Works about LEVY processes

Results: 1579

Blow‐Up of Stochastic Semilinear Parabolic Equations Driven by Lévy Noise.

Published in:

Mathematical Methods in the Applied Sciences, 2025, v. 48, n. 12, p. 11915, doi. 10.1002/mma.11003

By:

Mohan, Manil T.;
Pradeep, S.;
Sankar, S.;
Karthikeyan, S.

Publication type:

Article

Tracking individual Bactrocera tryoni: Wind effects and natural movement.

Published in:

Entomologia Experimentalis et Applicata, 2025, v. 173, n. 8, p. 854, doi. 10.1111/eea.13578

By:

Moses, Ethan R.;
Lehman, Meredith G. M.;
Johnson, Adesola J.;
Welty Peachey, Allysen M.;
Yoder, James M.;
De Faveri, Stefano G.;
Cheesman, Jodie;
Manoukis, Nicholas C.;
Siderhurst, Matthew S.

Publication type:

Article

Preface: pattern recognition and mining.

Published in:

2016

By:

Maji, Pradipta;
Pal, Sankar;
Skowron, Andrzej

Publication type:

Editorial

Levy distributed parameter control in differential evolution for numerical optimization.

Published in:

Natural Computing, 2016, v. 15, n. 3, p. 371, doi. 10.1007/s11047-015-9488-3

By:

Jana, Nanda;
Sil, Jaya

Publication type:

Article

Moments of the Ruin Time in a Lévy Risk Model.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 4, p. 3075, doi. 10.1007/s11009-022-09967-w

By:

Strietzel, Philipp Lukas;
Behme, Anita

Publication type:

Article

Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 4, p. 2779, doi. 10.1007/s11009-022-09954-1

By:

Martín-González, Ehyter Matías;
Murillo-Salas, Antonio;
Pantí, Henry

Publication type:

Article

Discrete Tempered Stable Distributions.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 3, p. 1877, doi. 10.1007/s11009-021-09904-3

By:

Grabchak, Michael

Publication type:

Article

Optimal Dividend Strategy Under Parisian Ruin with Affine Penalty.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 3, p. 1385, doi. 10.1007/s11009-021-09865-7

By:

Xu, Ran;
Wang, Wenyuan;
Garrido, Jose

Publication type:

Article

Estimation of Tempered Stable Lévy Models of Infinite Variation.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 713, doi. 10.1007/s11009-022-09940-7

By:

Figueroa-López, José E.;
Gong, Ruoting;
Han, Yuchen

Publication type:

Article

General Draw-Down Times for Refracted Spectrally Negative Lévy Processes.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 875, doi. 10.1007/s11009-022-09933-6

By:

Huang, Xuan;
Zhou, Jieming

Publication type:

Article

Some Expressions of a Generalized Version of the Expected Time in the Red and the Expected Area in Red.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 595, doi. 10.1007/s11009-021-09915-0

By:

Callant, Julien;
Trufin, Julien;
Zuyderhoff, Pierre

Publication type:

Article

A Numerical Method for Hedging Bermudan Options under Model Uncertainty.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 893, doi. 10.1007/s11009-021-09901-6

By:

Imai, Junichi

Publication type:

Article

Asymptotic Behavior of Eigenvalues of Variance-Covariance Matrix of a High-Dimensional Heavy-Tailed Lévy Process.

Published in:

Methodology & Computing in Applied Probability, 2021, v. 23, n. 4, p. 1353, doi. 10.1007/s11009-020-09818-6

By:

Teimouri, Asma;
Tata, Mahbanoo;
Rezapour, Mohsen;
Kulik, Rafal;
Balakrishnan, Narayanaswamy

Publication type:

Article

Parisian Ruin with Erlang Delay and a Lower Bankruptcy Barrier.

Published in:

Methodology & Computing in Applied Probability, 2020, v. 22, n. 1, p. 101, doi. 10.1007/s11009-019-09693-w

By:

Frostig, Esther;
Keren-Pinhasik, Adva

Publication type:

Article

Boundary Crossing Probabilities of Jump Diffusion Processes to Time-Dependent Boundaries.

Published in:

Methodology & Computing in Applied Probability, 2020, v. 22, n. 1, p. 13, doi. 10.1007/s11009-018-9685-5

By:

Wu, Tung-Lung

Publication type:

Article

A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for Asset Prices.

Published in:

Methodology & Computing in Applied Probability, 2019, v. 21, n. 4, p. 1337, doi. 10.1007/s11009-018-9678-4

By:

Hainaut, Donatien;
Deelstra, Griselda

Publication type:

Article

Joint Distribution of First-Passage Time and First-Passage Area of Certain Lévy Processes.

Published in:

Methodology & Computing in Applied Probability, 2019, v. 21, n. 4, p. 1283, doi. 10.1007/s11009-018-9677-5

By:

Abundo, Mario;
Furia, Sara

Publication type:

Article

Calibration for Weak Variance-Alpha-Gamma Processes.

Published in:

Methodology & Computing in Applied Probability, 2019, v. 21, n. 4, p. 1151, doi. 10.1007/s11009-018-9655-y

By:

Buchmann, Boris;
Lu, Kevin W.;
Madan, Dilip B.

Publication type:

Article

First Passage Time of a Lévy Degradation Model with Random Effects.

Published in:

Methodology & Computing in Applied Probability, 2019, v. 21, n. 1, p. 315, doi. 10.1007/s11009-018-9657-9

By:

Balakrishnan, Narayanaswamy;
Qin, Chengwei

Publication type:

Article

Space-Fractional Versions of the Negative Binomial and Polya-Type Processes.

Published in:

Methodology & Computing in Applied Probability, 2018, v. 20, n. 2, p. 463, doi. 10.1007/s11009-017-9561-8

By:

Beghin, L.;
Vellaisamy, P.

Publication type:

Article

Estimation of Lévy Processes via Stochastic Programming and Kalman Filtering.

Published in:

Methodology & Computing in Applied Probability, 2017, v. 19, n. 4, p. 1211, doi. 10.1007/s11009-017-9552-9

By:

Caruana, Mark

Publication type:

Article

Editorial.

Published in:

2017

By:

Koutras, Markos;
Skiadas, Christos

Publication type:

Editorial

Stable CLTs and Rates for Power Variation of α-Stable Lévy Processes.

Published in:

Methodology & Computing in Applied Probability, 2015, v. 17, n. 1, p. 73, doi. 10.1007/s11009-013-9378-z

By:

Gairing, Jan;
Imkeller, Peter

Publication type:

Article

Numerical Computation of First-Passage Times of Increasing Lévy Processes.

Published in:

Methodology & Computing in Applied Probability, 2010, v. 12, n. 4, p. 695, doi. 10.1007/s11009-009-9158-y

By:

Veillette, Mark;
Taqqu, Murad

Publication type:

Article

Performance Analysis with Truncated Heavy-Tailed Distributions.

Published in:

Methodology & Computing in Applied Probability, 2005, v. 7, n. 4, p. 439, doi. 10.1007/s11009-005-5002-1

By:

Asmussen, Søren;
Pihlsgård, Mats

Publication type:

Article

Two-stage control model based on enhanced elephant clan optimization for path planning of unmanned combat aerial vehicle.

Published in:

Journal of Supercomputing, 2024, v. 80, n. 17, p. 24938, doi. 10.1007/s11227-024-06365-6

By:

Qu, Liangdong;
Jia, Yingjuan;
Li, Xiaoqin;
Fan, Jingkun

Publication type:

Article

Option Pricing for Symmetric Lévy Returns with Applications.

Published in:

Asia-Pacific Financial Markets, 2015, v. 22, n. 1, p. 27, doi. 10.1007/s10690-014-9192-9

By:

Hamza, Kais;
Klebaner, Fima;
Landsman, Zinoviy;
Tan, Ying-Oon

Publication type:

Article

A New Type of Barrier Options: Lizard Option.

Published in:

Asia-Pacific Financial Markets, 2015, v. 22, n. 1, p. 75, doi. 10.1007/s10690-014-9193-8

By:

Kawanishi, Yasuhiro

Publication type:

Article

Dimension Reduction for Pricing Options Under Multidimensional Lévy Processes.

Published in:

Asia-Pacific Financial Markets, 2015, v. 22, n. 1, p. 1, doi. 10.1007/s10690-014-9190-y

By:

Imai, Junichi

Publication type:

Article

Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes.

Published in:

Asia-Pacific Financial Markets, 2014, v. 21, n. 1, p. 1, doi. 10.1007/s10690-013-9175-2

By:

Sakuma, Takayuki;
Yamada, Yuji

Publication type:

Article

Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes.

Published in:

Asia-Pacific Financial Markets, 2006, v. 13, n. 4, p. 327, doi. 10.1007/s10690-007-9048-7

By:

Poirot, Jérémy;
Tankov, Peter

Publication type:

Article

Lévy processes driven by stochastic volatility.

Published in:

Asia-Pacific Financial Markets, 2005, v. 12, n. 4, p. 333, doi. 10.1007/s10690-006-9029-2

By:

Chourdakis, Kyriakos

Publication type:

Article

[Geometric Lévy Process & MEMM] Pricing Model and Related Estimation Problems.

Published in:

Asia-Pacific Financial Markets, 2001, v. 8, n. 1, p. 45, doi. 10.1023/A:1011445109763

By:

Miyahara, Yoshio

Publication type:

Article

End-to-End Distance from the Green's Function for a Hierarchical Self-Avoiding Walk in Four Dimensions.

Published in:

Communications in Mathematical Physics, 2003, v. 239, n. 3, p. 523, doi. 10.1007/s00220-003-0885-6

By:

Brydges, David C.;
Imbrie, John Z.

Publication type:

Article

Noncommutative dynamics and generalized master equations.

Published in:

Mathematical Notes, 2010, v. 87, n. 5/6, p. 636, doi. 10.1134/S0001434610050044

By:

Belavkin, V. P.

Publication type:

Article

Reflecting Brownian Motion in the d-Ball.

Published in:

Journal of Mathematical Sciences, 2021, v. 258, n. 6, p. 845, doi. 10.1007/s10958-021-05584-z

By:

Ievlev, P. N.

Publication type:

Article

An Extension of Local Time.

Published in:

Journal of Mathematical Sciences, 2021, v. 258, n. 6, p. 838, doi. 10.1007/s10958-021-05583-0

By:

Ibragimov, I. A.;
Smorodina, N. V.;
Faddeev, M. M.

Publication type:

Article

Programmed Control with Probability 1 for Stochastic Dynamical Systems.

Published in:

Journal of Mathematical Sciences, 2020, v. 248, n. 1, p. 67, doi. 10.1007/s10958-020-04856-4

By:

Karachanskaya, E. V.

Publication type:

Article

Mathematical Modeling of the Mean Concentration Field in Random Stratified Structures with Regard for the Jumps of Sought Function on the Interfaces.

Published in:

Journal of Mathematical Sciences, 2019, v. 240, n. 1, p. 70, doi. 10.1007/s10958-019-04336-4

By:

Chernukha, О. Yu.;
Bilushchak, Yu. I.

Publication type:

Article

Max-Compound Cox Processes. I.

Published in:

Journal of Mathematical Sciences, 2019, v. 237, n. 6, p. 789, doi. 10.1007/s10958-019-04205-0

By:

Korolev, V. Yu.;
Sokolov, I. A.;
Gorshenin, A. K.

Publication type:

Article

On a Lower Asymptotic Bound of the Overflow Probability in a Fluid Queue with a Heterogeneous Fractional Input.

Published in:

Journal of Mathematical Sciences, 2019, v. 237, n. 5, p. 667, doi. 10.1007/s10958-019-04192-2

By:

Khokhlov, Yu. S.;
Lukashenko, O.V.;
Morozov, E. V.

Publication type:

Article

A Note on Functional Limit Theorems for Compound Cox Processes*.

Published in:

Journal of Mathematical Sciences, 2016, v. 218, n. 2, p. 182, doi. 10.1007/s10958-016-3020-x

By:

Korolev, V.;
Chertok, A.;
Korchagin, A.;
Kossova, E.;
Zeifman, A.

Publication type:

Article

Nonprobabilistic Infinitely Divisible Distributions: The Lévy-Khinchin Representation, Limit Theorems.

Published in:

Journal of Mathematical Sciences, 2016, v. 214, n. 4, p. 517, doi. 10.1007/s10958-016-2795-0

By:

Platonova, M.

Publication type:

Article

A Remark on Third Degree Stochastic Dominance.

Published in:

Management Science, 2000, v. 46, n. 6, p. 870, doi. 10.1287/mnsc.46.6.870.11934

By:

Ng, Man-Chung

Publication type:

Article

Extreme Value Analysis for a Markov Additive Process Driven by a Nonirreducible Background Chain.

Published in:

Stochastic Systems, 2022, v. 12, n. 3, p. 293, doi. 10.1287/stsy.2021.0086

By:

van Kreveld, Lucas;
Mandjes, Michel;
Dorsman, Jan-Pieter

Publication type:

Article

Polynomial Jump-Diffusion Models.

Published in:

Stochastic Systems, 2020, v. 10, n. 1, p. 71, doi. 10.1287/stsy.2019.0052

By:

Filipović, Damir;
Larsson, Martin

Publication type:

Article

Exact Asymptotics for a Multitimescale Model with Applications in Modeling Overdispersed Customer Streams.

Published in:

Stochastic Systems, 2019, v. 9, n. 3, p. 208, doi. 10.1287/stsy.2019.0032

By:

Heemskerk, Mariska;
Mandjes, Michel

Publication type:

Article

Power Identities for Lévy Risk Models Under Taxation and Capital Injections.

Published in:

Stochastic Systems, 2014, v. 4, n. 1, p. 157, doi. 10.1287/12-SSY079

By:

Albrecher, Hansjörg;
Ivanovs, Jevgenijs

Publication type:

Article

Two Coupled Lévy Queues with Independent Input.

Published in:

Stochastic Systems, 2013, v. 3, n. 2, p. 574, doi. 10.1287/13-SSY116

By:

Boxma, Onno;
Ivanovs, Jevgenijs

Publication type:

Article

Lévy-driven Polling Systems and Continuous-State Branching Processes.

Published in:

Stochastic Systems, 2011, v. 1, n. 2, p. 411, doi. 10.1287/10-SSY008

By:

Boxma, Onno;
Ivanovs, Jevgenijs;
Kosiński, Kamil;
Mandjes, Michel

Publication type:

Article