Lévy Processes and Stochastic Calculus
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Dirichlet formsfinancial mathematicsMarkov processessemimartingalesstochastic differential equationsstochastic flowstochastic integral
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Martingales with continuous parameter (60G44) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random measures (60G57) Stochastic analysis (60Hxx)
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(only showing first 100 items - show all)- Nonlinear stochastic integrals for hyperfinite Lévy processes
- The Feynman graph representation of convolution semigroups and its applications to Lévy statistics
- GARCH modelling in continuous time for irregularly spaced time series data
- Analytical valuation of catastrophe equity options with negative exponential jumps
- A stochastic heat equation with the distributions of Lévy processes as its invariant measures
- Moment decay rates of infinite dimensional stochastic evolution equations with memory and Markovian jumps
- Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noise
- First exit times for Lévy-driven diffusions with exponentially light jumps
- First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
- Stochastic integration for Lévy processes with values in Banach spaces
- Lévy-frailty copulas
- Scaling limits for symmetric Itô-Lévy processes in random medium
- On integrals with respect to Lévy processes.
- Approximation for portfolio optimization in a financial market with shot-noise jumps
- Volatility smile as relativistic effect
- Stability analysis of stochastic delay differential equations with Lévy noise
- Large-time asymptotics of a fractional drift-diffusion-Poisson system via the entropy method
- Existence, uniqueness and almost surely asymptotic estimations of the solutions to neutral stochastic functional differential equations driven by pure jumps
- Global well-posedness of a class of stochastic equations with jumps
- Perturbation by non-local operators
- Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
- Controllability of nonlinear stochastic fractional neutral systems with multiple time varying delays in control
- Strong solutions of stochastic models for viscoelastic flows of Oldroyd type
- Differential equations driven by rough paths with jumps
- Large deviations for locally monotone stochastic partial differential equations driven by Lévy noise
- Weak convergence of the complex fractional Brownian motion
- A common value experimentation with multiarmed bandits
- Tempered stable process, first passage time, and path-dependent option pricing
- Portfolio strategy of financial market with regime switching driven by geometric Lévy process
- Stochastic flows for Lévy processes with Hölder drifts
- Time-splitting methods to solve the Hall-MHD systems with Lévy noises
- Analysis and approximation of a fractional Laplacian-based closure model for turbulent flows and its connection to Richardson pair dispersion
- Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation
- First passage time of a Lévy degradation model with random effects
- Periodic averaging method for impulsive stochastic differential equations with Lévy noise
- On densities of the product, quotient and power of independent subordinators
- Belavkin filter for mixture of quadrature and photon counting process with some control techniques
- Existence and uniqueness of weak solutions for nonlocal parabolic problems via the Galerkin method
- Uniform dimension results for a family of Markov processes
- A Fokker-Planck control framework for stochastic systems
- Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation
- Forward rate models with linear volatilities
- Analytical representations for the basic affine jump diffusion
- Well-posedness and large deviations for a class of SPDEs with Lévy noise
- \(L^{1}\) semigroup generation for Fokker-Planck operators associated to general Lévy driven sdes
- Extension of Mikhlin multiplier theorem to fractional derivatives and stable processes
- Stochastic bounds for Lévy processes.
- A mispricing model of stocks under asymmetric information
- The foundational inequalities of D. L. Burkholder and some of their ramifications
- Stochastic functional differential equations driven by Lévy processes and quasi-linear partial integro-differential equations
- Dimension dependent hypercontractivity for Gaussian kernels
- Harnack inequality and regularity for a product of symmetric stable process and Brownian motion
- Invariant measures and a stability theorem for locally Lipschitz stochastic delay equations
- On Wiener-Poisson type multivalued stochastic differential equations with non-Lipschitz coefficients
- Well-posedness of fully nonlinear and nonlocal critical parabolic equations
- Lognormal \(\star\)-scale invariant random measures
- Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
- Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
- Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints
- Method of calculating densities for isotropic ballistic Lévy walks
- Generalized local and nonlocal master equations for some stochastic processes
- A stable Langevin model with diffusive-reflective boundary conditions
- On the long-range dependence of mixed fractional Poisson process
- Littlewood-Paley-Stein estimates for non-local Dirichlet forms
- Poisson integral type quarantine in a stochastic SIR system
- Mixed fractional risk process
- Derivation of a fractional cross-diffusion system as the limit of a stochastic many-particle system driven by Lévy noise
- Large deviation principle for stochastic convective Brinkman-Forchheimer equations perturbed by pure jump noise
- Default probability of American lookback option in a mixed jump-diffusion model
- On the KPZ equation with fractional diffusion: global regularity and existence results
- Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump
- Existence and exponential behavior for the stochastic 2D Cahn-Hilliard-Oldroyd model of order one
- Least squares estimation for the linear self-repelling diffusion driven by \(\alpha \)-stable motions
- Strong solution to stochastic 2D nonlocal Cahn-Hilliard-Oldroyd model of order one: existence and uniqueness
- Lévy processes on smooth manifolds with a connection
- Boundedness analysis of stochastic delay differential equations with Lévy noise
- Neural network-based parameter estimation of stochastic differential equations driven by Lévy noise
- A priori bounds and existence of positive solutions for fractional Kirchhoff equations
- A positivity-preserving numerical algorithm for stochastic age-dependent population system with Lévy noise in a polluted environment
- Estimation of entropy and extropy based on right censored data: a Bayesian non-parametric approach
- Stability analysis of hybrid stochastic delayed Cohen-Grossberg neural networks with Lévy noise and Markov switching
- Scalar conservation laws with white noise initial data
- Dynamics of a stochastic cholera epidemic model with Lévy process
- The stability with general decay rate of hybrid stochastic fractional differential equations driven by Lévy noise with impulsive effects
- Unbiased parameter inference for a class of partially observed Lévy-process models
- Estimation of tempered stable Lévy models of infinite variation
- Well-posedness and asymptotic behavior of stochastic convective Brinkman-Forchheimer equations perturbed by pure jump noise
- Controllability of nonlinear stochastic fractional higher order dynamical systems
- Existence of a density of the 2-dimensional stochastic Navier Stokes equation driven by Lévy processes or fractional Brownian motion
- Weak symmetries of stochastic differential equations driven by semimartingales with jumps
- A descriptive definition of the backwards Itô-Henstock integral
- Double Lusin condition and convergence theorems for the backwards Itô-Henstock integral
- Estimation of state-dependent jump activity and drift for Markovian semimartingales
- Option pricing in illiquid markets: a fractional jump-diffusion approach
- Quantifying model uncertainty in dynamical systems driven by non-Gaussian Lévy stable noise with observations on mean exit time or escape probability
- The stability with general decay rate of neutral stochastic functional hybrid differential equations with Lévy noise
- Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review
- Exponential synchronization of delayed neutral-type neural networks with Lévy noise under non-Lipschitz condition
- Two frameworks for pricing defaultable derivatives
- Sign-changing and constant-sign solutions for elliptic problems involving nonlocal integro-differential operators
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