Related papers: Levy Measure Decompositions for the Beta and Gamma…
The pricing of options in exponential Levy models amounts to the computation of expectations of functionals of Levy processes. In many situations, Monte-Carlo methods are used. However, the simulation of a Levy process with infinite Levy…
We study one-dimensional Levy processes with Levy-Khintchine exponent psi(xi^2), where psi is a complete Bernstein function. These processes are subordinate Brownian motions corresponding to subordinators, whose Levy measure has completely…
Bounded Variable Addition (BVA) is a central preprocessing method in modern state-of-the-art SAT solvers. We provide a graph-theoretic characterization of which 2-CNF encodings can be constructed by an idealized BVA algorithm. Based on this…
We propose a summary measure defined as the expected value of a random variable over disjoint subsets of its support that are specified by a given grid of proportions, and consider its use in a regression modeling framework. The obtained…
The concept of a L\'evy subordinator is generalized to a family of non-decreasing stochastic processes, which are parameterized in terms of two Bernstein functions. Whereas the independent increments property is only maintained in the…
We study certain probability measures on partitions of n=1,2,..., originated in representation theory, and demonstrate their connections with random matrix theory and multivariate hypergeometric functions. Our measures depend on three…
In this paper we deal with the generalized Gamma processes and their compositions. For the compositions of two or more than two generalized Gamma processes we give, when possible, the explicit law whereas, in the other cases the…
Nonlinear boundary value problems (BVPs) by means of the classical Lie symmetry method are studied. A new definition of Lie invariance for BVPs is proposed by the generalization of existing those on much wider class of BVPs. A class of…
Given a function $f\in C(\mathbb{R}^d)$ of linear growth, we give a new way of representing accumulation points of \begin{equation} \int_\Omega f(v_i(z))d\mu(z), \end{equation} where $\mu\in \mathcal{M}^+(\Omega)$, and $(v_i)_{i\in…
Minimum divergence estimators provide a natural choice of estimators in a statistical inference problem. Different properties of various families of these divergence measures such as Hellinger distance, power divergence, density power…
Multivariate generalized Gamma convolutions are distributions defined by a convolutional semi-parametric structure. Their flexible dependence structures, the marginal possibilities and their useful convolutional expression make them…
In the paper, the authors establish an inequality involving exponential functions and sums, introduce a ratio of many gamma functions, discuss properties, including monotonicity, logarithmic convexity, (logarithmically) complete…
The generalised extreme value (GEV) distribution is a three parameter family that describes the asymptotic behaviour of properly renormalised maxima of a sequence of independent and identically distributed random variables. If the shape…
Let ${\mathcal A}$ be the ${\mathcal L}^q-$functional of a stable L\'evy process starting from one and killed when crossing zero. We observe that ${\mathcal A}$ can be represented as the independent quotient of two infinite products of…
This PhD thesis is devoted to show that differential renormalization is a simple and useful renormalization method that we can use when dealing with gauge theories. In this work, it is shown how the one-loop results of Constraint…
In this paper, we investigate the complete monotonicity of some functions involving gamma function. Using the monotonic properties of these functions, we derived some inequalities involving gamma and beta functions. Such inequalities…
The maximum likelihood estimator (MLE) is pivotal in statistical inference, yet its application is often hindered by the absence of closed-form solutions for many models. This poses challenges in real-time computation scenarios,…
A symmetry-preserving approach to the continuum bound-state problem in quantum field theory is used to calculate the masses, leptonic decay constants and light-front distribution amplitudes of empirically accessible heavy-light mesons. The…
The beta distribution is the best-known distribution for modelling doubly-bounded data, \eg percentage data or probabilities. A new generalization of the beta distribution is proposed, which uses a cubic transformation of the beta random…
We present a new and easy-to-implement sequential sampling method for CGMY processes with either finite or infinite variation, exploiting the time change representation of the CGMY model and a decomposition of its time change. We find that…