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搜索结果: 1-15 共查到Levy processes.相关记录29条 . 查询时间(0.076 秒)
Exponential Levy processes can be used to model the evolution of various nancial variables such as FX rates, stock prices, etc. Considerable e orts have been devoted to pricing derivatives written o...
This paper constructs a class of martingale transforms based on L\'evy processes on Lie groups. From these, a natural class of bounded linear operators on the $L^p$-spaces of the group (with respect t...
In this paper the robust utility maximization problem for a market model based on Levy processes is analyzed. The interplay between the formof the utility function and the penalization function requir...
Abstract: Let $X$ be a real valued L\'evy process that is in the domain of attraction of a stable law without centering with norming function $c.$ As an analogue of the random walk results in \cite{vw...
Abstract: In this paper, we study the existence of the density associated to the exponential functional of the L\'evy process $\xi$, \[ I_{\ee_q}:=\int_0^{\ee_q} e^{\xi_s} \, \mathrm{d}s, \] where $\e...
The drawdown process $Y=\bar{X} - X$ of a completely asymmetric L\'{e}vy process $X$ is given by $X$ reflected at its running supremum $\bar{X}$.In this paper we explicitly express the law of the sext...
Various characterizations for fractional L´evy process to be of finite variation are obtained, one of which is in terms of the characteristic triplet of the driving L´evy process, while ot...
We study the distribution and various properties of exponential functionals of hypergeometric L´evy processes. We derive an explicit formula for the Mellin transform of the exponential function...
We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Levy processes with rational Laplace exponent. This extends recent results by Cai and Kou o...
This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the ...
We study the relationship between the distribution of the supremum functional M, = sup,,,,,(X(t)-fit) for a process X with stationary, but not necessarily independent increments, and the I limiting...
In this paper, we firstly study the Besov regularity of the local time of symmetric stable processes and of its fractional derivative. Secondly, we establish Limit theorems for occupation times of ...
The main theme of Urbanik's work was infinite divisibility and its r d c a t i o n s . The aim of this memorial article is to trace the application of this theme in mathematical fmanoe, one of the m...
We review infinite divisibility and LBvy processes in Banach spaces and discuss the relationship with notions of type and i cotype. The LBvy-It6 decomposition is described. Strong, weak and Pettis-s...
The improper stochastic integral $Z=int_0^{infty-}exp(-X_{s-})dY_s$ is studied, where ${ (X_t ,Y_t) , t ges 0 }$ is a L'evy process on $R ^{1+d}$ with ${X_t }$ and ${Y_t }$ being $R$-valued and $R ^d$...

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