Results 11 to 20 of about 18,649,447 (327)
TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS [PDF]
, 2013 Based on the concept of a Lévy copula to describe the dependence structure of a multi‐variate Lévy process, we present a new estimation procedure. We consider a parametric model for the marginal Lévy processes as well as for the Lévy copula and estimate ...
Habib Esmaeili, C. Klüppelberg
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Signal processing with Levy information [PDF]
, 2012 Levy processes, which have stationary independent increments, are ideal for modelling the various types of noise that can arise in communication channels.
Bain A +21 more
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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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Pricing American Options by a Fourier Transform Multinomial Tree in a Conic Market
Discrete Dynamics in Nature and Society, 2022 Based on FFT, a high-order multinomial tree is constructed, and the method to obtain the price of American style options in the Lévy conic market is studied.
Weiwei Wang, Xiaoping Hu
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Integrated random processes exhibiting long tails, finite moments and 1/f spectra [PDF]
, 2000 A dynamical model based on a continuous addition of colored shot noises is presented. The resulting process is colored and non-Gaussian. A general expression for the characteristic function of the process is obtained, which, after a scaling assumption ...
A. Ott +28 more
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Predicting the Time at Which a Lévy Process Attains Its Ultimate Supremum [PDF]
, 2012 We consider the problem of finding a stopping time that minimises the L1-distance to θ, the time at which a Lévy process attains its ultimate supremum. This problem was studied in Du Toit and Peskir (Proc. Math. Control Theory Finance, pp.
E. Baurdoux, K. Schaik
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Wick calculus on spaces of regular generalized functions of Levy white noise analysis
Karpatsʹkì Matematičnì Publìkacìï, 2018 Many objects of the Gaussian white noise analysis (spaces of test and generalized functions, stochastic integrals and derivatives, etc.) can be constructed and studied in terms of so-called chaotic decompositions, based on a chaotic representation ...
M.M. Frei
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The convex minorant of a Lévy process [PDF]
, 2010 We offer a unified approach to the theory of convex minorants of Levy processes with continuous distributions. New results include simple explicit constructions of the convex minorant of a Levy process on both finite and infinite time intervals, and of a
J. Pitman, Gerónimo Uribe Bravo
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A modified Φ-Sobolev inequality for canonical Lévy processes and its applications
Modern Stochastics: Theory and Applications, 2023 A new modified Φ-Sobolev inequality for canonical ${L^{2}}$-Lévy processes, which are hybrid cases of the Brownian motion and pure jump-Lévy processes, is developed.
Noriyoshi Sakuma, Ryoichi Suzuki
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Predicting the ultimate supremum of a stable Lévy process with no negative jumps. [PDF]
, 2010 Given a stable Levy process X = (X-t)(0
Violetta Bernyk, R. Dalang, G. Peskir
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