Results 81 to 90 of about 74,210 (205)
Financial Modelling with Ornstein-Uhlenbeck Processes Driven by Levy Process
, 2009 In this study we deal with aspects of the modeling of the asset prices by means Ornstein-Uhlenbech process driven by Levy process. Barndorff-Nielsen and Shephard stochastic volatility model allows the volatility parameter to be a self-decomposable ...
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BSDEs and log-utility maximization for Lévy processes
Modern Stochastics: Theory and Applications, 2019 In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for Lévy processes in the case of a Lipschitz generator of sublinear growth.
Paolo Di Tella, Hans-Jürgen Engelbert
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Classification of Coharmonic and Coinvariant Functions for a Levy Process
The Annals of Probability, 1980 Excursion theory is applied to get identities for continuous time ladder variables. The identities are used to classify coharmonic and coinvariant functions for one dimensional Levy processes.
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Berlandina avishur Levy, 2009, n. sp.
, 2009 Berlandina avishur n. sp. Figs 1–3 Type material. Adult male holotype from Ramat Avishur, east of Bet Nir, Israel, leg. Yael Mandelik, May 14, 2002, pitfall trap (HUJ 15557). Female unknown. Etymology.
Levy, Gershom
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On the reducibility of affine models with dependent Lévy factors
Modern Stochastics: Theory and ApplicationsThe paper is devoted to the study of the short rate equation of the form \[ \text{d}R(t)=F(R(t))\text{d}t+{\sum \limits_{i=1}^{d}}{G_{i}}(R(t-))\text{d}{Z_{i}}(t),\hspace{1em}R(0)={R_{0}}\ge 0,\hspace{3.33333pt}t\gt 0,\] with deterministic functions
Michał Barski, Rafał Łochowski
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Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach
Risks, 2013 This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a subordinator, a
Claude Lefèvre, Philippe Picard
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The Theory of Quantum Levy Processes
, 2004 Habilitation thesis EMAU Greifswald, 204 ...
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Minimizing Banking Risk in a Lévy Process Setting
Journal of Applied Mathematics, 2007 The primary functions of a bank are to obtain funds through deposits from external sources and to use the said funds to issue loans. Moreover, risk management practices related to the withdrawal of these bank deposits have always been of considerable ...
F. Gideon +2 more
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Stochastic differential of Ito – Levy processes
Science and Technology Development Journal, 2016 In this paper, we continue to expand some results to get the product rule for differential of stochastic processes with jump, and apply for some special processes like pure jump process, Levy-Ornstein-Uhlenbeck process, geometric Levy process, in models of finance, ecomomics, and information technology.
Phung Ngoc Nguyen, Dam Ton Duong
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The Levy sections theorem revisited
This paper revisits the Levy sections theorem. We extend the scope of the theorem to time series and apply it to historical daily returns of selected dollar exchange rates.
Gleria, Iram +3 more
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