Random representation of Blasius’ formula through stochastic complex integrals
International Journal of Mathematics for Industry, 2019 Two-dimensional flow is considered in the complex plane. We discuss Blasius’ formula in a perfect fluid through stochastic complex integrals. This formula is also investigated in a viscous fluid.
Kouji Yamamuro
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Stylized Model of Lévy Process in Risk Estimation
Mathematics, 2023 Risk management is a popular and important problem in academia and industry. From a small-scale system, such as city logistics, to a large-scale system, such as the supply chain of a global industrial or financial system, efficient risk management is ...
Xin Yun +4 more
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Derivation of the Fractional Fokker–Planck Equation for Stable Lévy with Financial Applications
Mathematics, 2023 This paper aims to propose a generalized fractional Fokker–Planck equation based on a stable Lévy stochastic process. To develop the general fractional equation, we will use the Lévy process rather than the Brownian motion.
Reem Abdullah Aljethi, Adem Kılıçman
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Strong anomalous diffusion in two-state process with Lévy walk and Brownian motion
Physical Review Research, 2020 Strong anomalous diffusion phenomena are often observed in complex physical and biological systems, which are characterized by the nonlinear spectrum of exponents qν(q) by measuring the absolute qth moment 〈|x|^{q}〉.
Xudong Wang, Yao Chen, Weihua Deng
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Random Dynamics of the Stochastic Boussinesq Equations Driven by Lévy Noises
Abstract and Applied Analysis, 2013 This paper is devoted to the investigation of random dynamics of the stochastic Boussinesq equations driven by Lévy noise. Some fundamental properties of a subordinator Lévy process and the stochastic integral with respect to a Lévy process are discussed,
Jianhua Huang, Yuhong Li, Jinqiao Duan
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Investigating Levy's model in financial series prediction(case of vanilla option) [PDF]
Mathematics and Modeling in FinanceIn recent years, there has been growing interest in the application of stochastic processes to model financial markets, particularly in the pricing and prediction of derivative instruments such as options. One of the more advanced models that has emerged
Seyed Jalal Tabatabaei
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A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process [PDF]
, 2014 Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric α-stable Lévy process ...
Barczyk +41 more
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Weak Multilevel Path Simulation for Jump-Diffusion Assets
پژوهشهای ریاضی, 2021 This paper, inspired by recent advances in the application of the multilevel Monte-Carlo (MLMC) approach to Lévy driven assets, is based on the valuation of financial derivatives.
Azadeh Ghasemifard +1 more
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Continuous-time random walks and Lévy walks with stochastic resetting
Physical Review Research, 2020 Intermittent stochastic processes appear in a wide field, such as chemistry, biology, ecology, and computer science. This paper builds up the theory of intermittent continuous-time random walk (CTRW) and Lévy walk, in which the particles are ...
Tian Zhou, Pengbo Xu, Weihua Deng
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Nonlinear Stochastic SIS Epidemic Model Incorporating Lévy Process
Complexity, 2022 In this work, we study a stochastic SIS epidemic model with Lévy jumps and nonlinear incidence rates. Firstly, we present our proposed model and its parameters.
Amine El Koufi
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