Keywords: روند لوی; Financial time series; Lévy process; Bayesian neural network; Neural network; Support vector regression; Gaussian process regression; Domain adaptation;
مقالات ISI روند لوی (ترجمه نشده)
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Keywords: روند لوی; Model selection; Prognostic prediction; Residual life prediction; Degradation process; Lévy process;
Keywords: روند لوی; 60F17; 60G22; Anomalous diffusion; Continuous Time Random Walk; Fractional derivative; Variable order; Stochastic process limit; Lévy process;
Keywords: روند لوی; 62P05; 60F99; Extended regular variation; Lévy process; Ruin probability; Time-dependent risk model;
Stochastic solutions of conformable fractional Cauchy problems
Keywords: روند لوی; Lévy process; Cauchy problem; Conformable time fractional derivative; Time-change by deterministic nonlinear clocks;
Keywords: روند لوی; Option pricing; European options; Two-colour rainbow options; Basket options; Spread options; Lévy process; Shannon wavelets; Cardinal sine function; Fourier transform inversion;
Multivariate intensity estimation via hyperbolic wavelet selection
Keywords: روند لوی; 62G05; 62H12; Biorthogonal wavelets; Copula; Density; Hyperbolic wavelets; Lévy process; Mixed smoothness; Model selection; Poisson process;
Splitting and time reversal for Markov additive processes
Keywords: روند لوی; 60G51; 60J55; Lévy process; Path decomposition; Time reversal; Wiener-Hopf factorization; Last exit; Conditioned to stay positive;
Keywords: روند لوی; primary; 62P05; secondary; 62E10; 91B30; Asymptotics; Dependence; Lévy process; Multi-dimensional risk model; Multivariate regular variation; Stochastic return; Ruin probability;
Keywords: روند لوی; C13; C22; G13; Explosive continuous time models; Lévy process; Moderate deviations from unity; Double asymptotics; Invariance principle; Initial condition;
Keywords: روند لوی; C10; G13; Credit default swap; Infinite activity; Lévy process; Random recovery rate; Structural model;
Keywords: روند لوی; Large deviations; Regular variation; Lévy process;
Keywords: روند لوی; G13; G22; Optimal portfolio; Lévy process; Stochastic exponential; Pension fund;
Keywords: روند لوی; primary; 60E07; secondary; 46N39; 60E10; 62G07; 60G51; Deconvolution operator; Fourier multiplier theorem; Lévy process; Regular density; Self-decomposable distribution;
Keywords: روند لوی; C61; G11; G13; Quadratic optimization; Incomplete market; Lévy process; Backward stochastic differential equations; Lévy Clayton copula;
Keywords: روند لوی; Multifractal process; Ornstein-Uhlenbeck process; Lévy process; Self-decomposable distribution; Subordinator; Renyi function; Exchange rates;
Keywords: روند لوی; Ruin probabilities; Insurance risk; Lévy process; Fluctuation theory; Convolution equivalent; Tempered stable; Inverse Gaussian;
Keywords: روند لوی; primary; 60G51; secondary; 60J75; Lévy process; Two-sided exit; Support of measure;
A stochastic viral infection model driven by Lévy noise
Keywords: روند لوی; Stochastic process; Lévy process; White noise; Lyapunov method;
Malliavin calculus for subordinated Lévy process
Keywords: روند لوی; Subordination; Lévy process; Clark-Ocone formula; Chaos expansion; Malliavin derivative; Risk-free hedging; Primary 60h07; Secondary 60g51.;
Embedding in law of discrete time ARMA processes in continuous time stationary processes
Keywords: روند لوی; Discrete-time ARMA; Continuous-time ARMA; CARMA; Lévy process; Embedding;
Pricing insurance drawdown-type contracts with underlying Lévy assets
Keywords: روند لوی; Insurance contract; Fair valuation; Drawdown; Drawup; Lévy process; Optimal stopping;
On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
Keywords: روند لوی; 60F10; 60G51; 60K05; Lévy process; Compound renewal process; Distribution tails; Heavy tails; Long-tailed distributions; Subexponential distributions; Random walk;
Asymptotical properties of distributions of isotropic Lévy processes
Keywords: روند لوی; primary; 60G51; 60J35; secondary; 60F99; Asymptotic; Transition density; Lévy process; Unimodal Lévy process; Heat kernel; Laplace exponent; Lévy measure; Subordinator; Subordinate Brownian motion;
Analytic techniques for option pricing under a hyperexponential Lévy model
Keywords: روند لوی; Lévy process; Hyperexponential; Option pricing; Greeks; Implied volatility; Asymptotic expansion;
Asymptotic results for exponential functionals of Lévy processes
Keywords: روند لوی; primary; 60G51; 60J55; secondary; 60K37; 60J80; Lévy process; Exponential functional; Laplace exponent; Branching process; Random environment; Survival probability;
Potential kernels, probabilities of hitting a ball, harmonic functions and the boundary Harnack inequality for unimodal Lévy processes
Keywords: روند لوی; primary; 60J35; 60J50; secondary; 60J75; 31B25; Potential theory; Lévy process; Isotropic unimodal distribution; Hitting time; Harnack inequality;
Lp-maximal hypoelliptic regularity of nonlocal kinetic Fokker-Planck operators
Keywords: روند لوی; primary; 42B20; 60H30; secondary; 35H10; 35Q20; Lp-hypoellipticity; Nonlocal kinetic operator; Fefferman-Stein's theorem; Lévy process;
New methods of simulating Lévy processes
Keywords: روند لوی; Lévy process; Algorithm; Simulation;
A stochastic SIRS epidemic model incorporating media coverage and driven by Lévy noise
Keywords: روند لوی; Stochastic process; Lévy process; White noise; 92B05; 60G51; 60G57;
Parisian quasi-stationary distributions for asymmetric Lévy processes
Keywords: روند لوی; 60J99; 93E20; 60G51; Quasi-stationary distribution; Lévy process; Risk process; Ruin probability; Asymptotics; Parisian ruin;
Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion
Keywords: روند لوی; Mean-variance; Martingale approach; Quadratic utility; Lévy process;
Prognostics-based qualification of high-power white LEDs using Lévy process approach
Keywords: روند لوی; Light-emitting diodes; Qualification; prognostics; Reliability; Anomaly detection; Lévy process;
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
Keywords: روند لوی; C44; C61; G32; G35; Periodic dividend; Capital injection; Lévy process; Stochastic control; Scale function;
Iterated limits for aggregation of randomized INAR(1) processes with Poisson innovations
Keywords: روند لوی; Randomized INAR(1) process; Temporal and contemporaneous aggregation; Long memory; Fractional Brownian motion; Stable distribution; Lévy process;
On future drawdowns of Lévy processes
Keywords: روند لوی; 60J99; 93E20; 60G51; Reflected process; Lévy process; Drawdown process; Cramér-asymptotics; Heavy-tailed distributions; Queueing; Workload process;
Clustered Lévy processes and their financial applications
Keywords: روند لوی; Subordination; Lévy process; Hawkes process; Time-changed process;
Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing
Keywords: روند لوی; primary; 60G51; 60F15; 60F17; 60F05; secondary; 60J65; 60J75; Lévy process; Variance-Gamma; Multivariate subordination; Generalised Gamma convolutions; Thorin measure; Esscher transformation; Esscher invariance; Superposition; Option pricing;
Numerical computation of hitting time distributions of increasing Lévy processes
Keywords: روند لوی; 60E10; 60G51; 65R99; Lévy process; Hitting time; Characteristic function; Hilbert transform; Sinc expansion; Lambert function;
Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums
Keywords: روند لوی; Equilibrium asset pricing; Moment risk premiums; Moment swaps; Lévy process; Stochastic volatility;
A geometric Levy model for nn-fold compound option pricing in a fuzzy framework
Keywords: روند لوی; NN-fold compound options; Levy process; Esscher transformed martingale measure; Fuzzy stochastic process; Fuzzy expectation
Pricing discrete double barrier options under Lévy processes: An extension of the method by Milev and Tagliani
Keywords: روند لوی; European option pricing; Discrete double-barrier option; Lévy process; Milev and Tagliani algorithm; Adaptive Gauss-Lobatto quadrature; C02; C63; G13;
On recurrence and transience of two-dimensional Lévy and Lévy-type processes
Keywords: روند لوی; 60J75; 60J25; 60G17; Lévy measure; Lévy process; Lévy-type process; Recurrence; Symbol; Transience;
Quanto option pricing in the presence of fat tails and asymmetric dependence
Keywords: روند لوی; Quanto option; Multivariate normal tempered stable process; Lévy process; Black-Scholes option pricing; Nikkei 225 dollar options;
Prediction of Lévy-driven CARMA processes
Keywords: روند لوی; C02; G17; Prediction; Lévy process; CARMA process; Continuous time;
Analysis of a drawdown-based regime-switching Lévy insurance model
Keywords: روند لوی; primary; 60G40; secondary; 60G51; Drawdown; Exit time; Two-sided exit problem; Lévy process; Occupation time; Premium change; Regime-switching;
Max-stable processes and stationary systems of Lévy particles
Keywords: روند لوی; Max-stable random process; Lévy process; Extreme value theory; Poisson point process; Exponential intensity; Kuznetsov measure;
Matrix normalized convergence of a Lévy process to normality at zero
Keywords: روند لوی; Lévy process; Matrix normalization; Domain of attraction; Domain of partial attraction; Normal distribution; Self-normalized process; Quadratic variation process;
Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
Keywords: روند لوی; primary; 62P05; secondary; 62E20; 60F10; Dominatedly varying tails; Lévy process; Ruin probability; Stochastic returns; The time-dependent renewal risk model;
Laws of the iterated logarithm of Chover-type for operator stable Lévy processes
Keywords: روند لوی; 60G51; 60G17; 60E07; 60J30; Operator stable law; Lévy process; Integral test; Law of the iterated logarithm;