Results 231 to 240 of about 63,195 (264)

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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Generalized parking problems for levy processes

Sequential Analysis, 1998
Let X(t), 0 ≤ t a∗. Under suitable conditions on g the threshold a∗ can be characterized in terms of the size of the jump of X over an infinite barrier. The optimal solution can also be characterized as an infinitesimal look ahead stopping rule. We present an application of our results to tests of power one.
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Option Pricing with Levy-Stable Processes [PDF]

, 2004
In this paper we show how to calculate European-style option prices when the log-stock and stock returns processes follow a symmetric Levy-Stable process. We extend our results to price European-style options when the log-stock process follows a skewed Levy-Stable process.
Alvaro Cartea, Sam Howison
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MORTALITY MODELING WITH LEVY PROCESSES

2012
Mortality and longevity risk is usually one of the main risk components in economic capital models of insurance companies. Above all, future mortality expectations are an important input in the modeling and pricing of long term products. Deviations from the expectation can lead insurance company even to default if sufficient reserves and capital is not
YUCEL, M. Serhat, UNAL, Gazanfer
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Scale-invariant Truncated Levy Process

Europhysics letters, 2000
We develop a scale-invariant truncated L\'evy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits L\'evy stability for the probability density, and hence shows scaling properties (as observed in empirical data); it has the advantage that all moments are finite (and so ...
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Fractional Ornstein–Uhlenbeck Processes, Levy–Ornstein–Uhlenbeck Processes, and Fractional Levy– Ornstein–Uhlenbeck Processes

2022
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Optimal BP neural network algorithm for state of charge estimation of lithium-ion battery using PSO with Levy flight

Journal of Energy Storage, 2022
Shaojing Song
exaly  

Levy Process

SSRN Electronic Journal, 2016
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STEEL PRICE MODELLING WITH LEVY PROCESS

2012
The aim of this study is to model steel price returns by Lévy process. The daily LME Steel Billets Spot Prices between 04.01. 2010 and 31.10.2011 are analyzed and AR[1] ~ GARCH[1,1] discrete model is found to be the best candidate taking all indicators into account.
KAHRAMAN, Emre, UNAL, Gazanfer
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