Results 71 to 80 of about 115,543 (153)

On the foundations of Lévy finance: Equilibrium for a single-agent financial market with jumps [PDF]

For a continuous-time financial market with a single agent, we establish equilibrium pricing formulae under the assumption that the dividends follow an exponential Lévy process.
Frederik Herzberg
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Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators [PDF]

The traditional multivariate Lévy process constructed by subordinating a Brownian motion through a univariate subordinator presents a number of drawbacks, including the lack of independence and a limited range of dependence.
Elisa Luciano, Patrizia Semeraro
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Risk bounds of learning processes for Lévy processes [PDF]

, 2013
Lévy processes refer to a class of stochastic processes, for example, Poisson processes and Brownian motions, and play an important role in stochastic processes and machine learning. Therefore, it is essential to study risk bounds of the learning process
Tao, D, Zhang, C
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Nonparametric priors for vectors of survival functions [PDF]

The paper proposes a new nonparametric prior for two-dimensional vectors of survival functions (S1,S2). The definition we introduce is based on the notion of Lévy copula and it will be used to model, in a nonparametric Bayesian framework, two-sample ...
Antonio Lijoi, Ilenia Epifani
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Stability of entropy solutions for Levy mixed hyperbolic-parabolic equations

Electronic Journal of Differential Equations, 2011
We analyze entropy solutions for a class of Levy mixed hyperbolic-parabolic equations containing a non-local (or fractional) diffusion operator originating from a pure jump Levy process.
Kenneth H. Karlsen, Suleyman Ulusoy
doaj  

Dependent jump processes with coupled Lévy measures [PDF]

I present a simple method for the modeling and simulation of dependent positive jump processes through a series representation. Each constituent process is represented by a series whose terms are equal to a transformation of the jump times of a standard ...
Naoufel El-Bachir
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Brown and Levy Steady-State Motions

Entropy
This paper introduces and explores a novel class of Brown and Levy steady-state motions. These motions generalize, respectively, the Ornstein-Uhlenbeck process (OUP) and the Levy-driven OUP.
Iddo Eliazar
doaj   +1 more source

Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process. [PDF]

J Inequal Appl, 2018
Shen G, Li Y, Gao Z.
europepmc   +1 more source

Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process. [PDF]

ScientificWorldJournal, 2015
Yin C, Yuen KC, Shen Y.
europepmc   +1 more source

Spectral calibration of exponential Lévy Models [2] [PDF]

The calibration of financial models has become rather important topic in recent years mainly because of the need to price increasingly complex options in a consistent way.
Denis Belomestny, Markus Reiß
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