相关论文: CBI-time-changed L\'evy processes

A new approach to solve the continuous-time stochastic inventory problem using the fluctuation theory of Levy processes is developed. This approach involves the recent developments of the scale function that is capable of expressing many…

We establish two results about local times of spectrally positive stable processes. The first is a general approximation result, uniform in space and on compact time intervals, in a model where each jump of the stable process may be marked…

Partial observations of continuous time-series dynamics at arbitrary time stamps exist in many disciplines. Fitting this type of data using statistical models with continuous dynamics is not only promising at an intuitive level but also has…

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…

We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential L\'evy-type process subject to default. The class of processes we consider features locally-dependent drift, diffusion and default-intensity…

L\'evy processes are widely used in financial mathematics to model return data. Price processes are then defined as a corresponding geometric L\'evy process, implying the fact that returns are independent. In this paper we propose an…

Stochastic Differential Equations (SDEs) were originally devised by It\^o to provide a pathwise construction of diffusion processes. A less explored approach to represent them is through Time Change Equations (TCEs) as put forth by Doeblin.…

We propose a doubly subordinated Levy process, NDIG, to model the time series properties of the cryptocurrency bitcoin. NDIG captures the skew and fat-tailed properties of bitcoin prices and gives rise to an arbitrage free, option pricing…

We show that the hitting times for points of real $\alpha-$stable L\'evy processes ($1<\alpha\le 2$) are unimodal random variables. The argument relies on strong unimodality and several recent multiplicative identities in law. In the…

We consider a special family of occupation-time derivatives, namely proportional step options introduced by Linetsky in [Math. Finance, 9, 55--96 (1999)]. We develop new closed-form spectral expansions for pricing such options under a class…

We consider the class of (possibly killed) spectrally positive L\'evy process that have been time-changed by the inverse of an integral functional. Within this class we characterize the family of those processes which satisfy the following…

We characterize the small-time asymptotic behavior of the exit probability of a L\'evy process out of a two-sided interval and of the law of its overshoot, conditionally on the terminal value of the process. The asymptotic expansions are…

The behaviour of systems characterised by a closed interaction of software components with the environment is inevitably subject to perturbations and uncertainties. In this paper we propose a general framework for the specification and…

A simplified approach is proposed to investigate the continuous-time and discrete-time complementary sensitivity Bode integrals (CSBIs) in this note. For continuous-time feedback systems with unbounded frequency domain, the CSBI weighted by…

Algorithms that balance the stability-plasticity trade-off are well studied in the Continual Learning literature. However, only a few focus on obtaining models for specified trade-off preferences. When solving the problem of continual…

Continuous Integration (CI) is a widely adopted practice for faster code change integration and testing. Developers often migrate between CI systems in pursuit of features like matrix building or better logging. However, this migration is…

Levy processes are widely used in financial mathematics, telecommunication, economics, queueing theory and natural sciences for modelling. A typical model is obtained by considering finite dimensional linear stochastic SISO systems driven…

We investigate the upper tail probabilities of the all-time maximum of a stable L\'evy process with a power negative drift. The asymptotic behaviour is shown to be exponential in the spectrally negative case and polynomial otherwise, with…

Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…

Boundary time crystals (BTCs) in dissipative collective spin systems have been extensively studied using numerical, mean-field, and perturbative approaches. However, an explicit Liouvillian description governing the long-time dynamics deep…