Results 41 to 50 of about 74,210 (205)
Voltage drop across Josephson junctions for Lévy noise detection
Physical Review Research, 2020 We propose to characterize Lévy-distributed stochastic fluctuations through the measurement of the average voltage drop across a current-biased Josephson junction.
Claudio Guarcello +4 more
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Acta AcusticaIn 1992, the author proposed a generalization of the Sabine formula that develops reverberation time over a series of powers of the reflection coefficient on the boundaries.
Polack Jean-Dominique
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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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FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
, 2000 In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed excess kurtosis ...
ANDREW MATACZ
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Fluid Stretching as a Levy Process
, 2016 We study the relation between flow structure and fluid deformation in steady two-dimensional random flows. Beyond the linear (shear flow) and exponential (chaotic flow) elongation paradigms, we find a broad spectrum of stretching behaviors, ranging from sub- to superlinear, which are dominated by intermittent shear events.
Dentz, Marco +3 more
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A non-Lévy random walk in chacma baboons: what does it mean? [PDF]
PLoS ONE, 2011 The Lévy walk is found from amoebas to humans and has been described as the optimal strategy for food research. Recent results, however, have generated controversy about this conclusion since animals also display alternatives to the Lévy walk such as the
Cédric Sueur
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Levy Systems for Time-Changed Processes
The Annals of Probability, 1977 After a study of the process $Y$, obtained from a right process $X$ by time-changing it with respect to a continuous additive functional $A$, we relate the jumps of $Y$ in $\Phi = \operatorname{sup} A$ to the excursions of $X$ out of $\Phi$ and to the jumps of $X$ inside $\Phi$.
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On exit times of Levy-driven Ornstein–Uhlenbeck processes [PDF]
Statistics & Probability Letters, 2008 We prove two martingale identities which involve exit times of Levy-driven Ornstein--Uhlenbeck processes. Using these identities we find an explicit formula for the Laplace transform of the exit time under the assumption that positive jumps of the Levy process are exponentially distributed.
Borovkov, Konstantin, Novikov, Alexander
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Basics of Levy processes [PDF]
, 2012 This is a draft Chapter from a book by the authors on "Levy Driven Volatility Models".
Ole E. Barndorff-Nielsen, Neil Shephard
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The Growth of Random Walks and Levy Processes
The Annals of Probability, 1981 Let $\{X_i\}$ be a sequence of independent, identically distributed non-degenerate random variables taking values in $\mathbb{R}^d$ and $S_n = \sum^n_{i = 1} X_i, M_n = \max_{1\leqq i \leqq n} |S_i|$. Define for $x > 0, G(x) = P\{| X_1 | > x\}, K(x) = x^{-2}E(| X_1 |^2 1\{| X_1 | \leq x\}), M(x) = x^{-1} |E(X_1 1\{| X_1 | \leq x\})|,$ and $h(x) = G(x) +
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