scientific article; zbMATH DE number 1402217

Publication date: 10 February 2000

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Lévy processes infinitely divisible distribution additive processes stable processes

Processes with independent increments; Lévy processes (60G51) Self-similar stochastic processes (60G18) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (only showing first 100 items - show all)

Asymptotic behavior of the generalized St. Petersburg sum conditioned on its maximum ⋮ Exchangeable exogenous shock models ⋮ Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver ⋮ On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes ⋮ On the one-mode quadratic Weyl operators ⋮ Asymptotic estimate of eigenvalues of pseudo-differential operators in an interval ⋮ Importance sampling and statistical Romberg method for Lévy processes ⋮ Compound Poisson processes, latent shrinkage priors and Bayesian nonconvex penalization ⋮ Small ball probabilities for a class of time-changed self-similar processes ⋮ Time-causal and time-recursive spatio-temporal receptive fields ⋮ Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility ⋮ Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes ⋮ Representations and inequalities for generalized hypergeometric functions ⋮ On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims ⋮ Passage time and fluctuation calculations for subexponential Lévy processes ⋮ Representation of stationary and stationary increment processes via Langevin equation and self-similar processes ⋮ Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns ⋮ Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes ⋮ Lévy and Poisson approximations of switched stochastic systems by a semimartingale approach ⋮ Fractional absolute moments of heavy tailed distributions ⋮ Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes ⋮ Numerical methods for the mean exit time and escape probability of two-dimensional stochastic dynamical systems with non-Gaussian noises ⋮ Ergodic property of stable-like Markov chains ⋮ Risk premia in option markets ⋮ Radner equilibrium in incomplete Lévy models ⋮ Additive subordination and its applications in finance ⋮ Matricial model for the free multiplicative convolution ⋮ Evaluating callable and putable bonds: an eigenfunction expansion approach ⋮ Modeling international trade data with the Tweedie distribution for anti-fraud and policy support ⋮ Derivation of Fokker-Planck equations for stochastic systems under excitation of multiplicative non-Gaussian white noise ⋮ Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options ⋮ The first passage time problem over a moving boundary for asymptotically stable Lévy processes ⋮ The first passage time of a stable process conditioned to not overshoot ⋮ A distributional equality for suprema of spectrally positive Lévy processes ⋮ Time regularity of generalized Ornstein-Uhlenbeck processes with Lévy noises in Hilbert spaces ⋮ Escape rates for multidimensional shift self-similar additive sequences ⋮ Unimodality of the freely selfdecomposable probability laws ⋮ Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps ⋮ A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates ⋮ Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes ⋮ Heat content for convolution semigroups ⋮ Algebraic ergodicity for SDEs driven by Lévy processes ⋮ Moment convergence of first-passage times in renewal theory ⋮ Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models ⋮ Time-inhomogeneous jump processes and variable order operators ⋮ A note on functional limit theorems for compound Cox processes ⋮ A note on ruin problems in perturbed classical risk models ⋮ Probabilistic representation and local existence for the quasi-linear partial integro-differential equations with Sobolev initial value ⋮ An integral representation of dilatively stable processes with independent increments ⋮ On fractional tempered stable processes and their governing differential equations ⋮ Spectral representation of multivariate regularly varying Lévy and CARMA processes ⋮ Harnack inequality and Hölder regularity estimates for a Lévy process with small jumps of high intensity ⋮ Exponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorization ⋮ Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes ⋮ Properties and numerical evaluation of the Rosenblatt distribution ⋮ Regularity for semigroups of Ornstein-Uhlenbeck processes ⋮ Convolution equivalent Lévy processes and first passage times ⋮ A note on Malliavin fractional smoothness for Lévy processes and approximation ⋮ Fokker-Planck type equations associated with subordinated processes controlled by tempered \(\alpha \)-stable processes ⋮ Limit theorems of continuous-time random walks with tails ⋮ Suprema of Lévy processes ⋮ On the law of the supremum of Lévy processes ⋮ Convergence results for a class of nonlinear fractional heat equations ⋮ Weak drifts of infinitely divisible distributions and their applications ⋮ A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process ⋮ Asymptotic behaviour of first passage time distributions for Lévy processes ⋮ A new family of time-space harmonic polynomials with respect to Lévy processes ⋮ The queue length in an \(M/G/1\) batch arrival retrial queue ⋮ Transient analysis of Lévy-driven tandem queues ⋮ Volatility occupation times ⋮ On the distribution of the Rosenblatt process ⋮ On the self-decomposability of the Fréchet distribution ⋮ Vine constructions of Lévy copulas ⋮ A spectral element framework for option pricing under general exponential Lévy processes ⋮ Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias ⋮ Invariance properties of random vectors and stochastic processes based on the zonoid concept ⋮ Asymptotic stability in the \(p\)th moment for stochastic differential equations with Lévy noise ⋮ Representation of infinite-dimensional forward price models in commodity markets ⋮ A heat kernel approach to interest rate models ⋮ Dirichlet heat kernel for unimodal Lévy processes ⋮ Model verification for Lévy-driven Ornstein-Uhlenbeck processes ⋮ Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes ⋮ Ornstein-Uhlenbeck equations with time-dependent coefficients and Lévy noise in finite and infinite dimensions ⋮ Nested subclasses of the class of \(\alpha\)-selfdecomposable distributions ⋮ Estimates of the Green function for the fractional Laplacian perturbed by gradient ⋮ Resampling approach for cluster model selection ⋮ Intertwining certain fractional derivatives ⋮ Convolution power kernels for density estimation ⋮ Multivariate generalized Ornstein-Uhlenbeck processes ⋮ Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps ⋮ On simulation of tempered stable random variates ⋮ An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case ⋮ Stochastic expansions using continuous dictionaries: Lévy adaptive regression kernels ⋮ Modeling, simulation and inference for multivariate time series of counts using trawl processes ⋮ On simulation and properties of the stable law ⋮ Discussion of ``On simulation and properties of the stable law by L. Devroye and L. James ⋮ Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes ⋮ Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions ⋮ Completely monotonic gamma ratio and infinitely divisible H-function of Fox ⋮ Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility

This page was built for publication: