Found 61 Documents (Results 1–61)
Lévy measures of infinitely divisible positive processes: examples and distributional identities. (English) Zbl 1534.60019
Adamczak, Radosław (ed.) et al., High dimensional probability IX. The ethereal volume. Selected papers based on the presentations at the 9th conference, virtual, June 15–19, 2020. Cham: Springer. Prog. Probab. 80, 297-324 (2023).
Reviewer: Yuliya S. Mishura (Kyïv)
Financial activity time. (English) Zbl 1530.91552
Selfsimilar free additive processes and freely selfdecomposable distributions. (English) Zbl 1529.46048
Additive normal tempered stable processes for equity derivatives and power-law scaling. (English) Zbl 1490.91206
Additive logistic processes in option pricing. (English) Zbl 1475.91352
Reviewer: George Stoica (Saint John)
Self-similarity in long-horizon returns. (English) Zbl 1508.91583
MSC:
91G30
Conic asset pricing and the costs of price fluctuations. (English) Zbl 1410.91500
MSC:
91G99
91B25
Multivariate option pricing models with Lévy and Sato VG marginal processes. (English) Zbl 1395.91444
The Hausdorff dimension of multivariate operator-self-similar Gaussian random fields. (English) Zbl 1380.60052
An integral representation of dilatively stable processes with independent increments. (English) Zbl 1353.60049
Escape rates for multidimensional shift self-similar additive sequences. (English) Zbl 1354.60040
Reviewer: B. L. S. Prakasa Rao (Hyderabad)
Risk premia in option markets. (English) Zbl 1398.91607
Representation of stationary and stationary increment processes via Langevin equation and self-similar processes. (English) Zbl 1343.60040
Option overlay strategies. (English) Zbl 1398.91537
Classes of infinitely divisible distributions and examples. (English) Zbl 1336.60025
Andersen, Lars Nørvang et al., Lévy matters V. Functionals of Lévy processes. Cham: Springer (ISBN 978-3-319-23137-2/pbk; 978-3-319-23138-9/ebook). Lecture Notes in Mathematics 2149. Lévy Matters, 1-65 (2015).
Two processes for two prices. (English) Zbl 1295.91092
Reviewer: Weiping Li (Stillwater)
MSC:
91G20
IDT processes and associated Lévy processes with explicit constructions. (English) Zbl 1326.60065
Reviewer: Bernhard Burgstaller (Florianópolis)
Convergence in law to operator fractional Brownian motion of Riemann-Liouville type. (English) Zbl 1263.60034
Exponents, symmetry groups and classification of operator fractional Brownian motions. (English) Zbl 1259.60041
Reviewer: Werner Linde (Jena)
\(\alpha \)-selfdecomposable distributions and related Ornstein-Uhlenbeck type processes. (English) Zbl 1203.60021
Sato processes and the valuation of structured products. (English) Zbl 1171.91327
Quant. Finance 9, No. 1, 27-42 (2009); corrections ibid. 9, No. 4, 491-494 (2009).
MSC:
91B24
Exact Hausdorff measure on the boundary of a Galton-Watson tree. (English) Zbl 1127.60083
Reviewer: René L. Schilling (Dresden)
Operator self-similar processes on Banach spaces. (English) Zbl 1116.60014
Reviewer: Elisaveta Pancheva (Sofia)
MSC:
60G18
Infinite divisibility for stochastic processes and time change. (English) Zbl 1111.60028
Reviewer: Victoria Knopova (Kiev)
Operator semi-self-similar processes and their space-scaling matrices. (English) Zbl 1094.60028
Reviewer: George Stoica (Saint John)
MSC:
60G18
Some results about the sample path properties of Markov processes with independent self-similar components. (English) Zbl 1087.60036
Infinitely divisible Wald’s couples. Examples linked with the Euler gamma and the Riemann zeta functions. (Couples de Wald indéfiniment divisibles. Exemples liés à la fonction gamma d’Euler et à la fonction zeta de Riemann.) (French) Zbl 1083.60012
Reviewer: Wilfried Hazod (Dortmund)
Random integral representation of operator-semi-self-similar processes with independent increments. (English) Zbl 1075.60029
Random sums of independent random vectors attracted by (semi)-stable hemigroups. (English) Zbl 1109.60014
Self-similar processes with independent increments associated with Lévy and Bessel processes. (English) Zbl 1059.60052
Reviewer: Ivan Saxl (Praha)
On certain self-decomposable self-similar processes with independent increments. (English) Zbl 1014.60043
On recurrence for self-similar additive processes. (English) Zbl 0971.60043
Reviewer: Yimin Xiao (East Lansing)
Distributions of selfsimilar and semi-selfsimilar processes with independent increments. (English) Zbl 0955.60038
Reviewer: Uwe Franz (Greifswald)
Processes of Meixner type. (English) Zbl 0959.60034
Lith. Math. J. 39, No. 1, 33-41 (1999) and Liet. Mat. Rink. 39, No. 1, 40-51 (1999).
Reviewer: René L.Schilling (Brighton)
Limit theorems for hitting times of 1-dimensional generalized diffusions. (English) Zbl 0943.60078
Reviewer: U.Rösler (Kiel)
Self-similar extremal processes. (English) Zbl 0926.60045
Reviewer: J.Galambos (Philadelphia)
Limit theorems related to a class of operator-self-similar processes. (English) Zbl 0865.60033
Reviewer: M.Maejima (Yokohama)
Sample function behavior of increasing processes of class \(L\). (English) Zbl 0849.60036
Reviewer: B.L.S.Prakasa Rao (New Delhi)
Operator-self-similar stable processes. (English) Zbl 0814.60032
Reviewer: Z.Jurek (Wrocław)
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