[PDF][PDF] Lévy processes, subordinators and crime modeling
T Levajkovic, H Mena, M Zarfl - Novi Sad J. Math, 2016 - sites.dmi.uns.ac.rs
… models, are used to approximate one dimensional diffusions, … focus on Lévy flights, stable
pure jump Lévy processes, which … stationary increments are distributed according to a Lévy …
pure jump Lévy processes, which … stationary increments are distributed according to a Lévy …
Approximate Maximum Likelihood Estimates for Stock and Index Returns with Stochastic Volatility, Stochastic Jump Intensity, and Infinite-Activity Jumps
D Wilson - European Journal of Risk Regulation, 2017 - papers.ssrn.com
… We also find that failure of the Feller condition can usually be … process, which does not
have independent increments. Hence, the time changed pure jump Lévy process is not Markov …
have independent increments. Hence, the time changed pure jump Lévy process is not Markov …
On infinitely divisible semimartingales
A Basse-O'Connor, J Rosiński - Probability Theory and Related Fields, 2016 - Springer
… increment infinitely divisible processes; this class includes many infinitely divisible processes
of interest, including linear fractional processes, … processes driven by Lévy processes. …
of interest, including linear fractional processes, … processes driven by Lévy processes. …
Branching Processes--A General Concept
A Greven, T Rippl, PK Glöde - arXiv preprint arXiv:1807.01921, 2018 - arxiv.org
… for processes whose marginal distributions have Lévy -… diffusion We consider the U-valued
Feller diffusion (Ut)t≥0 the process … Recall that in the approximating individual based model …
Feller diffusion (Ut)t≥0 the process … Recall that in the approximating individual based model …
First passage upwards for state-dependent-killed spectrally negative Lévy processes
M Vidmar - Journal of Applied Probability, 2019 - cambridge.org
… nonmonotone paths that has stationary independent increments and, under P0, almost …
Feller processes (see especially [3, Theorem 4.2]), and to [13] in the context of Lévy processes (…
Feller processes (see especially [3, Theorem 4.2]), and to [13] in the context of Lévy processes (…
Stochastic processes and disordered systems: around Brownian motion
M Delorme - 2016 - theses.hal.science
… process; stochastic differential equations, Markov chain, … This gives, in most cases, different
distributions for Levy’s … on the objective: exact or approximated, with a fixed total length or not…
distributions for Levy’s … on the objective: exact or approximated, with a fixed total length or not…
[PDF][PDF] Semistable Lévy Processes and Log-Periodically Disturbed Fractional Calculus
S Lage - docserv.uni-duesseldorf.de
… possibility to numerically approximate semistable densities. … 3, we finally introduce Feller
semigroups and their generators… if A(0) = 0 almost surely, the increments are independent and …
semigroups and their generators… if A(0) = 0 almost surely, the increments are independent and …
[PDF][PDF] Weak convergence and the general theory of processes
D Aldous - 2022 - escholarship.org
… the practical motivation, consider the prototype weak convergence result : approximating …
processes with independent increments are sus of Erownian motion and Poisson processes, it …
processes with independent increments are sus of Erownian motion and Poisson processes, it …
Lévy Processes in Lie Groups
M Liao, M Liao - Invariant Markov Processes Under Lie Group Actions, 2018 - Springer
… process with independent and stationary increments \(g_s^{-1}g_t\) for s ≤ t. Equivalently,
a Lévy process … The transition semigroup P t of g t is a left invariant and conservative Feller …
a Lévy process … The transition semigroup P t of g t is a left invariant and conservative Feller …
Decomposition of Markov Processes
M Liao, M Liao - Invariant Markov Processes Under Lie Group Actions, 2018 - Springer
… theory of inhomogeneous Lévy processes in the homogeneous spaces … For general σ and
τ, we may approximate them by … By (2.10), the generator of x t as a Feller process in X = Y × Z …
τ, we may approximate them by … By (2.10), the generator of x t as a Feller process in X = Y × Z …