Results 11 to 20 of about 64,645 (264)
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
Stylized Model of Lévy Process in Risk Estimation
Mathematics, 2023 Risk management is a popular and important problem in academia and industry. From a small-scale system, such as city logistics, to a large-scale system, such as the supply chain of a global industrial or financial system, efficient risk management is ...
Xin Yun +4 more
doaj +1 more source