Results 21 to 30 of about 5,237,449 (259)
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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Option Pricing by Willow Tree Method for Generalized Hyperbolic Lévy Processes
Journal of Mathematics, 2023 In this paper, a new approach is proposed to construct willow tree (WT) for generalized hyperbolic (GH) Lévy processes. There are two advantages of our proposed approach compared to the classical WT methods.
Hongying Wu, Zhiqiang Zhou, Caijuan Kang
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On Approximation of Some Lévy Processes
Austrian Journal of StatisticsIn this paper, we extend the Asmussen-Rosinski approach for the approximation of Levy processes. To simulate the value of the process at time t, we introduce a time-dependent truncation of the Levy measure, which we refer to as dynamic cutting ...
Dmytro Ivanenko +2 more
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Jumping to Conclusion? A Lévy Flight Model of Decision Making [PDF]
Tutorials in Quantitative Methods for Psychology, 2020 The diffusion model is one of the most prominent response time models in cognitive psychology. The model describes evidence accumulation as a stochastic process that runs between two boundaries until a threshold is hit, and a decision is made.
Wieschen, Eva Marie +2 more
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Διαδικασίες Lévy και θεωρία ρίσκου
, 2023 This thesis is dedicated to the study of Lévy processes and their applications to Risk theory. A quick and accurate recount of some prerequisites and notions is provided at the start.
Antoniadis, Ioannis +1 more
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Two coupled Lévy queues with independent input
Stochastic Systems, 2014 We consider a pair of coupled queues driven by independent spectrally-positive Lévy processes. With respect to the bi-variate workload process this framework includes both the coupled processor model and the two-server fluid network with independent ...
Jevgenijs Ivanovs, Onno Boxma
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The evolutionary maintenance of Lévy flight foraging.
PLoS Computational Biology, 2022 Lévy flight is a type of random walk that characterizes the behaviour of many natural phenomena studied across a multiplicity of academic disciplines; within biology specifically, the behaviour of fish, birds, insects, mollusks, bacteria, plants, slime ...
Winston Campeau +2 more
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Observer‐Based Adaptive Event‐Triggered Tracking Control for Fuzzy TS Systems With Premise Mismatch
International Journal of Adaptive Control and Signal Processing, EarlyView.This paper presents an adaptive logistic event‐triggered observer‐based tracking controller for Takagi‐Sugeno fuzzy systems under constrained inputs and network delays. Leveraging a hybrid LMI and Secretary Bird Optimization approach, this strategy significantly minimizes communication overhead and computational burden while ensuring optimal reference ...
Oussama Djadane +3 more
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Advanced Robotics Research, EarlyView.Sparse active‐infrared proximity sensing is coupled to an adaptive thigmotactic controller for camera‐inaccessible object retrieval. After grasping, receptor‐informed encoding transforms force, temperature, and wrist force–torque signals into spike trains for spiking neural network recognition.
Fengyi Wang, Nitish Thakor, Gordon Cheng
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Continuous Time Autoregressive Moving Average Processes Driven by Semi-Levy Process
پژوهشهای ریاضی, 2020 Introduction A flexible and tractable class of linear models is Autoregressive moving average (ARMA) process that are in effect of discrete noises. The continuous time ARMA (CARMA) processes have wide applications in many data modeling where are more ...
Navideh Modarresi +2 more
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