Related papers: L\'evy systems and moment formulas for mixed Poiss…
The method of obtaining of Vlasov-type equations for systems of interacting massive charged particles from the general relativistic Einstein-Hilbert action is considered. An effective approach to synchronizing the proper times of various…
We analyze a new framework for expressing finite element methods on arbitrarily many intersecting meshes: multimesh finite element methods. The multimesh finite element method, first presented in [40], enables the use of separate meshes to…
The paper develops new methods of non-parametric estimation a compound Poisson distribution. Such a problem arise, in particular, in the inference of a Levy process recorded at equidistant time intervals. Our key estimator is based on…
A highly efficient formulation of moment equations for stochastic reaction networks is introduced. It is based on a set of binomial moments that capture the combinatorics of the reaction processes. The resulting set of equations can be…
A number of numeric approaches to simulate Poisson point processes with arbitrary event rates are presented and implemented for R. They include the simulation of the number of points and their location as well as the determination of…
An application of approximate transformation groups to study dynamics of a system with distinct time scales is discussed. The utilization of the Krylov-Bogoliubov-Mitropolsky method of averaging to find solutions of the Lie equations is…
The problem of European-style option pricing in time-changed L\'{e}vy models in the presence of compound Poisson jumps is considered. These jumps relate to sudden large drops in stock prices induced by political or economical hits. As the…
In the present paper, a new and simple approach is provided for proving rigorously that for general L\'evy financial markets the minimal entropy martingale measure and the Esscher martingale measure coincide. The method consists in…
For a general free L\'evy process, we prove the existence of its higher variation processes as limits in distribution, and identify the limits in terms of the L\'evy-It\^o representation of the original process. For a general free compound…
Define the scaled empirical point process on an independent and identically distributed sequence $\{Y_i: i\le n\}$ as the random point measure with masses at $a_n^{-1} Y_i$. For suitable $a_n$ we obtain the weak limit of these point…
In a simplified model of Multiple Parton Interactions the inclusive cross sections, of processes with large momentum transfer exchange, acquire the statistical meaning of factorial moments of the distribution in multiplicity of…
A new one-dimensional fluid model for ions in weakly-ionized plasma is proposed. The model differs from the existing ones in two aspects. First, a more accurate approximation of the collision terms in the fluid equations is suggested. For…
Scaling properties of time series are usually studied in terms of the scaling laws of empirical moments, which are the time average estimates of moments of the dynamic variable. Nonlinearities in the scaling function of empirical moments…
We establish several closed pricing formula for various path-independent payoffs, under an exponential L\'evy model driven by the Variance Gamma process. These formulas take the form of quickly convergent series and are obtained via tools…
We study integral expressions of electromagnetic multipole moments of arbitrary order in Cartesian coordinates. The volume and surface integrals of charge-induced and current-induced multipole moment tensors are formulated and the…
We construct in the small-time setting the upper and lower estimates for the transition probability density of a L\'evy process in $\rn$. Our approach relies on the complex analysis technique and the asymptotic analysis of the inverse…
New developments in the study of multi-meson systems are reviewed. We highlight a new recursive algorithm for generating the requisite contractions needed for studying complex systems of mesons involving large numbers of particles or…
In this paper, we develop some matrix Poisson's equations satisfied by the mean and variance of the mixing time in an irreducible positive-recurrent discrete-time Markov chain with infinitely-many levels, and provide a computational…
Self-consistent multi-particle simulation plays an important role in studying beam-beam effects and space charge effects in high-intensity beams. The Poisson equation has to be solved at each time-step based on the particle density…
In this article, the problem of semi-parametric inference on the parameters of a multidimensional L\'{e}vy process $L_t$ with independent components based on the low-frequency observations of the corresponding time-changed L\'{e}vy process…