Results 271 to 280 of about 1,239,268 (312)

Continuous and discrete stable processes

Physical Review E, 2008
The one-sided Lévy-stable probability densities and the discrete-stable distributions form a doubly stochastic Poisson transform pair. This relationship facilitates the formulation of a class of continuous-stable stochastic processes.
W H, Lee, K I, Hopcraft, E, Jakeman
openaire   +2 more sources

Inference for Gamma and Stable Processes

Biometrika, 1978
SUMMARY Problems of estimation and testing for nondecreasing pure jump gamma and stable additive processes are considered. The inference is based on a single realization of the process on a given time interval [O, t]. The maximum likelihood estimators of the parameters based on observation of the jumps of size greater than or equal to e are found to be
Basawa, I. V., Brockwell, P. J.
openaire   +1 more source

A Locally Stable Adjustment Process

Econometrica, 1995
A Walrasian adjustment process is an adjustment on prices such that the direction of price adjustment in any market is governed by the sign of the excess demand in that market. We shall say that such a process satisfies the Walrasian hypothesis. By now it is fairly well established that, in general, such an adjustment fails to attain competitive ...
openaire   +2 more sources

On a Maximum of Stable Lévy Processes

Theory of Probability & Its Applications, 2001
Let \(G_a\) and \(S_a\) be the location and the maximal value, respectively, of an \(\alpha\)-stable Lévy process \(X\) on an interval \([0,a]\). It is shown that the random variables \(S_a(G_a)^{-1/\alpha}\) and \(G_a\) are independent. Using this fact the author studies the location of the maximum of the trajectories \(X(t)\) with low \((S_a1 ...
openaire   +1 more source

COLLISION AND MEETING OF STABLE PROCESSES

Acta Mathematica Scientia, 1996
Summary: Random path intersections generated by collision and meeting of stable processes in thin time sets are characterized in terms of Hausdorff dimension and capacity.
openaire   +2 more sources

Stable processes of exchange

Journal of Mathematical Economics, 2008
The paper's concern is a study of exchange dynamics in an agent-based setting. Consumers can contact traders (who are responsible for coordination of exchange) in a process where realistic restrictions are imposed on information-flow among all market agents.
Reiter, Stanley, Maroulis, Spiro
openaire   +1 more source

A Globally Stable Price Adjustment Process

Econometrica, 1990
It is well-known that Walras' tâtonnement may fail to converge to an equilibrium unless an additional assumption, such as the gross substitutes condition, is made. The purpose of this paper is to present a differential equation which, under quite general conditions, converges to an equilibrium unless the initial price vector belongs to a set of measure
openaire   +1 more source

Harmonizable stable processes

Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete, 1982
This paper examines properties of a class of complex-valued stable processes which have spectral representation by means of independent-increments processes. A representation is derived by an application of Schilder's stochastic integral. Also, another construction of harmonizable stable processes by means of generalized stochastic processes is given ...
openaire   +2 more sources

Increase of stable processes

Journal of Theoretical Probability, 1994
One says that \(t>0\) is an increase time for the path \(\omega\) of a real- valued process if \(\omega\) is below level \(\omega (t)\) immediately before time \(t\) and above this level immediately after time \(t\). According to a celebrated result of Dvoretzky, Erdős and Kakutani, almost every Brownian path has no increase times.
openaire   +2 more sources

Max-stable processes

2020
The first class of regularly varying time series we will investigate is the class of max-stable processes. These processes can be viewed as ideal models of heavy tailed time series.
Rafał Kulik, Philippe Soulier
openaire   +1 more source