Results 281 to 290 of about 10,737,325 (309)

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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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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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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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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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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Fractional Ornstein–Uhlenbeck Processes, Levy–Ornstein–Uhlenbeck Processes, and Fractional Levy– Ornstein–Uhlenbeck Processes

2022
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Access Suspended

Annals of Probability, 1988
Jean Jacod
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Levy Process

SSRN Electronic Journal, 2016
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Annals of Applied Probability, 1991
Offer Kella, Ward Whitt
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