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THE LEVY LAPLACIAN AND THE LEVY PROCESS(Micro-Macro Duality in Quantum Analysis)

THE LEVY LAPLACIAN AND THE LEVY PROCESS(Micro-Macro Duality in Quantum Analysis)
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Levy Processes

2013
Michael Mastro
exaly   +2 more sources

Option Pricing with Levy Process [PDF]

SSRN Electronic Journal, 2001
In this paper, we assume that log returns can be modelled by a Levy process. We give explicit formulae for option prices by means of the Fourier transform. We explain how to infer the characteristics of the Levy process from option prices. This enables us to generate an implicit volatility surface implied by market data.
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Levy processes for image modeling

Proceedings of the IEEE Signal Processing Workshop on Higher-Order Statistics. SPW-HOS '99, 2003
Nonhomogenous random fields are known to be well adapted to modeling a wide class of images. Their computational complexity generally causes their lack of appeal, we propose a more efficient model capable of capturing textures, shapes, as well as jumps typically encountered in infra-red images.
Oleg V. Poliannikov, Yufang Bao, Hamid Krim   +2 more
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Finite-size Lyapunov exponent for Levy processes

Physical Review E, 2007
The finite-size Lyapunov exponent (FSLE) is the exponential rate at which two particles separate from a distance of r to a x r (a>1) and provides a measure of dispersive mixing in chaotic systems. It is shown analytically that for particle trajectories governed by symmetric alpha -stable Levy motion, the FSLE is proportional to the diffusion ...
R, Parashar, J H, Cushman
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Fast Simulation of Levy Processes

SSRN Electronic Journal, 2012
We present a robust method for simulating an increment of a Levy process, based on decomposing the jump part of the process into the sum of its positive and negative jump components. The characteristic exponent of a spectrally one-sided Levy process has excellent analytic properties, which we exploit to design a fast and accurate algorithm for ...
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On Levy's area process

2006
We prove a law of the iterated logarithm for the Euclidean norm of a particulan vecton process in ℝ3 and give formulae for its characteristic and conditional characteristic functions. The conditional characteristic function yields an explicit expression for the propagaton of the Schrodinger operaton with constant magnetic field.
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Priors Based on Levy Processes

2016
The independent increments process, also known as (positive) Levy process, with its associated Levy measure has emerged as an important vehicle in the development of a group of processes such as neutral to the right, gamma, extended gamma, beta, and beta-Stacy processes that are discussed cohesively in this chapter.
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Levy Processes Simulation for Modeling in Bioinformatics

International Journal of Applied Research in Bioinformatics, 2020
This article discusses the capabilities of the R language for modeling Levy processes, processes that currently most closely correspond to the nature of the evolution of stock price movements. The efficient algorithm of the CGMY process simulation as a difference of the tempered stable independent Levy is processed and programmed with the R language ...
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