205 results on '"lévy processes"'
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2. Fast Calculation of Integral Convolution Operators in Problems of Evaluating Options in Lévy’s Models
3. Regular Subspaces of Symmetric Stable Processes
4. Product formulas for multiple stochastic integrals associated with Lévy processes
5. Explosion Rates for Continuous-State Branching Processes in a Lévy Environment
6. Discretization of Fractional Fully Nonlinear Equations by Powers of Discrete Laplacians
7. On partially observed jump diffusions III: regularity of the filtering density
8. A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
9. On partially observed jump diffusions II: the filtering density
10. Pricing multi-asset options with tempered stable distributions
11. Nonlinear Fokker–Planck equations with fractional Laplacian and McKean–Vlasov SDEs with Lévy noise
12. Occam’s razor, machine learning and stochastic modeling of complex systems: the case of the Italian energy market
13. On Lp- Theory for Integro-Differential Operators with Spatially Dependent Coefficients
14. A Sobolev Space Theory for Time-Fractional Stochastic Partial Differential Equations Driven by Lévy Processes
15. Stochastic evolution equations with Lévy noise in the dual of a nuclear space
16. The Cutoff Phenomenon in Wasserstein Distance for Nonlinear Stable Langevin Systems with Small Lévy Noise
17. A simplified Wiener–Hopf factorization method for pricing double barrier options under Lévy processes
18. Generalized Backward Doubly Stochastic Differential Equations Driven by Lévy Processes with Discontinuous and Linear Growth Coefficients
19. Functional Inequalities for Some Generalised Mehler Semigroups
20. The cutoff phenomenon for the stochastic heat and wave equation subject to small Lévy noise
21. Lévy Langevin Monte Carlo
22. Optimal Investment and Risk Control Strategies for an Insurer Subject to a Stochastic Economic Factor in a Lévy Market
23. Amalgamated Free Lévy Processes as Limits of Sample Covariance Matrices
24. General Self-Similarity Properties for Markov Processes and Exponential Functionals of Lévy Processes
25. A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
26. Some Expressions of a Generalized Version of the Expected Time in the Red and the Expected Area in Red
27. Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians
28. Gradient formula for transition semigroup corresponding to stochastic equation driven by a system of independent Lévy processes
29. Deep learning schemes for parabolic nonlocal integro-differential equations
30. A Mean-Field Optimal Control for Fully Coupled Forward-Backward Stochastic Control Systems with Lévy Processes
31. On Itô formulas for jump processes
32. On the Cauchy problem for stochastic integro-differential equations with radially O-regularly varying Lévy measure
33. Lewis Model Revisited: Option Pricing with Lévy Processes
34. Refinements of Barndorff-Nielsen and Shephard Model: An Analysis of Crude Oil Price with Machine Learning
35. FFT-network for bivariate Lévy option pricing
36. Spectral risk measure of holding stocks in the long run
37. Deep Factorisation of the Stable Process III: the View from Radial Excursion Theory and the Point of Closest Reach
38. Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues
39. On the Cauchy Problem for Nondegenerate Parabolic Integro-Differential Equations in the Scale of Generalized Hölder Spaces
40. Optimality of Hybrid Continuous and Periodic Barrier Strategies in the Dual Model
41. A minimal contrast estimator for the linear fractional stable motion
42. Lévy Processes and Infinitely Divisible Measures in the Dual of a Nuclear Space
43. Bridges with Random Length: Gamma Case
44. On the Boundary Theory of Subordinate Killed Lévy Processes
45. Stable Lévy Motion with Values in the Skorokhod Space: Construction and Approximation
46. A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization
47. On a Family of Critical Growth-Fragmentation Semigroups and Refracted Lévy Processes
48. Approximation of Supremum of Max-Stable Stationary Processes & Pickands Constants
49. Limit theorems of SDEs driven by Lévy processes and application to nonlinear filtering problems
50. On Fractional Lévy Processes: Tempering, Sample Path Properties and Stochastic Integration
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