Results 71 to 80 of about 69,006 (265)
A Donsker Theorem for Lévy Measures [PDF]
Given n equidistant realisations of a Lévy process (Lt; t >= 0), a natural estimator for the distribution function N of the Lévy measure is constructed. Under a polynomial decay restriction on the characteristic function, a Donsker-type theorem is proved,
Richard Nickl, Markus Reiß
core
Parisian ruin for a refracted Lévy process
, 2017 In this paper, we investigate Parisian ruin for a Lévy surplus process with an adaptive premium rate, namely a refracted Lévy process. Our main contribution is a generalization of the result in Loeffen et al.
Czarna, Irmina +5 more
core +1 more source
Guiding and Manipulating Light Fields in Microstructured Liquid Crystals
Advanced Physics Research, EarlyView.This review summarizes recent advances in guided‐wave optics enabled by microstructured liquid crystal (LC) devices, covering their fundamental material properties, key degree of freedom for dynamic light field manipulations. The advances of linear guided‐wave optics, nonlinear‐optics with spatial optical solitons, and microlasers in LC‐based devices ...
Shan‐shan Chang +2 more
wiley +1 more source
BSDEs and log-utility maximization for Lévy processes
Modern Stochastics: Theory and Applications, 2019 In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for Lévy processes in the case of a Lipschitz generator of sublinear growth.
Paolo Di Tella, Hans-Jürgen Engelbert
doaj +1 more source
, 2018 In this paper, we extend the optimality of the barrier strategy for the dividend payment problem to the setting that the underlying surplus process is a spectrally negative Lévy process and the discounting factor is an exponential Lévy process. The proof
Huanqun Jiang
core +1 more source
Face and Construct Validity of a Grapefruit Arthroscopy Training Model With Active Fluid Management
Arthroscopy, Sports Medicine, and Rehabilitation, EarlyView.Purpose To evaluate the face and construct validity of a grapefruit arthroscopy training model with active fluid management across varying levels of arthroscopic experience. Methods Orthopaedic residents, fellows, and attending surgeons were stratified into novice (n = 10), intermediate (n = 10), and advanced (n = 9) groups.
Harrison A. Volaski +5 more
wiley +1 more source
Structural credit risk model driven by Lévy process under knight uncertainty. [PDF]
Ann Oper Res, 2023 Tang Z, Zhong B, Zhou L, Shen C.
europepmc +1 more source
The optimal control of a Lévy process
, 2009 textIn this thesis we study the optimal stochastic control problem of the drift of a Lévy process. We show that, for a broad class of Lévy processes, the partial integro-differential Hamilton-Jacobi-Bellman equation for the value function admits ...
DiTanna, Anthony Santino +1 more
core
On two multistable extensions of stable Lévy motion and their semimartingale representation
, 2015 Accepted for publication in Journal of Theoretical ProbabilityInternational audienceWe compare two definitions of multistable Lévy motions. Such processes are extensions of classical Lévy motion where the stability index is allowed to vary in time.
Le Guével, Ronan +6 more
core +1 more source