Results 1 to 10 of about 10,598,022 (245)
Karpatsʹkì Matematičnì Publìkacìï, 2022 We deal with spaces of regular test functions in the Lévy white noise analysis, which are constructed using Lytvynov's generalization of a chaotic representation property.
N.A. Kachanovsky
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Extension of Short Rate Model Under a Lévy Process
Fountain Journal of Natural and Applied Sciences (FUJNAS), 2023 A lot of abnormalities occur in real-life scenarios, thus leading to some difficulties in modelling such scenarios without a deeper understanding of certain aspects of Lévy processes.
Dr A. M. Udoye
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Gamma mixed fractional Lévy Ornstein–Uhlenbeck process
Modern Stochastics: Theory and Applications, 2023 In this article, a non-Gaussian long memory process is constructed by the aggregation of independent copies of a fractional Lévy Ornstein–Uhlenbeck process with random coefficients. Several properties and a limit theorem are studied for this new process.
Héctor Araya +2 more
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Pricing American Options by a Fourier Transform Multinomial Tree in a Conic Market
Discrete Dynamics in Nature and Society, 2022 Based on FFT, a high-order multinomial tree is constructed, and the method to obtain the price of American style options in the Lévy conic market is studied.
Weiwei Wang, Xiaoping Hu
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Risenologi, 2020 The implementation of Lévy path integral generated by Lévy stochastic process on fractional Schrödinger equation has been investigated in the framework of fractional quantum mechanics.
Chandra Halim, M. Farchani Rosyid
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Partial stabilization of stochastic hybrid neural networks driven by Lévy noise
Systems Science & Control Engineering, 2020 The paper tackles the stabilization of stochastic hybrid neural networks. Different from the existing work which the Brownian motion was used to stabilize neural networks for the stochastic stability, the stabilization is generalized by Lévy noise in ...
Dezhi Liu +3 more
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A Lévy-Driven Stochastic Queueing System with Server Breakdowns and Vacations
Mathematics, 2020 Motivated by modelling the data transmission in computer communication networks, we study a Lévy-driven stochastic fluid queueing system where the server may subject to breakdowns and repairs.
Yi Peng, Jinbiao Wu
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A modified Φ-Sobolev inequality for canonical Lévy processes and its applications
Modern Stochastics: Theory and Applications, 2023 A new modified Φ-Sobolev inequality for canonical ${L^{2}}$-Lévy processes, which are hybrid cases of the Brownian motion and pure jump-Lévy processes, is developed.
Noriyoshi Sakuma, Ryoichi Suzuki
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Logarithmic Lévy process directed by Poisson subordinator
Modern Stochastics: Theory and Applications, 2019 Let $\{L(t),t\ge 0\}$ be a Lévy process with representative random variable $L(1)$ defined by the infinitely divisible logarithmic series distribution. We study here the transition probability and Lévy measure of this process.
Penka Mayster, Assen Tchorbadjieff
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On occupation time for on-off processes with multiple off-states
Modern Stochastics: Theory and Applications, 2022 The need to model a Markov renewal on-off process with multiple off-states arise in many applications such as economics, physics, and engineering. Characterization of the occupation time of one specific off-state marginally or two off-states jointly is ...
Chaoran Hu, Vladimir Pozdnyakov, Jun Yan
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