Results 11 to 20 of about 5,237,449 (259)

Geometric approximations to transition densities of Jump-type Markov processes

Open Mathematics, 2021
This paper is concerned with the transition functions of symmetric Levy-type processes generated by a pseudo-differential operator with variable coefficients.
Zhuang Yuanying, Song Xiao
doaj   +1 more source

Some remarks on first passage of Lévy processes, the American put and pasting principles [PDF]

, 2005
The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and overshoot above/below a fixed level of a Lévy process and the solution of Gerber and ...
Kyprianou, A. E., Alili, Larbi
core   +1 more source

Logarithmic Lévy process directed by Poisson subordinator

Modern Stochastics: Theory and Applications, 2019
Let $\{L(t),t\ge 0\}$ be a Lévy process with representative random variable $L(1)$ defined by the infinitely divisible logarithmic series distribution. We study here the transition probability and Lévy measure of this process.
Penka Mayster, Assen Tchorbadjieff
doaj   +1 more source

New Method to Investigate the Impact of Independent Quadratic α-Stable Poisson Jumps on the Dynamics of a Disease under Vaccination Strategy

Fractal and Fractional, 2023
Long-run bifurcation analysis aims to describe the asymptotic behavior of a dynamical system. One of the main objectives of mathematical epidemiology is to determine the acute threshold between an infection’s persistence and its elimination.
Yassine Sabbar, Asad Khan, Anwarud Din, Mouhcine Tilioua   +3 more
doaj   +1 more source

Investigating Levy's model in financial series prediction(case of vanilla option) [PDF]

Mathematics and Modeling in Finance
In recent years, there has been growing interest in the application of stochastic processes to model financial markets, particularly in the pricing and prediction of derivative instruments such as options. One of the more advanced models that has emerged
Seyed Jalal Tabatabaei
doaj   +1 more source

Markov chain approximations for transition densities of Lévy processes ∗ [PDF]

, 2014
E l e c t r o
Mijatović, Aleksandar, Matija Vidmar, Saul Jacka, Jacka, Saul D., Aleksandar Mijatović, Vidmar, Matija   +5 more
core   +1 more source

Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps

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
doaj   +1 more source

Path dependent option pricing under Lévy processes applied to Bermudan options [PDF]

, 2004
A model is developed that can price path dependent options when the underlying process is an exponential Lévy process with closed form conditional characteristic function. The model is an extension of a recent quadrature option pricing model so that it
O'Sullivan, Conall
core   +1 more source

Application of Lévy processes in modelling (geodetic) time series with mixed spectra [PDF]

Nonlinear Processes in Geophysics, 2021
Recently, various models have been developed, including the fractional Brownian motion (fBm), to analyse the stochastic properties of geodetic time series together with the estimated geophysical signals.
J.-P. Montillet, J.-P. Montillet, X. He, K. Yu, C. Xiong, C. Xiong   +5 more
doaj   +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