Results 21 to 30 of about 20,185,936 (261)
Noise reinforcement for Lévy processes [PDF]
Annales De L Institut Henri Poincare-probabilites Et Statistiques, 2018 In a step reinforced random walk, at each integer time and with a fixed probability p ∈ (0, 1), the walker repeats one of his previous steps chosen uniformly at random, and with complementary probability 1 − p, the walker makes an independent new step ...
J. Bertoin
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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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Biggins' Martingale Convergence for Branching Lévy Processes [PDF]
, 2017 A branching Levy process can be seen as the continuous-time version of a branching random walk; see [BM17]. It describes a particle system on the real line in which particles move and reproduce independently one of the others, in a Poissonian manner ...
J. Bertoin, Bastien Mallein
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On the last exit times for spectrally negative Lévy processes [PDF]
Journal of Applied Probability, 2016 Using a new approach, for spectrally negative Lévy processes we find joint Laplace transforms involving the last exit time (from a semiinfinite interval), the value of the process at the last exit time, and the associated occupation time, which ...
Yingqiu Li, C. Yin, Xiaowen Zhou
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A semigroup approach to nonlinear Lévy processes [PDF]
, 2017 We study the relation between L\'evy processes under nonlinear expectations, nonlinear semigroups and fully nonlinear PDEs. First, we establish a one-to-one relation between nonlinear L\'evy processes and nonlinear Markovian convolution semigroups ...
R. Denk, Michael Kupper, M. Nendel
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Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions [PDF]
Bernoulli, 2016 Subordinating a multivariate Levy process, the subordinate, with a univariate subordinator gives rise to a pathwise construction of a new Levy process, provided the subordinator and the subordinate are independent processes.
Boris Buchmann, Kevin W. Lu, D. Madan
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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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Lévy processes on a generalized fractal comb [PDF]
Fractional Dynamics in Comb-like Structures, 2016 Comb geometry, constituted of a backbone and fingers, is one of the most simple paradigm of a two-dimensional structure, where anomalous diffusion can be realized in the framework of Markov processes.
Trifce Sandev, A. Iomin, V. M'endez
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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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