Results 31 to 40 of about 18,041,869 (292)

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
semanticscholar   +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

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

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

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
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

Random walks and Lévy processes as rough paths [PDF]

, 2015
We consider random walks and Lévy processes in a homogeneous group G. For all $$p > 0$$p>0, we completely characterise (almost) all G-valued Lévy processes whose sample paths have finite p-variation, and give sufficient conditions under which a sequence ...
I. Chevyrev
semanticscholar   +1 more source

Estimates of densities for Lévy processes with lower intensity of large jumps [PDF]

, 2015
We obtain general lower estimates of transition densities of jump Lévy processes. We use them for processes with Lévy measures having bounded support, processes with exponentially decaying Lévy measures for large times and for processes with high ...
Paweł Sztonyk
semanticscholar   +1 more source

On Approximation of Some Lévy Processes

Austrian Journal of Statistics
 In 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, Victoria Knopova, Denis Platonov   +2 more
doaj   +1 more source

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
doaj   +1 more source