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Levy Process Simulation by Stochastic Step Functions [PDF]
SIAM Journal of Scientific Computing, 2013 20 pages, 18 ...
Fred Espen Benth
exaly +3 more sources
Annals of Probability, 1991 It is shown that all Levy processes on the line whose paths are of bounded variation have a closed range over any finite time interval that is nowhere dense except for those processes having positive (negative) drift with Levy measure finite on $(0, \infty)$ [finite on $(-\infty, 0)$].
T S Mountford
exaly +3 more sources
A Novel Ant Colony Optimization Algorithm With Levy Flight
IEEE Access, 2020 Ant Colony Optimization (ACO) is a widely applied meta-heuristic algorithm. Little researches focused on the candidate selection mechanism, which was developed based on the simple uniform distribution.
Yahui Liu, Buyang Cao
doaj +3 more sources
Modeling Financial Markets Using Combined Ornstein-uhlenbeck Process with Levy Noise [PDF]
تحقیقات مالی, 2021 Objective: The main purpose of this paper is to investigate a developed stochastic algorithm for modeling financial markets using the Ornstein-uhlenbeck process combined with Levy noise. Using the closing prices of stock markets, it can be concluded that
Mina Mohammadi, Parisa Nabati
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PERSAMAAN DIFERENSIAL ORNSTEIN-UHLENBECK DALAM PERAMALAN HARGA SAHAM
Media Statistika, 2020 Geometric Brownian motion is one of the most widely used stock price model. One of the assumptions that is filled with stock return volatility is constant. Gamma Ornstein-Uhlenbeck process a model to describe volatility in finance.
Amam Taufiq Hidayat, Subanar Subanar
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Risenologi, 2020 The implementation of Lévy path integral generated by Lévy stochastic process on fractional Schrödinger equation has been investigated in the framework of fractional quantum mechanics.
Chandra Halim, M. Farchani Rosyid
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Mathematics, 2021 This paper introduces a fuel-switching price to the Alberta market, which is designed for encouraging power plant companies to switch from coal to natural gas when they produce electricity; this has been successfully applied to the European market ...
Weiliang Lu +3 more
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Extension of Short Rate Model Under a Lévy Process
Fountain Journal of Natural and Applied Sciences (FUJNAS), 2023 A lot of abnormalities occur in real-life scenarios, thus leading to some difficulties in modelling such scenarios without a deeper understanding of certain aspects of Lévy processes.
Dr A. M. Udoye
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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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Karpatsʹkì Matematičnì Publìkacìï, 2016 The operators of stochastic differentiation, which are closely related with the extended Skorohod stochastic integral and with the Hida stochastic derivative, play an important role in the classical (Gaussian) white noise analysis.
N.A. Kachanovsky
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