Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
From MaRDI portal
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)- Empirical distributions of stock returns: between the stretched exponential and the power law?
- On simulation of tempered stable random variates
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Transient anomalous sub-diffusion on bounded domains
- Modeling and simulation of financial returns under non-Gaussian distributions
- Stochastic calculus for assets with non-Gaussian price fluctuations
- The bounds of heavy-tailed return distributions in evolving complex networks
- Boundary Problems for the Fractional and Tempered Fractional Operators
- Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions
- Exponential ergodicity of stochastic Burgers equations driven by \(\alpha\)-stable processes
- Multifractal Hurst analysis of crude oil prices
- Animal navigation: General properties of directed walks
- Codifference as a practical tool to measure interdependence
- Sample Path Large Deviations for Order Statistics
- Closed-form option pricing for exponential Lévy models: a residue approach
- Third order difference schemes (without using points outside of the domain) for one sided space tempered fractional partial differential equations
- Exponentially damped Lévy flights
- Tempered stable Lévy motion and transient super-diffusion
- On the origins of truncated Lévy flights
- Autocorrelation as a source of truncated Lévy flights in foreign exchange rates
- Random integral representations for free-infinitely divisible and tempered stable distributions
- On fractional Lévy processes: tempering, sample path properties and stochastic integration
- Lévy flights in evolutionary ecology
- The origin of fat-tailed distributions in financial time series
- PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
- Numerical methods for SPDEs with tempered stable processes
- Convolution equivalence and infinite divisibility
- An investigation on continuous time random walk model for bedload transport
- Tempered stable Lévy motion driven by stable subordinator
- Transition density estimates for jump Lévy processes
- Tempered Mittag-Leffler stability of tempered fractional dynamical systems
- Fractal time series -- A tutorial review
- Finite element method for a symmetric tempered fractional diffusion equation
- The correlation dimension of returns with stochastic volatility
- Existence, uniqueness and numerical analysis of solutions of tempered fractional boundary value problems
- Global heat kernel estimates for symmetric jump processes
- Statistical regularities in the return intervals of volatility
- Fractional reproduction-dispersal equations and heavy tail dispersal kernels
- Well-posedness of abstract distributed-order fractional diffusion equations
- HOW DOES THE EURODOLLAR INTEREST RATE BEHAVE?
- Parameter estimation for exponentially tempered power law distributions
- Applications of inverse tempered stable subordinators
- Random matrix models for datasets with fixed time horizons
- A Galerkin finite element method for the modified distributed-order anomalous sub-diffusion equation
- A generalized Fourier transform approach to risk measures
- First exit times for Lévy-driven diffusions with exponentially light jumps
- Trading strategies, feedback control and market dynamics
- A Langevin dynamics approach to the distribution of animal move lengths
- Stochastic processes with power-law stability and a crossover in power-law correlations
- Truncated Lévy walks and an emerging market economic index
- Irreducibility and exponential mixing of some stochastic hydrodynamical systems driven by pure jump noise
- Stock market dynamics
- Accounting for risk of non linear portfolios. A novel Fourier approach
- Animal navigation: the difficulty of moving in a straight line
- Statistical physics and economic fluctuations: do outliers exist?
- Intrinsic ultracontractivity and ground state estimates of non-local Dirichlet forms on unbounded open sets
- Truncated Lévy statistics for dispersive transport in disordered semiconductors
- Barrier options and touch-and-out options under regular Lévy processes of exponential type
- Effects of the tempered aging and the corresponding Fokker-Planck equation
- FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
- Tempered Fractional Sturm--Liouville EigenProblems
- Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
- Tempering stable processes
- Tempered fractional calculus
- Exact stationary and non-stationary solutions to inelastic Maxwell model with infinite energy
- Multivariate elliptical truncated moments
- Fronts in anomalous diffusion-reaction systems
- Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets
- Similarities and differences between physics and economics
- On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes
- A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES
- High order schemes for the tempered fractional diffusion equations
- Subdiffusion and ergodicity breaking in heterogeneous environments subject to Lévy noise
- Trading volume in models of financial derivatives
- Heat kernels for reflected diffusions with jumps on inner uniform domains
- Moments for tempered fractional advection-diffusion equations
- Economic fluctuations and statistical physics: the puzzle of large fluctuations
- A reduced-order extrapolated finite difference iterative method for the Riemann-Liouville tempered fractional derivative equation
- Lévy flight approximations for scaled transformations of random walks
- A stochastic-statistical residential burglary model with finite size effects
- Generalized entropy approach to stable Lévy distributions with financial application
- On the approximate controllability for fractional evolution hemivariational inequalities
- International finance, Lévy distributions, and the econophysics of exchange rates
- Superstatistics with cut-off tails for financial time series
- Lévy flights in confining environments: random paths and their statistics
- Front dynamics in a two-species competition model driven by Lévy flights
- High-order numerical approximation formulas for Riemann-Liouville (Riesz) tempered fractional derivatives: construction and application (I)
- A fully discrete local discontinuous Galerkin method with the generalized numerical flux to solve the tempered fractional reaction-diffusion equation
- Bypassing the truncation problem of truncated Lévy flights
- Symmetry/anti-symmetry phase transitions in crude oil markets
- Numerical approximations for the tempered fractional Laplacian: error analysis and applications
- Should I stay or should I go? Zero-size jumps in random walks for Lévy flights
- Anisotropic nonlocal diffusion operators for normal and anomalous dynamics
- New methods of simulating Lévy processes
- Phenomenology of the term structure of interest rates with Padé approximants
- Spatial asymptotics at infinity for heat kernels of integro-differential operators
- Stochastic pursuit-evasion curves for foraging dynamics
- First passage time moments of asymmetric Lévy flights
- Stickiness in the order parameter time-series as a signature of criticality
- Generalized Langevin equation with tempered memory kernel
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)