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Computer simulation study of the Levy flight process [PDF]
Physica A: Statistical Mechanics and its Applications, 2009 14 pages, 7 ...
Ghaemi, Mehrdad +2 more
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Investments with declining cost following a Levy process
, 2023 We consider an optimal investment problem in which the cost of the investment decreases over time. This decrease is modelled using the negative of a non-decreasing Levy process.
Armerin, Fredrik,
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Investigating Levy's model in financial series prediction(case of vanilla option) [PDF]
Mathematics and Modeling in FinanceIn recent years, there has been growing interest in the application of stochastic processes to model financial markets, particularly in the pricing and prediction of derivative instruments such as options. One of the more advanced models that has emerged
Seyed Jalal Tabatabaei
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Levy Measure Decompositions for the Beta and Gamma Processes [PDF]
CoRR, 2012 We develop new representations for the Levy measures of the beta and gamma processes. These representations are manifested in terms of an infinite sum of well-behaved (proper) beta and gamma distributions. Further, we demonstrate how these infinite sums may be truncated in practice, and explicitly characterize truncation errors.
Yingjian Wang 0004, Lawrence Carin
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Continuous-time random walks and Lévy walks with stochastic resetting
Physical Review Research, 2020 Intermittent stochastic processes appear in a wide field, such as chemistry, biology, ecology, and computer science. This paper builds up the theory of intermittent continuous-time random walk (CTRW) and Lévy walk, in which the particles are ...
Tian Zhou, Pengbo Xu, Weihua Deng
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On a Levy process pinned at random time
, 2021 In this paper, our first goal is to rigorously define a Levy process pinned at random time. Our second task is to establish the Markov property with respect to its completed natural filtration and thus with respect to the usual augmentation of the latter.
Erraoui, Mohamed, +2 more
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Continuous Time Autoregressive Moving Average Processes Driven by Semi-Levy Process
پژوهشهای ریاضی, 2020 Introduction A flexible and tractable class of linear models is Autoregressive moving average (ARMA) process that are in effect of discrete noises. The continuous time ARMA (CARMA) processes have wide applications in many data modeling where are more ...
Navideh Modarresi +2 more
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Transportation distance between the Lévy measures and stochastic equations for Lévy-type processes
Modern Stochastics: Theory and Applications, 2014 The notion of the transportation distance on the set of the Lévy measures on $\mathbb{R}$ is introduced. A Lévy-type process with a given symbol (state dependent analogue of the characteristic triplet) is proved to be well defined as a strong solution to
T. Kosenkova, A. Kulik
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Mathematics, 2023 We introduce a novel option pricing model that features stochastic interest rates along with an underlying price process driven by stochastic string shocks combined with pure jump Lévy processes.
Alberto Bueno-Guerrero, Steven P. Clark
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, 2007 In this paper we present a random walk model for approximating a Levy Feller advection-dispersion process, governed by the Levy-Feller advection-dispersion differential equation (LFADE).
Anh,V +12 more
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