Can one see \(\alpha\)-stable variables and processes?
From MaRDI portal
Publication:1596083
DOI10.1214/ss/1177010656zbMath0955.60508MaRDI QIDQ1596083
Aleksander Janicki, Aleksander Weron
Publication date: 7 February 2001
Published in: Statistical Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/ss/1177010656
60E07: Infinitely divisible distributions; stable distributions
62F10: Point estimation
62M99: Inference from stochastic processes
60G99: Stochastic processes
60H05: Stochastic integrals
Related Items
Models of asset returns: changes of pattern from high to low event frequency, On The Expected Discounted Penalty function for Lévy Risk Processes, Classification of stochastic processes by convolutional neural networks, Lévy processes in bounded domains: path-wise reflection scenarios and signatures of confinement, Nonlinear friction in underdamped anharmonic stochastic oscillators, Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients, Rank tests of unit root hypothesis with infinite variance errors, Deterministic force-free resonant activation, Efficient Monte Carlo Method for Integral Fractional Laplacian in Multiple Dimensions, A new `walk on spheres' type method for fractional diffusion equation in high dimensions based on the Feynman-Kac formulas, Fractional kinetic model for granular compaction, Langevin picture of Lévy walks and their extensions, Densities of scaling limits of coupled continuous time random walks, Power-law statistics from nonlinear stochastic differential equations driven by Lévy stable noise, Estimating the codifference function of linear time series models with infinite variance, First exit times of non-linear dynamical systems in \(\mathbb R^{d}\) perturbed by multifractal Lévy noise, Option pricing in subdiffusive Bachelier model, Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes, Stochastic flow cascades, Precise tabulation of the maximally-skewed stable distributions and densities, Black-Scholes formula in subdiffusive regime, Wavelet-based estimation for univariate stable laws, Weighted Poincaré inequality and heat kernel estimates for finite range jump processes, Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution, Epidemics with short and long-range interactions: role of vector dispersal patterns, Stochastic models for risk estimation in volatile markets: a survey, Symmetric jump processes and their heat kernel estimates, Hausdorff dimension of regular points in stochastic Burgers flows with Lévy \(\alpha\)-stable initial data, Simulation of random vectors from three-dimensional spherically symmetric stable distributions, A simple robust estimation method for the thickness of heavy tails, Periodic moving averages of random variables with regularly varying tails, Drift transforms and Green function estimates for discontinuous processes, Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system, Pricing european option under the time-changed mixed Brownian-fractional Brownian model, A characterization of mixing processes of type G, Fractional Fokker-Planck equation with space and time dependent drift and diffusion, Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions, Beyond the universal Dyson singularity for 1-D chains with hopping disorder, On the Calderón problem for nonlocal Schrödinger equations with homogeneous, directionally antilocal principal symbols, Fractional Lévy stable motion: finite difference iterative forecasting model, Stable Lévy motion with inverse Gaussian subordinator, Mellin convolution for subordinated stable processes, The estimates of the mean first exit time from a ball for the \(\alpha \)-stable Ornstein-Uhlenbeck processes, Langevin picture of subdiffusion with infinitely divisible waiting times, On Harnack inequality for \(\alpha\)-stable Ornstein-Uhlenbeck processes, On using random walks to solve the space-fractional advection-dispersion equations, Relaxation functions in dipolar materials, Asymptotic distributions of continuous-time random walks: A probabilistic approach, A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model, Boundary Harnack principle for $Δ+ Δ^{𝛼/2}$, To hit or to pass it over—remarkable transient behavior of first arrivals and passages for Lévy flights in finite domains, Resonant activation in 2D and 3D systems driven by multi-variate Lévy noise
