Results 21 to 30 of about 38,563 (254)

Alpha-diversity processes and normalized inverse-Gaussian diffusions

The Annals of Applied Probability, 2013
The infinitely-many-neutral-alleles model has recently been extended to a class of diffusion processes associated with Gibbs partitions of two-parameter Poisson-Dirichlet type. This paper introduces a family of infinite-dimensional diffusions associated with a different subclass of Gibbs partitions, induced by normalized inverse-Gaussian random ...
Matteo Ruggiero, Stephen G. Walker, Stefano Favaro   +2 more
openaire   +3 more sources

Closed-form approximations for spread options in Lévy markets [PDF]

, 2019
We provide new closed-form approximations for the pricing of spread options in three specific instances of exponential Lévy markets, ie, when log-returns are modeled as Brownian motions (Black-Scholes model), variance gamma processes (VG model), or ...
Steven Vanduffel, Van Belle, Jente, Jente Van Belle, Yao, Jing, Jing Yao, Vanduffel, Steven   +5 more
core   +1 more source

Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes [PDF]

, 2006
Levy processes can be used to model asset return's distributions. Monte Carlo methods must frequently be used to value path dependent options in these models, but Monte Carlo methods can be prone to considerable simulation bias when valuing options with ...
Webber, Nick, Nick Webber, Claudia Ribeiro, Ribeiro, Claudia   +3 more
core   +1 more source

Generalised Hyperbolic State-Space Models for Inference in Dynamic Systems

IEEE Open Journal of Signal Processing
In this work we study linear vector stochastic differential equation (SDE) models driven by the generalised hyperbolic (GH) Lévy process for inference in continuous-time non-Gaussian filtering problems. The GH family of stochastic processes offers
Yaman Kindap, Simon Godsill
doaj   +1 more source

Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps [PDF]

Algorithmic Finance, 2014
This paper is a further extension of the method proposed in Itkin (2014) as applied to another set of jump-diffusion models: Inverse Normal Gaussian, Hyperbolic and Meixner. To solve the corresponding PIDEs we accomplish few steps.
A. Itkin
semanticscholar   +1 more source

On Asymptotic Properties and Almost Sure Approximation of the Normalized Inverse-Gaussian Process

Bayesian Analysis, 2013
In this paper, similar to the frequentist asymptotic theory, we present large sample theory for the normalized inverse-Gaussian process and its corresponding quantile process. In particular, when the concentration parameter is large, we establish the functional central limit theorem, the strong law of large numbers and the Glivenko-Cantelli theorem for
Al Labadi, Luai, Zarepour, Mahmoud
openaire   +2 more sources

Bitcoin Volatility and Intrinsic Time Using Double-Subordinated Lévy Processes

Risks
We propose a doubly subordinated Lévy process, the normal double inverse Gaussian (NDIG), to model the time series properties of the cryptocurrency bitcoin. By using two subordinated processes, NDIG captures both the skew and fat-tailed properties of, as
Abootaleb Shirvani, Stefan Mittnik, William Brent Lindquist, Svetlozar Rachev   +3 more
doaj   +1 more source

INVERSE RECONSTRUCTION OF UNSTEADY AERODYNAMIC LOADS ACTING ON RAILWAY VEHICLES

Proceedings of the 14th International Workshop on Structural Health Monitoring, 2023
During normal operation, railway vehicles often endure significant vibrations due to unsteady aerodynamic loads. Precisely quantifying these transient forces offers essential insights for operational safety monitoring and vehicle aerodynamic testing.
Shuo Hao, Su-Mei Wang, Zheng-wei Chen, Weijia Zhang, Yi-Qing Ni   +4 more
semanticscholar   +1 more source

Toward Knowledge‐Based Workflows: A Semantic Approach to Atomistic Simulations for Mechanical and Thermodynamic Properties

Advanced Engineering Materials, EarlyView.
Knowledge‐based atomistic workflows are presented for mechanical and thermodynamic properties. By coupling modular simulations with ontology‐aligned metadata and provenance, Fe case studies on elastic behavior, defects, thermal properties, and Hall–Petch strengthening reveal how FAIR, queryable, and reusable simulation data can be generated. Mechanical
Abril Azócar Guzmán, Hoang‐Thien Luu, Sarath Menon, Tilmann Hickel, Nina Merkert, Stefan Sandfeld   +5 more
wiley   +1 more source

Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy

Forecasting, 2023
The paper is focused on predicting the financial performance of a small open economy with an automotive industry with an above-standard share. The paper aims to predict the probability distribution of the decomposed relative economic value-added measure ...
Zdeněk Zmeškal, Dana Dluhošová, Karolina Lisztwanová, Antonín Pončík, I. Ratmanová   +4 more
semanticscholar   +1 more source