derive correlation structure for the observed non-stationary delayed Lévy-driven continuous-time autoregressive processes of order p ...
Nikolai Leonenko
exaly +2 more sources
Generalized fractional derivatives generated by Dickman subordinator and related stochastic processes [PDF]
Fractional Calculus and Applied AnalysisIn this article, convolution-type fractional derivatives generated by Dickman subordinator and inverse Dickman subordinator are discussed. The Dickman subordinator and its inverse are generalizations of stable and inverse stable subordinators ...
Jayme Morandi Vaz, Nikolai Leonenko
exaly +2 more sources
On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator
Bernoulli, 2013 International audienceResults about the laws of the perpetuity and remainder variables associated to a subordinator are presented, with particular emphasis on their Mellin transforms, and multiplicative infinite divisibility property. Previous results by
Francis Hirsch
exaly +2 more sources
INVERSE STABLE SUBORDINATORS. [PDF]
Math Model Nat Phenom, 2013 The inverse stable subordinator provides a probability model for time-fractional differential equations, and leads to explicit solution formulae.
Meerschaert MM, Straka P.
europepmc +2 more sources
On the inverse gamma subordinator [PDF]
, 2022 In this paper we deal with some open problems concerned with Gamma subordinators. In particular, we first provide a representation for the moments of the inverse gamma subordinator.
D'Ovidio M., Colantoni F.
core +1 more source
Applications of inverse simulation to a nonlinear model of an underwater vehicle [PDF]
, 2008 Inverse simulation provides an important alternative to conventional simulation and to more formal mathematical techniques of model inversion. The application of inverse simulation methods to a nonlinear dynamic model of an unmanned underwater ...
Murray-Smith, D., Lu, L., McGookin, E.
core +8 more sources
A Predictor-Corrector Methods for Mixed Inverse Variational Inequalities [PDF]
, 2009 In this paper, a class of mixed inverse variational inequalities is introduced and studied. We prove the existence of the solution of the auxiliary problem for mixed inverse variational inequalities, suggest a predictor-corrector method for solving the ...
Shi, Chaofeng
core +6 more sources
Multifractional Poisson process, multistable subordinator and related limit theorems [PDF]
, 2015 We introduce a multistable subordinator, which generalizes the stable subordinator to the case of time-varying stability index. This enables us to define a multifractional Poisson process.
Molchanov, Ilya, Ralchenko, Kostiantyn
core +3 more sources
Applications of physical methods in high-frequency futures markets [PDF]
, 2007 In the present work we demonstrate the application of different physical methods to high-frequency or tick-by-tick financial time series data. In particular, we calculate the Hurst exponent and inverse statistics for the price time series taken from a ...
Bartolozzi, M. +13 more
core +1 more source