scientific article; zbMATH DE number 3947305
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- On a generalization of stable distributions
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- Lévy, Ornstein-Uhlenbeck, and subordination: spectral vs. jump description
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- Multiplicative strong unimodality for positive stable laws
- On the Laplace transform of the Fréchet distribution
- Recurrence and transience property for a class of Markov chains
- Asymptotic estimates of multi-dimensional stable densities and their applications
- Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
- Pricing CDO tranches in an intensity based model with the mean reversion approach
- Central limit theorem for a class of one-dimensional kinetic equations
- Exponentially small expansions of the Wright function on the Stokes lines
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- Recurrence and transience criteria for two cases of stable-like Markov chains
- On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws
- Lévy processes with two-sided reflection
- Relaxation dynamics of the fastest channel in multichannel parallel relaxation mechanism
- Asymptotic distributions of continuous-time random walks: A probabilistic approach
- Simulation of the continuous time random walk of the space-fractional diffusion equations
- Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
- Infinite divisibility of random variables and their integer parts
- Accurate and efficient numerical calculation of stable densities via optimized quadrature and asymptotics
- Fractional stochastic active scalar equations generalizing the multi-dimensional quasi-geostrophic \& 2D-Navier-Stokes equations: the general case
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- Estimates of tempered stable densities
- New properties and representations for members of the power-variance family. II
- Fractional moments of solutions to stochastic recurrence equations
- On convergence of random walks generated by compound Cox processes to Lévy processes
- Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives
- Probabilistic study of the speed of approach to equilibrium for an inelastic Kac model
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- New properties and representations for members of the power-variance family. I
- Portfolio selection problems consistent with given preference orderings
- The law of large numbers in a metric space with a convex combination operation
- The wrapped stable family of distributions as a flexible model for circular data
- Ruin probabilities and overshoots for general Lévy insurance risk processes
- A GARCH option pricing model with \(\alpha\)-stable innovations
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- From Sturm-Liouville problems to fractional and anomalous diffusions
- Asymptotic analysis of average case approximation complexity of Hilbert space valued random elements
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- A simple robust estimation method for the thickness of heavy tails
- Heavy-tailedness and threshold sex determination
- Stochastic expansions using continuous dictionaries: Lévy adaptive regression kernels
- On simulation and properties of the stable law
- Volatility estimators for discretely sampled Lévy processes
- Approximation of Lévy-Feller diffusion by random walk
- Classical scale mixtures of Boolean stable laws
- Multivariate stable densities as functions of one dimensional projections
- Estimating the degree of activity of jumps in high frequency data
- Estimating a Stability Parameter: Asymptotics and Simulations
- Fractional moment estimation of Linnik and Mittag-Leffler parameters
- Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
- Asymptotic and structural properties of special cases of the Wright function arising in probability theory
- Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
- Some probability densities and fundamental solutions of fractional evolution equations
- Conditioned stable Lévy processes and the Lamperti representation
- Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows
- Maximum likelihood estimation of stable Paretian models.
- Nonparametric inference for discretely sampled Lévy processes
- Fractional motions
- Moving-maximum models for extrema of time series
- Convolution-type derivatives, hitting-times of subordinators and time-changed \(C_0\)-semigroups
- The fractional Fick's law for non-local transport processes
- A triptych of discrete distributions related to the stable law
- Fractional absolute moments of heavy tailed distributions
- The first passage time of a stable process conditioned to not overshoot
- Modeling fat tails in stock returns: a multivariate stable-GARCH approach
- Asymptotic properties of Brownian motion delayed by inverse subordinators
- Atypical case of the dielectric relaxation responses and its fractional kinetic equation
- Parameter estimation for fractional Poisson processes
- Uniqueness of translation-covariant zero-temperature metastate in disordered Ising ferromagnets
- Estimation of the parameters of fractional-stable laws by the method of minimum distance
- Persistence probabilities and exponents
- Fractional diffusion equations and processes with randomly varying time
- Analytic expressions for predictive distributions in mixture autoregressive models
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
- Asymptotic behaviour of first passage time distributions for Lévy processes
- Ergodic property of stable-like Markov chains
- Mellin convolution for subordinated stable processes
- Estimation of stable spectral measures
- Indirect Estimation of α-Stable Distributions and Processes
- Monte Carlo inference in econometric models with symmetric stable disturbances
- Local limit theorems for sums of independent random vectors
- Generalized Fokker-Planck equation: derivation and exact solutions
- Modeling chinese stock returns with stable distribution
- Calculation of multidimensional stable densities
- Tail behavior of random products and stochastic exponentials
- Conformal accelerations method and efficient evaluation of stable distributions
- Infinitely divisible Wald's couples. Examples linked with the Euler gamma and the Riemann zeta functions.
- Generalized negative binomial distributions as mixed geometric laws and related limit theorems
- Monte Carlo EM estimation for multivariate stable distributions
- A functional LIL for \(d\)-dimensional stable processes; invariance for Lévy- and other weakly convergent processes
- On the future infimum of positive self-similar Markov processes
- Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses?
- Sub-exponential tail bounds for conditioned stable Bienaymé-Galton-Watson trees
- Convergence results for compound Poisson distributions and applications to the standard Luria–Delbrück distribution
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