Related papers: Superpositions of CARMA processes
We provide an integral representation for the (implied) copulas of dependent random variables in terms of their moment generating functions. The proof uses ideas from Fourier methods for option pricing. This representation can be used for a…
Two known 2-dim SUSY quantum mechanical constructions - the direct generalization of SUSY with first-order supercharges and Higher order SUSY with second order supercharges - are combined for a class of 2-dim quantum models, which {\it are…
We discuss the Gamma Levy process, including path properties, the inverse process, integrability, and its spin-offs obtained by compounding, exponentiation, and other operations; further extendable to arbitrary sigma-finite continuous Borel…
We review the probabilistic properties of Ornstein-Uhlenbeck processes in Hilbert spaces driven by L\'{e}vy processes. The emphasis is on the different contexts in which these processes arise, such as stochastic partial differential…
Causal decomposition depicts a cause-effect relationship that is not based on the concept of prediction, but based on the phase dependence of time series. It has been validated in both stochastic and deterministic systems and is now…
We provide a mathematically rigorous framework for supersymmetric fermion lattice systems. We construct supersymmetric C*-dynamics in terms of a nilpotent superderivation and a one-parameter group of automorphisms on the CAR-algebra. (We do…
We introduce an algorithm for the pricing of finite expiry American options driven by L\'evy processes. The idea is to tweak Carr's `Canadisation' method, cf. Carr [9] (see also Bouchard et al [5]), in such a way that the adjusted algorithm…
The crossover among two or more types of diffusive processes represents a vibrant theme in nonequilibrium statistical physics. In this work we propose two models to generate crossovers among different L\'evy processes: in the first model we…
We consider multivariate copula-based stationary time-series under Gaussian subordination. Observed time series are subordinated to long-range dependent Gaussian processes and characterized by arbitrary marginal copula distributions. First…
In this article, we introduce a non Gaussian long memory process constructed by the aggregation of independent copies of a fractional L\'evy Ornstein-Uhlenbeck process with random coefficients. Several properties and a limit theorem are…
Schuermann's theory of quantum Levy processes, and more generally the theory of quantum stochastic convolution cocycles, is extended to the topological context of compact quantum groups and operator space coalgebras. Quantum stochastic…
We review some recent results of the theory of Lie systems in order to apply such results to study Ermakov systems. The fundamental properties of Ermakov systems, i.e. their superposition rules, the Lewis-Ermakov invariants, etc., are found…
We generalize Franz' independence in tensor categories with inclusions from two morphisms (which represent generalized random variables) to arbitrary ordered families of morphisms. We will see that this only works consistently if the unit…
Lie systems form a class of systems of first-order ordinary differential equations whose general solutions can be described in terms of certain finite families of particular solutions and a set of constants, by means of a particular type of…
Taking account of recent developments in the representation of $d$-dimensional isotropic stable L\'evy processes as self-similar Markov processes, we consider a number of new ways to condition its path. Suppose that $\Omega$ is a region of…
Phase operators and phase states are introduced for irreducible representations of the Lie algebra su(3) using a polar decomposition of ladder operators. In contradistinction with su(2), it is found that the su(3) polar decomposition does…
We apply the method of correlation functions to the coefficient problem in stochastic geometry. In particular, we give a proof for some universal patterns conjectured by M. Zinsmeister for the second moments of the Taylor coefficients for…
We construct a class of discontinuous superprocesses with dependent spatial motion and general branching mechanism. The process arises as the weak limit of critical interacting-branching particle systems where the spatial motions of the…
Factor analysis provides a canonical framework for imposing lower-dimensional structure such as sparse covariance in high-dimensional data. High-dimensional data on the same set of variables are often collected under different conditions,…
We describe basic motivations behind quantum or noncommutative probability, introduce quantum L\'evy processes on compact quantum groups, and discuss several aspects of the study of the latter in the example of quantum permutation groups.…