Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
From MaRDI portal
(Redirected from Publication:4492201)
Cites work
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 3794378 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- scientific article; zbMATH DE number 3090543 (Why is no real title available?)
- On some expansions of stable distribution functions
- Stable distribution and Lévy process in fractal turbulence.
Cited in
(only showing first 100 items - show all)- First exit times for Lévy-driven diffusions with exponentially light jumps
- Lévy flight approximations for scaled transformations of random walks
- Econophysics: Scaling and its breakdown in finance
- Exponentially damped Lévy flights
- On the origins of truncated Lévy flights
- Zipf-Mandelbrot scaling law for world track records
- The origin of fat-tailed distributions in financial time series
- Characteristic time scales in the American dollar-Mexican peso exchange currency market
- Stochastic calculus for assets with non-Gaussian price fluctuations
- Stock market dynamics
- Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions
- Application of computational statistical physics to scale invariance and universality in economic phenomena
- Understanding the determinants of volatility clustering in terms of stationary Markovian processes
- Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
- Generalized Langevin equation with tempered memory kernel
- New methods of simulating Lévy processes
- Tempered stable Lévy motion driven by stable subordinator
- Lévy flights in confining environments: random paths and their statistics
- Beyond monofractional kinetics
- Intrinsic ultracontractivity and ground state estimates of non-local Dirichlet forms on unbounded open sets
- International finance, Lévy distributions, and the econophysics of exchange rates
- Codifference as a practical tool to measure interdependence
- Front dynamics in a two-species competition model driven by Lévy flights
- Stochastic processes with power-law stability and a crossover in power-law correlations
- Technical trading can induce long-run memory in financial markets
- Generalized entropy approach to stable Lévy distributions with financial application
- Statistical physics and economic fluctuations: do outliers exist?
- Symmetry/anti-symmetry phase transitions in crude oil markets
- Barrier options and touch-and-out options under regular Lévy processes of exponential type
- Autocorrelation as a source of truncated Lévy flights in foreign exchange rates
- Trading strategies, feedback control and market dynamics
- Tempered relaxation with clustering patterns
- Numerical aspects of shot noise representation of infinitely divisible laws and related processes
- Finite element method for a symmetric tempered fractional diffusion equation
- Exponential ergodicity of stochastic Burgers equations driven by \(\alpha\)-stable processes
- Should I stay or should I go? Zero-size jumps in random walks for Lévy flights
- On high-order schemes for tempered fractional partial differential equations
- A fully discrete local discontinuous Galerkin method with the generalized numerical flux to solve the tempered fractional reaction-diffusion equation
- Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis
- Combination of transition probability distribution and stable Lorentz distribution in stock markets
- Tempered positive Linnik processes and their representations
- Stochastic pursuit-evasion curves for foraging dynamics
- Stickiness in the order parameter time-series as a signature of criticality
- Bypassing the truncation problem of truncated Lévy flights
- Subdiffusion and ergodicity breaking in heterogeneous environments subject to Lévy noise
- Superstatistics with cut-off tails for financial time series
- Lévy and Gauss statistics in the preparation of an earthquake
- Tempered fractional order compartment models and applications in biology
- An investigation on continuous time random walk model for bedload transport
- Crossover dynamics from superdiffusion to subdiffusion: models and solutions
- A reduced-order extrapolated finite difference iterative method for the Riemann-Liouville tempered fractional derivative equation
- Monitoring Lévy-process crossovers
- Using the Lévy sections to reduce risks in the buying strategies and asset sales that value in time
- Existence, uniqueness and numerical analysis of solutions of tempered fractional boundary value problems
- A Galerkin finite element method for the modified distributed-order anomalous sub-diffusion equation
- On fractional Lévy processes: tempering, sample path properties and stochastic integration
- High-order numerical approximation formulas for Riemann-Liouville (Riesz) tempered fractional derivatives: construction and application (I)
- Numerical approximations for the tempered fractional Laplacian: error analysis and applications
- Multivariate elliptical truncated moments
- Fractional reproduction-dispersal equations and heavy tail dispersal kernels
- Economic fluctuations and statistical physics: the puzzle of large fluctuations
- Animal navigation: the difficulty of moving in a straight line
- Network clustering coefficient approach to DNA sequence analysis
- On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes
- Two-dimensional Gegenbauer wavelets for the numerical solution of tempered fractional model of the nonlinear Klein-Gordon equation
- Return-to-home model for short-range human travel
- Stochastic Optimal Foraging Theory
- Detecting market crashes by analysing long-memory effects using high-frequency data
- Parameter estimation for exponentially tempered power law distributions
- Solving fractional Schrödinger-type spectral problems: Cauchy oscillator and Cauchy well
- High order schemes for the tempered fractional diffusion equations
- Fronts in anomalous diffusion-reaction systems
- HOW DOES THE EURODOLLAR INTEREST RATE BEHAVE?
- Global heat kernel estimates for symmetric jump processes
- Effects of the tempered aging and the corresponding Fokker-Planck equation
- A generalized Fourier transform approach to risk measures
- Empirical distributions of stock returns: between the stretched exponential and the power law?
- Third order difference schemes (without using points outside of the domain) for one sided space tempered fractional partial differential equations
- Tempered fractional calculus
- LÉVY-STABLE PRODUCTIVITY SHOCKS
- FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
- Non-Gaussian statistics of oil pricing time-series: a case study
- Levy models and long correlations applied to the study of exchange traded funds
- Well-posedness of abstract distributed-order fractional diffusion equations
- Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets
- ECONOPHYSICS: WHAT CAN PHYSICISTS CONTRIBUTE TO ECONOMICS?
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Trading volume in models of financial derivatives
- Lévy flights in evolutionary ecology
- Analytic solution to space-fractional Fokker-Planck equations for tempered-stable Lévy distributions with spatially linear, time-dependent drift
- Reaction spreading in systems with anomalous diffusion
- Models of asset returns: changes of pattern from high to low event frequency
- Crime modeling with truncated Lévy flights for residential burglary models
- Spatial asymptotics at infinity for heat kernels of integro-differential operators
- Boundary Problems for the Fractional and Tempered Fractional Operators
- Deterministic implied volatility models
- The correlation dimension of returns with stochastic volatility
- PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
- Multidimensional mutations in evolutionary algorithms based on real-valued representation
- AN EMPIRICAL STUDY ON THE STATISTICAL PROPERTIES OF ROMANIAN EMERGING STOCK MARKET RASDAQ
This page was built for publication: Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4492201)