Results 11 to 20 of about 18,041,869 (292)
Estimates of heat kernels of non-symmetric Lévy processes [PDF]
Forum mathematicum, 2017 We investigate densities of vaguely continuous convolution semigroups of probability measures on ℝd{{\mathbb{R}^{d}}}. First, we provide results that give upper estimates in a situation when the corresponding jump measure is allowed to be highly non ...
T. Grzywny, Karol Szczypkowski
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Rejection sampling for tempered Lévy processes [PDF]
Statistics and computing, 2018 We extend the idea of tempering stable Lévy processes to tempering more general classes of Lévy processes. We show that the original process can be decomposed into the sum of the tempered process and an independent point process of large jumps.
M. Grabchak
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Infinitely ramified point measures and branching Lévy processes [PDF]
Annals of Probability, 2017 We call a random point measure infinitely ramified if for every $n \in \mathbb{N}$, it has the same distribution as the $n$th generation of some branching random walk.
J. Bertoin, Bastien Mallein
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Financial Applications on Fractional Lévy Stochastic Processes
Fractal and Fractional, 2022 In this present work, we perform a numerical analysis of the value of the European style options as well as a sensitivity analysis for the option price with respect to some parameters of the model when the underlying price process is driven by a ...
Reem Abdullah Aljethi, Adem Kılıçman
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Exit problems for general draw-down times of spectrally negative Lévy processes [PDF]
Journal of Applied Probability, 2017 For spectrally negative Lévy processes, we prove several fluctuation results involving a general draw-down time, which is a downward exit time from a dynamic level that depends on the running maximum of the process.
Bo-Yan Li, N. Vu, Xiaowen Zhou
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Maximum principles for nonlocal parabolic Waldenfels operators [PDF]
Bulletin of Mathematical Sciences, 2019 As a class of Lévy type Markov generators, nonlocal Waldenfels operators appear naturally in the context of investigating stochastic dynamics under Lévy fluctuations and constructing Markov processes with boundary conditions (in particular the ...
Qiao Huang, Jinqiao Duan, Jiang-Lun Wu
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Spectral heat content for Lévy processes [PDF]
Mathematische Nachrichten, 2017 In this paper we study the spectral heat content for various Lévy processes. We establish the small time asymptotic behavior of the spectral heat content for Lévy processes of bounded variation in Rd , d≥1 .
T. Grzywny, Hyunchul Park, R. Song
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Markov random fields model and applications to image processing
AIMS Mathematics, 2022 Markov random fields (MRFs) are well studied during the past 50 years. Their success are mainly due to their flexibility and to the fact that they gives raise to stochastic image models.
Boubaker Smii
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Bernstein-gamma functions and exponential functionals of Levy Processes [PDF]
, 2016 We study the equation $M_\Psi(z+1)=\frac{-z}{\Psi(-z)}M_\Psi(z), M_\Psi(1)=1$ defined on a subset of the imaginary line and where $\Psi$ is a negative definite functions.
P. Patie, Mladen Savov
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Geometrically Convergent Simulation of the Extrema of Lévy Processes [PDF]
Mathematics of Operations Research, 2018 We develop a novel approximate simulation algorithm for the joint law of the position, the running supremum, and the time of the supremum of a general Lévy process at an arbitrary finite time. We identify the law of the error in simple terms.
Jorge Ignacio González Cázares +2 more
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