Results 11 to 20 of about 1,474 (245)
Subdiffusive option price model with Inverse Gaussian subordinator
Modern Stochastics: Theory and ApplicationsThe 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
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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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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
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Levy Subordinator Model of Default Dependency [PDF]
, 2010 The article presents a model of default dependency based on Levy subordinator. It is a tractable one-factor model with an architecture similar to that of the standard Gaussian copula model, providing easy calibration to individual hazard rate curves and ...
Balakrishna, B S, Balakrishna, B. S.
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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.
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Random walks in the high-dimensional limit II: the crinkled subordinator [PDF]
, 2023 A crinkled subordinator is an $\ell^2$-valued random process which can be thought of as a version of the usual one-dimensional subordinator with each out of countably many jumps being in a direction orthogonal to the directions of all other jumps.
Marynych, Alexander +2 more
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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
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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
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Some Properties of the Kilbas-Saigo Function
Mathematics, 2021 We characterize the complete monotonicity of the Kilbas-Saigo function on the negative half-line. We also provide the exact asymptotics at −∞, and uniform hyperbolic bounds are derived.
Lotfi Boudabsa, Thomas Simon
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SUBORDINATOR RELASI TEMPORAL DALAM KALIMAT MAJEMUK BERTINGKAT
Kajian Linguistik dan Sastra, 2015 The study describes subordinators indicating temporal relations of equivalence and sequence in which their existence in compound-complex sentences are obligatory.
Andi Haris Prabawa
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