Results 21 to 30 of about 80,904 (151)
Lévy Processes Linked to the Lower-Incomplete Gamma Function
Fractal and Fractional, 2021 We start by defining a subordinator by means of the lower-incomplete gamma function. This can be considered as an approximation of the stable subordinator, easier to be handled in view of its finite activity.
Luisa Beghin, Costantino Ricciuti
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A construction of continuous-time ARMA models by iterations of Ornstein-Uhlenbeck processes [PDF]
, 2016 We present a construction of a family of continuous-time ARMA processes based on p iterations of the linear operator that maps a Lévy process onto an Ornstein-Uhlenbeck process. The construction resembles the procedure to build an AR(p) from an AR(1). We
Arratia Quesada, Argimiro Alejandro +2 more
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The Lévy–Khintchine type operators with variable Lipschitz continuous coefficients generate linear or nonlinear Markov processes and semigroups [PDF]
, 2011 Ito's construction of Markovian solutions to stochastic equations driven by a Lévy noise is extended to nonlinear distribution dependent integrands aiming at the effective construction of linear and nonlinear Markov semigroups and the corresponding ...
Kolokoltsov, V. N. (Vasiliĭ Nikitich)
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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
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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
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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 +3 more
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Investigating Levy's model in financial series prediction(case of vanilla option) [PDF]
Mathematics and Modeling in FinanceIn 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
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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 +5 more
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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
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Barrier Option Under Lévy Model : A PIDE and Mellin Transform Approach
Mathematics, 2016 We propose a stochastic model to develop a partial integro-differential equation (PIDE) for pricing and pricing expression for fixed type single Barrier options based on the Itô-Lévy calculus with the help of Mellin transform.
Sudip Ratan Chandra, Diganta Mukherjee
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