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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
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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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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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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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A Lévy-Ciesielski expansion for quantum Brownian motion and the construction of quantum Brownian bridges [PDF]
, 2007 We introduce "probabilistic" and "stochastic Hilbertian structures". These seem to be a suitable context for developing a theory of "quantum Gaussian processes". The Schauder system is utilised to give a Lévy-Ciesielski representation of quantum (bosonic)
Accardi L. +9 more
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Transportation distance between the Lévy measures and stochastic equations for Lévy-type processes
Modern Stochastics: Theory and Applications, 2014 The notion of the transportation distance on the set of the Lévy measures on $\mathbb{R}$ is introduced. A Lévy-type process with a given symbol (state dependent analogue of the characteristic triplet) is proved to be well defined as a strong solution to
T. Kosenkova, A. Kulik
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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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A Lévy-Driven Stochastic Queueing System with Server Breakdowns and Vacations
Mathematics, 2020 Motivated by modelling the data transmission in computer communication networks, we study a Lévy-driven stochastic fluid queueing system where the server may subject to breakdowns and repairs.
Yi Peng, Jinbiao Wu
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