Results 11 to 20 of about 10,737,325 (309)
Levy Process Simulation by Stochastic Step Functions [PDF]
SIAM Journal on Scientific Computing, 2013 20 pages, 18 ...
Torquil Macdonald Sørensen +1 more
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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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Communications, 2018 In this paper, we consider the robust adaptive non parametric estimation problem for the periodic function observed with the Levy noises in continuous time.
Evgeny Pchelintsev +2 more
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On Wick calculus on spaces of nonregular generalized functions of Levy white noise analysis
Karpatsʹkì Matematičnì Publìkacìï, 2018 Development of a theory of test and generalized functions depending on infinitely many variables is an important and actual problem, which is stipulated by requirements of physics and mathematics.
N.A. Kachanovsky
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The 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 $(-\infty, 0)$].
Mountford, T. S., Port, S. C.
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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
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Gamma mixed fractional Lévy Ornstein–Uhlenbeck process
Modern Stochastics: Theory and Applications, 2023 In this article, a non-Gaussian long memory process is constructed by the aggregation of independent copies of a fractional Lévy Ornstein–Uhlenbeck process with random coefficients. Several properties and a limit theorem are studied for this new process.
Héctor Araya +2 more
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Derivation of the Fractional Fokker–Planck Equation for Stable Lévy with Financial Applications
Mathematics, 2023 This paper aims to propose a generalized fractional Fokker–Planck equation based on a stable Lévy stochastic process. To develop the general fractional equation, we will use the Lévy process rather than the Brownian motion.
Reem Abdullah Aljethi, Adem Kılıçman
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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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Karpatsʹkì Matematičnì Publìkacìï, 2014 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.
M.M. Dyriv, N.A. Kachanovsky
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