Results 21 to 30 of about 115,543 (153)
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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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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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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Transportation distance between the Lévy measures and stochastic equations for Lévy-type processes
Modern Stochastics: Theory and Applications, 2014 The notion of the transportation distance on the set of the Lévy measures on $\mathbb{R}$ is introduced. A Lévy-type process with a given symbol (state dependent analogue of the characteristic triplet) is proved to be well defined as a strong solution to
T. Kosenkova, A. Kulik
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Voltage drop across Josephson junctions for Lévy noise detection
Physical Review Research, 2020 We propose to characterize Lévy-distributed stochastic fluctuations through the measurement of the average voltage drop across a current-biased Josephson junction.
Claudio Guarcello +4 more
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Mathematics, 2023 We introduce a novel option pricing model that features stochastic interest rates along with an underlying price process driven by stochastic string shocks combined with pure jump Lévy processes.
Alberto Bueno-Guerrero, Steven P. Clark
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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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Continuous Time Autoregressive Moving Average Processes Driven by Semi-Levy Process
پژوهشهای ریاضی, 2020 Introduction A flexible and tractable class of linear models is Autoregressive moving average (ARMA) process that are in effect of discrete noises. The continuous time ARMA (CARMA) processes have wide applications in many data modeling where are more ...
Navideh Modarresi +2 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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New stochastic processes to model interest rates : LIBOR additive processes [PDF]
, 2008 In this paper, a new kind of additive process is proposed. Our main goal is to define, characterize and prove the existence of the LIBOR additive process as a new stochastic process.
Colino, Jesús P.
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