Related papers: Correlated time-changed L\'evy Processes
Timed transition systems are behavioural models that include an explicit treatment of time flow and are used to formalise the semantics of several foundational process calculi and automata. Despite their relevance, a general mathematical…
A continuous time random walk (CTRW) is a random walk in which both spatial changes represented by jumps and waiting times between the jumps are random. The CTRW is coupled if a jump and its preceding or following waiting time are dependent…
We consider continuous-time consensus seeking systems whose time-dependent interactions are cut-balanced, in the following sense: if a group of agents influences the remaining ones, the former group is also influenced by the remaining ones…
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…
Temporal alignment of sequences is a fundamental challenge in many applications, such as computer vision and bioinformatics, where local time shifting needs to be accounted for. Misalignment can lead to poor model generalization, especially…
We present a time change construction of affine processes with state-space $\mathbb{R}_+^m\times \mathbb{R}^n$. These processes were systematically studied in (Duffie, Filipovi\'c and Schachermayer, 2003) since they contain interesting…
We present a general approach for studying autoregressive categorical time series models with dependence of infinite order and defined conditional on an exogenous covariate process. To this end, we adapt a coupling approach, developed in…
This paper is a supplement to our recent paper ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models". We introduce the class of regime-switching L\'evy models with memory,…
Causal reversibility blends reversibility and causality for concurrent systems. It indicates that an action can be undone provided that all of its consequences have been undone already, thus making it possible to bring the system back to a…
Multivariate time series naturally exist in many fields, like energy, bioinformatics, signal processing, and finance. Most of these applications need to be able to compare these structured data. In this context, dynamic time warping (DTW)…
We develop a method that relates the truncated cumulant-function of the fourth order with the L\'evian cumulant-function. This gives us explicit formulas for the L\'evy-parameters, which allow a real-time analysis of the state of a…
Temporal alignment of multiple signals through time warping is crucial in many fields, such as classification within speech recognition or robot motion learning. Almost all related works are limited to data in Euclidean space. Although an…
In this paper, we study the application of switched systems stability criteria to derive delay-dependent conditions for systems affected by both a constant and a time-varying delay. The main novelty of our approach lies on the use of…
In this note, analysis of time delay systems using Lambert W function approach is reassessed. A common canonical form of time delay systems is defined. We extended the recent results of [6] for second order into nth order system. The…
Time series prediction underpins a broad range of downstream tasks across many scientific domains. Recent advances and increasing adoption of black-box machine learning models for time series prediction highlight the critical need for…
This article presents a new continuous-time modelling framework for multivariate time series of counts which have an infinitely divisible marginal distribution. The model is based on a mixed moving average process driven by L\'{e}vy noise -…
Minimizing waiting time for tasks waiting in the queue for execution is one of the important scheduling cri-teria which took a wide area in scheduling preemptive tasks. In this paper we present Changeable Time Quan-tum (CTQ) approach…
This paper investigates biological models that represent the transition equation from a system in the past to a system in the future. It is shown that finite-time Lyapunov exponents calculated along a locally pullback attractive solution…
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…
Studying the behaviour of Markov processes at boundary points of the state space has a long history, dating back all the way to William Feller. With different motivations in mind entrance and exit questions have been explored for different…