Results 51 to 60 of about 10,737,325 (309)
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 2010 Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted Lévy processes. The latter is a Lévy process whose dynamics change by subtracting off a fixed linear drift (of suitable size) whenever the aggregate process is above a pre-specified level.
Kyprianou, A. E., Loeffen, R. L.
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Australian Journal of Social Issues, EarlyView.ABSTRACT In 2021, a desktop review was conducted of published references to First Nations peoples' approaches to conflict and its management in Australia (Project Stage One), culminating in a report published in 2024. This article focuses on Project Stage Two, a complex, innovative research undertaking building on the findings of Stage One, and being ...
Helen Bishop +3 more
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Cliquet option pricing with Meixner processes
Modern Stochastics: Theory and Applications, 2018 We investigate the pricing of cliquet options in a geometric Meixner model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a pure-jump Meixner–Lévy process yielding Meixner distributed log-returns ...
Markus Hess
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Lévy processes conditioned to stay in a half-space with applications to directional extremes
Modern Stochastics: Theory and Applications, 2022 This paper provides a multivariate extension of Bertoin’s pathwise construction of a Lévy process conditioned to stay positive or negative. Thus obtained processes conditioned to stay in half-spaces are closely related to the original process on a ...
Jevgenijs Ivanovs, Jakob D. Thøstesen
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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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Australian Journal of Social Issues, EarlyView.ABSTRACT The 2023 Australian Voice to Parliament Referendum presented a pivotal moment in the nation's democratic landscape. Despite support for Indigenous well‐being, the referendum did not secure the necessary approval, prompting extensive analysis of its outcome.
Scott Baum, William Mitchell
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Cliquet option pricing in a jump-diffusion Lévy model
Modern Stochastics: Theory and Applications, 2018 We investigate the pricing of cliquet options in a jump-diffusion model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a drifted Lévy process entailing a Brownian diffusion component as well as ...
Markus Hess
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Nonlinear Stochastic SIS Epidemic Model Incorporating Lévy Process
Complexity, 2022 In this work, we study a stochastic SIS epidemic model with Lévy jumps and nonlinear incidence rates. Firstly, we present our proposed model and its parameters.
Amine El Koufi
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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.
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Quantifying the Sites of Government, Commercial, and Personal Systems‐Perpetrated Financial Abuse
Australian Journal of Social Issues, EarlyView.ABSTRACT This study explores the institutional systems through which post‐separation financial abuse is perpetrated. While existing measures seek to quantify the harms experienced by women post‐separation, this study draws on financial, welfare and legal service casefiles to identify where such harms occur. Drawing on 76 de‐identified Victorian service
Kay Cook +3 more
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