Results 41 to 50 of about 18,649,447 (327)
Karpatsʹkì Matematičnì Publìkacìï, 2014 The operators of stochastic differentiation, which are closely related with the extended Skorohod stochastic integral and with the Hida stochastic derivative, play an important role in the classical (Gaussian) white noise analysis.
M.M. Dyriv, N.A. Kachanovsky
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Strong anomalous diffusion in two-state process with Lévy walk and Brownian motion
Physical Review Research, 2020 Strong anomalous diffusion phenomena are often observed in complex physical and biological systems, which are characterized by the nonlinear spectrum of exponents qν(q) by measuring the absolute qth moment 〈|x|^{q}〉.
Xudong Wang, Yao Chen, Weihua Deng
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Levy flights from a continuous-time process
, 2000 The Levy-flight dynamics can stem from simple random walks in a system whose operational time (number of steps n) typically grows superlinearly with physical time t.
A. Blumen +27 more
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Karpatsʹkì Matematičnì Publìkacìï, 2019 We deal with spaces of nonregular generalized functions in the Lévy white noise analysis, which are constructed using Lytvynov's generalization of a chaotic representation property.
N.A. Kachanovsky, T.O. Kachanovska
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Spectral analysis of subordinate Brownian motions in half-line
, 2011 We study one-dimensional Levy processes with Levy-Khintchine exponent psi(xi^2), where psi is a complete Bernstein function. These processes are subordinate Brownian motions corresponding to subordinators, whose Levy measure has completely monotone ...
Kwasnicki, Mateusz
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Lévy processes and quasi-shuffle algebras [PDF]
Stochastics, 2014 We investigate the algebra of repeated integrals of semimartingales. We prove that a minimal family of semimartingales generates a quasi-shuffle algebra. In essence, to fulfill the minimality criterion, first, the family must be a minimal generator of the algebra of repeated integrals generated by its elements and by quadratic covariation processes ...
Curry, Charles +3 more
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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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Error bounds for small jumps of L\'evy processes
, 2012 The pricing of options in exponential Levy models amounts to the computation of expectations of functionals of Levy processes. In many situations, Monte-Carlo methods are used.
Dia, El Hadj Aly
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Time-space harmonic polynomials relative to a Levy process [PDF]
, 2008 In this work, we give a closed form and a recurrence relation for a family of time-space harmonic poly nomials relative to a Levy process. We also state the relationship with the Kailath-Segall (orthogonal) polynomials associated to the process.
J. L. Sol'e, F. Utzet
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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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