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Cliquet option pricing with Meixner processes
Modern Stochastics: Theory and Applications, 2018 We investigate the pricing of cliquet options in a geometric Meixner model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a pure-jump Meixner–Lévy process yielding Meixner distributed log-returns ...
Markus Hess
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Neutrosophic Stable Random Variables [PDF]
Neutrosophic Sets and Systems, 2022 In this paper, the concept of a neutrosophic stable random variable is introduced. Two definitions of a neutrosophic random variable are presented. We introduced both the neutrosophic probability distribution function and the neutrosophic probability ...
Azzam Mustafa Nouri +2 more
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Centrality Dependent Lévy Analysis of two-pion BEC Functions at PHENIX [PDF]
EPJ Web of Conferences, 2023 We present most recent PHENIX preliminary data on centrality dependence of two-pion Bose-Einstein correlation functions measured in √SNN = 200 GeV Au+Au collisions at the Relativistic Heavy Ion Collider (RHIC). The data are well described by assuming the
Novák Tamás
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Some Inferences on the Levy distribution [PDF]
Journal of Statistical Theory and Applications (JSTA), 2014 Some distributional properties of Levy distribution are presented. Limiting distributions of the extreme order statistics are given. Based on the distributional properties a characterization of the Levy distribution is shown.
M. Ahsanullah, Valery B. Nevzorov
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Lévy noise improves the electrical activity in a neuron under electromagnetic radiation. [PDF]
PLoS ONE, 2017 As the fluctuations of the internal bioelectricity of nervous system is various and complex, the external electromagnetic radiation induced by magnet flux on membrane can be described by the non-Gaussian type distribution of Lévy noise.
Juan Wu, Yong Xu, Jun Ma
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Adaptive Lévy walks in foraging fallow deer. [PDF]
PLoS ONE, 2009 BACKGROUND: Lévy flights are random walks, the step lengths of which come from probability distributions with heavy power-law tails, such that clusters of short steps are connected by rare long steps.
Stefano Focardi +2 more
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Survey of Lévy Flight-Based Metaheuristics for Optimization
Mathematics, 2022 Lévy flight is a random walk mechanism which can make large jumps at local locations with a high probability. The probability density distribution of Lévy flight was characterized by sharp peaks, asymmetry, and trailing.
Juan Li +4 more
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A Novel Ant Colony Optimization Algorithm With Levy Flight
IEEE Access, 2020 Ant Colony Optimization (ACO) is a widely applied meta-heuristic algorithm. Little researches focused on the candidate selection mechanism, which was developed based on the simple uniform distribution.
Yahui Liu, Buyang Cao
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The evolutionary maintenance of Lévy flight foraging.
PLoS Computational Biology, 2022 Lévy flight is a type of random walk that characterizes the behaviour of many natural phenomena studied across a multiplicity of academic disciplines; within biology specifically, the behaviour of fish, birds, insects, mollusks, bacteria, plants, slime ...
Winston Campeau +2 more
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The Lévy–Khintchine type operators with variable Lipschitz continuous coefficients generate linear or nonlinear Markov processes and semigroups [PDF]
, 2011 Ito's construction of Markovian solutions to stochastic equations driven by a Lévy noise is extended to nonlinear distribution dependent integrands aiming at the effective construction of linear and nonlinear Markov semigroups and the corresponding ...
Kolokoltsov, V. N. (Vasiliĭ Nikitich)
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