Results 51 to 60 of about 20,185,936 (261)
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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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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Combinatorial Lévy processes [PDF]
, 2016 Combinatorial Levy processes evolve on general state spaces of countable combinatorial structures. In this setting, the usual Levy process properties of stationary, independent increments are defined in an unconventional way in terms of the symmetric ...
Harry Crane
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Testing the Marketing Performance of German Wheat Farmers
Agribusiness, EarlyView.ABSTRACT This paper analyses the marketing performance of wheat farmers in Germany. Wheat sales data from 465 individual farms over a 12‐year period are used to test against different market benchmarks. Market benchmarks are constructed by simulating passive trading agents using regional wheat prices.
Franziska Potts, Jens‐Peter Loy
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Agribusiness, EarlyView.ABSTRACT This paper examines how mandatory disclosure of added sugar content on the updated U.S. Nutrition Facts Panel (NFP) affects consumer demand and market outcomes. Using NielsenIQ Retail Scanner Data (2015–2020) and a random coefficient discrete choice model, we estimate how added sugar labeling influences purchasing behavior in yogurt and cookie
Yuxiang Zhang, Yizao Liu
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Special greeks of a variance-gamma driven vasicek model
Scientific African, 2023 Abrupt happenings in financial markets have resulted to the need to adopt Lévy processes such as a variance gamma process in modelling financial derivatives since it has the ability to capture jumps that occur in such scenario.
Adaobi M. Udoye, Lukman S. Akinola
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An
Stochastic Processes and their Applications, 2016 In this article we present uniqueness, existence, and Lp-estimates of the quasilinear stochastic partial differential equations driven by Levy processes of the type (0.1)du=(Lu+F(u))dt+Gk(u)dZtk, where L is a pseudo-differential operator and Zk are ...
Ildoo Kim, Kyeong-Hun Kim
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A Generalization of the Space-Fractional Poisson Process and its Connection to some Lévy Processes [PDF]
, 2015 The space-fractional Poisson process is a time-changed homogeneous Poisson process where the time change is an independent stable subordinator. In this paper, a further generalization is discussed that preserves the Levy property.
F. Polito, E. Scalas
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American Journal of Medical Genetics Part B: Neuropsychiatric Genetics, EarlyView.ABSTRACT Post‐traumatic stress disorder (PTSD) causes significant mental and physical distress, yet only a small subset of individuals exposed to trauma develop the disorder. Scientists and clinicians are still unable to predict who will get the disorder or how it will manifest.
Brandy M. Fox
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Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes
Risks, 2018 Given a spectrally-negative Lévy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever the observed value is above it.
José-Luis Pérez, Kazutoshi Yamazaki
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