Keywords: فرآیند Lévy; 60G40; 60J75; 91G80; American options; Optimal stopping; Lévy processes; Periodic exercise opportunities;
مقالات ISI فرآیند Lévy (ترجمه نشده)
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Keywords: فرآیند Lévy; Stochastic differential equations; Lévy processes; Poisson functional; Dirichlet form; Derivative formulae; Gradient estimate;
Keywords: فرآیند Lévy; Feedback-based stock trading; Technical trading rules; Simultaneously long short strategy; Sampled-data systems; Lévy processes;
A family of Markov processes in maximal compact subgroups of a semisimple Lie groups
Keywords: فرآیند Lévy; 22E46; 22E25; 97K60; Lévy processes; Lie groups; Marked point processes; Martingale measures;
The fractional non-homogeneous Poisson process
Keywords: فرآیند Lévy; Fractional point processes; Lévy processes; Time-change; Subordination;
Keywords: فرآیند Lévy; Stochastic processes; Evolutionary computations; Group decisions and negotiations; Cooperation evolution; Lévy processes;
Conditioning subordinators embedded in Markov processes
Keywords: فرآیند Lévy; Lévy processes; Conditioning; h-transform; Subordinators; Markov processes;
Keywords: فرآیند Lévy; D81; C61; G31; Optimal stopping; Real options; Regime switching; Lévy processes; Exit problems;
Keywords: فرآیند Lévy; Two dimensional Yang-Mills measure; Lévy processes; Large N limit; Free probability; Planar master fields;
Keywords: فرآیند Lévy; Stochastic integro-differential equations; Finite differences; Lévy processes;
Keywords: فرآیند Lévy; Compound Poisson distribution; Exponential tilting; International trade; Lévy processes; Tempered stable distribution;
Keywords: فرآیند Lévy; Variance-optimal hedging; Volatility swaps; Lévy processes; Föllmer-Schweizer decomposition; G13;
Keywords: فرآیند Lévy; Systems of stochastic integro-differential equations; L2L2 theory; Degenerate stochastic parabolic PDEs; Levy processes
Keywords: فرآیند Lévy; primary; 91G20; 60G51; 33C45; secondary; 91G60; 60G10; 33F05; Stochastic volatility models; Explicit methods for contingent claim valuation; Lévy processes; Processes of Ornstein-Uhlenbeck type;
Keywords: فرآیند Lévy; primary; 60J45; secondary; 60J25; 60J50; Lévy processes; Subordinate Brownian motions; Harmonic functions; Boundary Harnack principle; Poisson kernel; Heat kernel; Green function;
Keywords: فرآیند Lévy; C51; C63; Q40; Q20; Electricity; Lévy processes; Price spikes; Negative prices; Fractional integration;
Keywords: فرآیند Lévy; Infinitely divisible processes; Levy processes; Tempered stable processes;
Keywords: فرآیند Lévy; Priority queues; Accumulating priority; Lévy driven queues; Lévy processes; First passage time;
Keywords: فرآیند Lévy; C44; C61; G24; G32; G35; 60G51; 93E20; 91B30; Dividends; Capital injection; Lévy processes; Scale functions; Dual model;
Malliavin differentiability of indicator functions on canonical Lévy spaces
Keywords: فرآیند Lévy; primary; 60H07; secondary; 60G51; Malliavin calculus; Lévy processes; Indicator functions; Digital options;
Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process
Keywords: فرآیند Lévy; Option pricing model; Non-local PDE; Fractional diffusion equations; Tempered fractional derivatives; Lévy processes; CGMYe model;
Quickest drift change detection in Lévy-type force of mortality model
Keywords: فرآیند Lévy; Lévy processes; Quickest detection; Longevity; Optimal stopping; Force of mortality; Life tables; Change of measure; 60G-40; 34B-60; 60G51; 62P-05;
Equivalent martingale measures for Lévy-driven moving averages and related processes
Keywords: فرآیند Lévy; 60E07; 60G10; 60G51; 60G57; 60H05; Equivalent local martingale measures; Moving averages; Lévy processes; Stochastic exponentials; Infinite divisibility;
On the refracted-reflected spectrally negative Lévy processes
Keywords: فرآیند Lévy; 60G51; 91B30; 90B22; Lévy processes; Fluctuation theory; Scale functions; Insurance risk;
Fluctuations of Omega-killed spectrally negative Lévy processes
Keywords: فرآیند Lévy; 60G51; 60K25; Lévy processes; Omega model; Occupation time; Laplace transform; Fluctuation theory; Self-similar process;
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
Keywords: فرآیند Lévy; 60G51; 91B30; Capital injections; Dividends; Scale functions; Lévy processes; Excursion theory;
The Euler equations of an inviscid incompressible fluid driven by a Lévy noise
Keywords: فرآیند Lévy; Euler equations; Stochastic partial differential equations; Local pathwise solutions; Lévy processes; Poisson random measures;
First exit from an open set for a matrix-exponential Lévy process
Keywords: فرآیند Lévy; 60J75; 60G51; 60G99; First exit problems; Lévy processes; Matrix-exponential distributions; Jump diffusions;
Explosive solutions for stochastic differential equations driven by Lévy processes
Keywords: فرآیند Lévy; Explosive solutions; Lévy processes; Stochastic differential equations;
On the class of distributions of subordinated Lévy processes and bases
Keywords: فرآیند Lévy; Subordination; Lévy basis; Lévy processes; Lévy mixing; Lévy semistationary processes; Recovery problem;
Coupling and exponential ergodicity for stochastic differential equations driven by Lévy processes
Keywords: فرآیند Lévy; 60G51; 60H10; Stochastic differential equations; Lévy processes; Exponential ergodicity; Couplings; Wasserstein distances;
Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes
Keywords: فرآیند Lévy; Discrete barrier options; Lévy processes; Fourier-cosine series; G13; C3;
Algebraic ergodicity for SDEs driven by Lévy processes
Keywords: فرآیند Lévy; 60H10; 60J75; 37A25; Stochastic differential equations; Lévy processes; Algebraic ergodicity; Hitting times;
Intermittency for the wave equation with Lévy white noise
Keywords: فرآیند Lévy; primary; 60H15; secondary; 60G51; 37H15; Stochastic partial differential equations; Lévy processes; Intermittency;
On some smoothening effects of the transition semigroup of a Lévy process
Keywords: فرآیند Lévy; Bismut-Elworthy-Li formula; Lévy processes; Smoothening effect;
An Lp-theory for a class of non-local elliptic equations related to nonsymmetric measurable kernels
Keywords: فرآیند Lévy; Non-local elliptic equations; Integro-differential equations; Lévy processes; Non-symmetric measurable kernels;
Asymptotic equivalence for pure jump Lévy processes with unknown Lévy density and Gaussian white noise
Keywords: فرآیند Lévy; 62B15; 62G20; 60G51; Nonparametric experiments; Le Cam distance; Asymptotic equivalence; Lévy processes;
Haar states and Lévy processes on the unitary dual group
Keywords: فرآیند Lévy; Quantum probability; Dual groups; Lévy processes; Haar states;
Bias in the estimation of mean reversion in continuous-time Lévy processes
Keywords: فرآیند Lévy; C10; C22; C58; Bias; Mean reversion parameter; Lévy processes;
Barrier style contracts under Lévy processes: An alternative approach
Keywords: فرآیند Lévy; Barrier contracts; Lévy processes; Symmetry; C52; G10;
pth moment asymptotic stability for neutral stochastic functional differential equations with Lévy processes
Keywords: فرآیند Lévy; Lévy processes; Neutral stochastic functional differential equations; pth moment asymptotic stability; Almost sure asymptotic stability; Continuous in the pth moment; Continuous in probability; 34K20; 34K45; 34K50;
Construction and sampling of Archimedean and nested Archimedean Lévy copulas
Keywords: فرآیند Lévy; 62H99; 60G51; Lévy processes; Lévy copulas; (Nested) Archimedean (Lévy) copulas; Sampling;
A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
Keywords: فرآیند Lévy; 60G40; 60G51; 91G20; American options; Optimal stopping; Canadisation; Lévy processes; Meromorphic;
Ornstein-Uhlenbeck processes for geophysical data analysis
Keywords: فرآیند Lévy; Ornstein-Uhlenbeck processes; Lévy processes; Gamma processes; Characteristic function; Exit time;
Pricing currency derivatives with Markov-modulated Lévy dynamics
Keywords: فرآیند Lévy; 91B70; 60H10; 60F25; Foreign exchange rate; Esscher transform; Risk-neutral measure; European call option; Lévy processes; Markov processes;
Infinite horizon optimal control of forward-backward stochastic differential equations with delay
Keywords: فرآیند Lévy; 93EXX; 93E20; 60J75; 60H10; 60H20; 34K50; Infinite horizon; Optimal control; Stochastic delay equation; Lévy processes; Maximum principle; Partial information;
The multifractal nature of Volterra-Lévy processes
Keywords: فرآیند Lévy; Multifractals; Spectrum of singularities; Volterra processes; Lévy processes;
A Sobolev space theory for parabolic stochastic PDEs driven by Lévy processes on C1-domains
Keywords: فرآیند Lévy; 60H15; 35R60; Stochastic partial differential equations; Lévy processes; Sobolev spaces; Lp-theory;
On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients
Keywords: فرآیند Lévy; Strong solutions of SDE's; Levy processes; Yamada–Watanabe principle; Malliavin calculus
A first passage time problem for spectrally positive Lévy processes and its application to a dynamic priority queue
Keywords: فرآیند Lévy; Lévy processes; Martingales; First passage time; Priority queues; Dynamic priority; Due-date scheduling;