Results 11 to 20 of about 1,141 (298)

Subdiffusive option price model with Inverse Gaussian subordinator

Modern Stochastics: Theory and Applications
The paper focuses on the option price subdiffusive model under the unusual behavior of the market, when the price may not be changed for some time, which is a quite common situation in modern illiquid financial markets or during global crises.
Nataliya Shchestyuk, Sergii Tyshchenko
doaj   +3 more sources

The Speed of Convergence of the Threshold Estimator of Ruin Probability under the Tempered α-Stable Lévy Subordinator

Mathematics, 2021
In this paper, a nonparametric estimator of ruin probability is introduced in a spectrally negative Lévy process where the jump component is a tempered α-stable subordinator.
Yuan Gao, Honglong You
doaj   +2 more sources

On the Fractional Poisson Process and the Discretized Stable Subordinator [PDF]

Axioms, 2015
We consider the renewal counting number process N = N(t) as a forward march over the non-negative integers with independent identically distributed waiting times.
Rudolf Gorenflo, Francesco Mainardi
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The diachrony of the Basque marker bait-: from a manner expression to subordinator

Linguistics
This article analyzes the diachrony of the Basque marker bait-, which is a verbal prefix in subordinate clauses, but also has other functions: for example, it appears in independent clauses and indefinite pronouns.
Krajewska Dorota
doaj   +2 more sources

On the inverse gamma subordinator [PDF]

, 2022
In this paper we deal with some open problems concerned with Gamma subordinators. In particular, we first provide a representation for the moments of the inverse gamma subordinator.
D'Ovidio M., Colantoni F.
core   +1 more source

Exact simulation of truncated Lévy subordinator [PDF]

, 2020
A truncated Lévy subordinator is a Lévy subordinator in R+ with Lévy measure restricted from above by a certain level b. In this paper, we study the path and distribution properties of this type of processes in detail and set up an exact simulation ...
Dassios, Angelos, Lim, Jia Wei, Qu, Yan
core   +1 more source

Subordination by convex functions [PDF]

International Journal of Mathematics and Mathematical Sciences, 2006
For a fixed analytic function defined on the open unit disk and γ < 1, let Tg(γ) denote the class of all analytic functions satisfying . For functions in Tg(γ), a subordination result is derived involving the convolution with a normalized convex function. Our result includes as special cases several earlier works.
Rosihan M. Ali, V. Ravichandran, N. Seenivasagan   +2 more
openaire   +3 more sources

An Application of Differential Subordination [PDF]

International Journal of Mathematics and Mathematical Sciences, 2009
We apply the general theory of differential subordination to obtain certian interesting criteria for p‐valent starlikeness and strong starlikeness. Some applications of these results are also discussed.
T. N. Shanmugam, M. P. Jeyaraman
openaire   +3 more sources

Multifractional Poisson process, multistable subordinator and related limit theorems [PDF]

, 2015
We introduce a multistable subordinator, which generalizes the stable subordinator to the case of time-varying stability index. This enables us to define a multifractional Poisson process.
Molchanov, Ilya, Ralchenko, Kostiantyn
core   +1 more source

Lévy-walk-like Langevin dynamics

New Journal of Physics, 2019
Continuous-time random walks and Langevin equations are two classes of stochastic models used to describe the dynamics of particles in the natural world.
Xudong Wang, Yao Chen, Weihua Deng
doaj   +1 more source