Adaptive Lévy processes and area-restricted search in human foraging. [PDF]
PLoS ONE, 2013 A considerable amount of research has claimed that animals' foraging behaviors display movement lengths with power-law distributed tails, characteristic of Lévy flights and Lévy walks.
Thomas T Hills +2 more
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Dynamic Risk Measures for Processes via Backward Stochastic Differential Equations Associated with Lévy Processes [PDF]
Entropy, 2021 In this paper, we study the dynamic risk measures for processes induced by backward stochastic differential equations driven by Teugel’s martingales associated with Lévy processes (BSDELs). The representation theorem for generators of BSDELs is provided.
Liangliang Miao, Zhang Liu, Yijun Hu
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Feller processes: the next generation in modeling. Brownian motion, Lévy processes and beyond. [PDF]
PLoS ONE, 2010 We present a simple construction method for Feller processes and a framework for the generation of sample paths of Feller processes. The construction is based on state space dependent mixing of Lévy processes.
Björn Böttcher
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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
doaj +3 more sources
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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Autoregressive Sequences Via Lévy Processes
Revstat Statistical Journal, 2022 We use L´evy processes to develop a family of first-order autoregressive sequences of random variables with values in R+, called C-AR(1) processes. We obtain various distributional and regression properties for these processes and we establish a limit ...
Nadjib Bouzar
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Supercritical SDEs driven by multiplicative stable-like Lévy processes
Transactions of the American Mathematical Society, 2021 In this paper, we study the following time-dependent stochastic differential equation (SDE) in Rd: dXt = σ(t,Xt−)dZt + b(t,Xt)dt, X0 = x ∈ R, where Z is a d-dimensional non-degenerate α-stable-like process with α ∈ (0, 2), and uniform in t > 0, x 7→ σ(t,
Zhen-Qing Chen +2 more
semanticscholar +1 more source
Occupation times of intervals until first passage times for spectrally negative Lévy processes [PDF]
Stochastic Processes and their Applications, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Loeffen, Ronnie L. +2 more
openaire +4 more sources
Stable Lévy Processes via Lamperti-Type Representations
, 2022 Stable Lévy processes lie at the intersection of Lévy processes and self-similar Markov processes. Processes in the latter class enjoy a Lamperti-type representation as the space-time path transformation of so-called Markov additive processes (MAPs ...
A. Kyprianou, J. Pardo
semanticscholar +1 more source
On the Quantitative Properties of Some Market Models Involving Fractional Derivatives
Mathematics, 2021 We review and discuss the properties of various models that are used to describe the behavior of stock returns and are related in a way or another to fractional pseudo-differential operators in the space variable; we compare their main features and ...
Jean-Philippe Aguilar +2 more
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