Results 51 to 60 of about 80,904 (151)
Continuous-time random walks and Lévy walks with stochastic resetting
Physical Review Research, 2020 Intermittent stochastic processes appear in a wide field, such as chemistry, biology, ecology, and computer science. This paper builds up the theory of intermittent continuous-time random walk (CTRW) and Lévy walk, in which the particles are ...
Tian Zhou, Pengbo Xu, Weihua Deng
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New stochastic processes to model interest rates : LIBOR additive processes [PDF]
, 2008 In this paper, a new kind of additive process is proposed. Our main goal is to define, characterize and prove the existence of the LIBOR additive process as a new stochastic process.
Colino, Jesús P.
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On the reducibility of affine models with dependent Lévy factors
Modern Stochastics: Theory and ApplicationsThe paper is devoted to the study of the short rate equation of the form \[ \text{d}R(t)=F(R(t))\text{d}t+{\sum \limits_{i=1}^{d}}{G_{i}}(R(t-))\text{d}{Z_{i}}(t),\hspace{1em}R(0)={R_{0}}\ge 0,\hspace{3.33333pt}t\gt 0,\] with deterministic functions
Michał Barski, Rafał Łochowski
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First passage and first hitting times of Lévy flights and Lévy walks
New Journal of Physics, 2019 For both Lévy flight and Lévy walk search processes we analyse the full distribution of first-passage and first-hitting (or first-arrival) times. These are, respectively, the times when the particle moves across a point at some given distance from its ...
Vladimir V Palyulin +6 more
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Methods of simulation mathematical modeling of the Russian derivatives market in modern times
Advanced Engineering Research, 2019 Introduction. The paper is devoted to simulation modeling. Basic methods of the simulation mathematical modeling in the derivatives market are described.
T. A. Karpinskaya, O. E. Kudryavtsev
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On Neumann Type Problems for nonlocal Equations set in a half Space [PDF]
, 2014 International audienceWe study Neumann type boundary value problems for nonlocal equations related to Lévy processes. Since these equations are nonlocal, Neumann type problems can be obtained in many ways, depending on the kind of reflection we impose on
Barles, Guy +3 more
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Expansion of Lévy Process Functionals and Its Application in Statistical Estimation [PDF]
In this paper, expansions of functionals of Lévy processes are established under some Hilbert spaces and their orthogonal bases. From practical standpoint, both time-homogeneous and time-inhomogeneous functionals of Lévy processes are considered. Several
Chaohua Dong, Jiti Gao
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Viscoelasticity and Lévy processes [PDF]
, 1999 We show that the linear viscoelastic materials, and more generally the physical phenomena to which Biot's relaxation theory is relevant, can be put in correspondance with the laws of processes with independent increments. In the one dimensional case this
Bouleau, Nicolas
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On extended stochastic integrals with respect to Lévy processes
Karpatsʹkì Matematičnì Publìkacìï, 2013 Let $L$ be a Levy process on $[0,+\infty)$. In particular cases, when $L$ is a Wiener or Poisson process, any square integrable random variable can be decomposed in a series of repeated stochastic integrals from nonrandom functions with respect to $L ...
N.A. Kachanovsky
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Voltage drop across Josephson junctions for Lévy noise detection
Physical Review Research, 2020 We propose to characterize Lévy-distributed stochastic fluctuations through the measurement of the average voltage drop across a current-biased Josephson junction.
Claudio Guarcello +4 more
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