Cliquet option pricing in a jump-diffusion L\'{e}vy model [PDF]
, 2018 We investigate the pricing of cliquet options in a jump-diffusion model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a drifted L\'{e}vy process entailing a Brownian diffusion component as well as ...
Hess, Markus
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Topology counts: force distributions in circular spring networks [PDF]
, 2017 Filamentous polymer networks govern the mechanical properties of many biological materials. Force distributions within these networks are typically highly inhomogeneous and, although the importance of force distributions for structural properties is well
Heidemann, Knut M. +5 more
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Process convergence of self-normalized sums of i.i.d. random variables coming from domain of attraction of stable distributions [PDF]
Proceedings - Mathematical Sciences, 2013 In this paper we show that the continuous version of the self normalised process $Y_{n,p}(t)= S_n(t)/V_{n,p}+(nt-[nt])X_{[nt]+1}/V_{n,p}$ where $S_n(t)=\sum_{i=1}^{[nt]} X_i$ and $V_{(n,p)}= \sum_{i=1}^{n}|X_i|^p)^{\frac{1}{p}}$ and $X_i$ i.i.d. random variables belong to $DA( )$, has a non trivial distribution iff $p= =2$. The case for $2 > p >
Basak, Gopal K., Biswas, Arunangshu
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Statistical properties of a filtered Poisson process with additive random noise: Distributions, correlations and moment estimation [PDF]
, 2017 Filtered Poisson processes are often used as reference models for intermittent fluc- tuations in physical systems. Such a process is here extended by adding a noise term, either as a purely additive term to the process or as a dynamical term in a ...
Garcia, Odd Erik +2 more
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Correlated connectivity and the distribution of firing rates in the neocortex [PDF]
, 2008 Two recent experimental observations pose a challenge to many cortical models. First, the activity in the auditory cortex is sparse, and firing rates can be described by a lognormal distribution.
Hromadka, Tomas +2 more
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Crowdsourced Sampling of a Composite Random Variable: Analysis, Simulation, and Experimental Test
Open Journal of Statistics, 2019 A composite random variable is a product (or sum of products) of statistically distributed quantities. Such a variable can represent the solution to a multi-factor quantitative problem submitted to a large, diverse, independent, anonymous group of non ...
M. Silverman
semanticscholar +1 more source
A Multiscale Guide to Brownian Motion
, 2015 We revise the Levy's construction of Brownian motion as a simple though still rigorous approach to operate with various Gaussian processes. A Brownian path is explicitly constructed as a linear combination of wavelet-based "geometrical features" at ...
Beliaev, Dmitry +2 more
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Canonical Trees, Compact Prefix-free Codes and Sums of Unit Fractions: A Probabilistic Analysis [PDF]
, 2015 For fixed $t\ge 2$, we consider the class of representations of $1$ as sum of unit fractions whose denominators are powers of $t$ or equivalently the class of canonical compact $t$-ary Huffman codes or equivalently rooted $t$-ary plane "canonical" trees.
Heuberger, Clemens +2 more
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Variance and Covariance of Several Simultaneous Outputs of a Markov Chain
, 2016 The partial sum of the states of a Markov chain or more generally a Markov source is asymptotically normally distributed under suitable conditions. One of these conditions is that the variance is unbounded.
Kropf, Sara
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Errors Incurred When Using Iwao's Sequential Decision Rule in Insect Sampling [PDF]
, 2017 Sequential decision rules based upon defining a relationship between the mean and variance of a population and using this relationship in a confidence interval about a sum of counts on sample units have been developed and used for sampling insect pests ...
Nyrop, Jan P., Simmons, Gary A.
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