Results 31 to 40 of about 18,649,447 (327)
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
Combinatorial Lévy processes [PDF]
The Annals of Applied Probability, 2018 Combinatorial Levy processes evolve on general state spaces of countable combinatorial structures. In this setting, the usual Levy process properties of stationary, independent increments are defined in an unconventional way in terms of the symmetric difference operation on sets.
openaire +4 more sources
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
Levy Process Simulation by Stochastic Step Functions [PDF]
SIAM Journal on Scientific Computing, 2013 20 pages, 18 ...
Sørensen, Torquil Macdonald +1 more
openaire +2 more sources
Random Dynamics of the Stochastic Boussinesq Equations Driven by Lévy Noises
Abstract and Applied Analysis, 2013 This paper is devoted to the investigation of random dynamics of the stochastic Boussinesq equations driven by Lévy noise. Some fundamental properties of a subordinator Lévy process and the stochastic integral with respect to a Lévy process are discussed,
Jianhua Huang, Yuhong Li, Jinqiao Duan
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
Convex hulls of Lévy processes
Electronic Communications in Probability, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Molchanov, Ilya, Wespi, Florian
openaire +3 more sources
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
Multiple Points of Levy Processes
The Annals of Probability, 1989 We prove a conjecture of Hendricks and Taylor that a Levy process in $\mathbb{R}^d$ with 1-potential kernel $u(x)$ will have $k$-multiple points if $\int_{|x| \leq 1} (u(x))^k dx 0$.
Le Gall, Jean-Francois +2 more
openaire +2 more sources
Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process [PDF]
, 2008 Given a discrete time sample X 1, … X n from a Lévy process X=(X t ) t≥0 of a finite jump activity, we study the problem of nonparametric estimation of the characteristic triplet (γ, σ2, ρ) corresponding to the process X.
S. Gugushvili
semanticscholar +1 more source