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Book On Quasi infinitely Divisible Distributions

Download or read book On Quasi infinitely Divisible Distributions written by Merve Kutlu and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Topics in Infinitely Divisible Distributions and L vy Processes Revised Edition

Download or read book Topics in Infinitely Divisible Distributions and L vy Processes Revised Edition written by Alfonso Rocha-Arteaga and published by Springer Nature. This book was released on 2019-11-02 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with topics in the area of Lévy processes and infinitely divisible distributions such as Ornstein-Uhlenbeck type processes, selfsimilar additive processes and multivariate subordination. These topics are developed around a decreasing chain of classes of distributions Lm, m = 0,1,...,∞, from the class L0 of selfdecomposable distributions to the class L∞ generated by stable distributions through convolution and convergence. The book is divided into five chapters. Chapter 1 studies basic properties of Lm classes needed for the subsequent chapters. Chapter 2 introduces Ornstein-Uhlenbeck type processes generated by a Lévy process through stochastic integrals based on Lévy processes. Necessary and sufficient conditions are given for a generating Lévy process so that the OU type process has a limit distribution of Lm class. Chapter 3 establishes the correspondence between selfsimilar additive processes and selfdecomposable distributions and makes a close inspection of the Lamperti transformation, which transforms selfsimilar additive processes and stationary type OU processes to each other. Chapter 4 studies multivariate subordination of a cone-parameter Lévy process by a cone-valued Lévy process. Finally, Chapter 5 studies strictly stable and Lm properties inherited by the subordinated process in multivariate subordination. In this revised edition, new material is included on advances in these topics. It is rewritten as self-contained as possible. Theorems, lemmas, propositions, examples and remarks were reorganized; some were deleted and others were newly added. The historical notes at the end of each chapter were enlarged. This book is addressed to graduate students and researchers in probability and mathematical statistics who are interested in learning more on Lévy processes and infinitely divisible distributions.

Book L vy Processes and Infinitely Divisible Distributions

Download or read book L vy Processes and Infinitely Divisible Distributions written by Sato Ken-Iti and published by Cambridge University Press. This book was released on 1999 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Infinite Divisibility of Probability Distributions on the Real Line

Download or read book Infinite Divisibility of Probability Distributions on the Real Line written by Fred W. Steutel and published by CRC Press. This book was released on 2003-10-03 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: Infinite Divisibility of Probability Distributions on the Real Line reassesses classical theory and presents new developments, while focusing on divisibility with respect to convolution or addition of independent random variables. This definitive, example-rich text supplies approximately 100 examples to correspond with all major chapter topics and reviews infinite divisibility in light of the central limit problem. It contrasts infinite divisibility with finite divisibility, discusses the preservation of infinite divisibility under mixing for many classes of distributions, and investigates self-decomposability and stability on the nonnegative reals, nonnegative integers, and the reals.

Book A Lifetime of Excursions Through Random Walks and L vy Processes

Download or read book A Lifetime of Excursions Through Random Walks and L vy Processes written by Loïc Chaumont and published by Springer Nature. This book was released on 2022-01-01 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection honours Ron Doney’s work and includes invited articles by his collaborators and friends. After an introduction reviewing Ron Doney’s mathematical achievements and how they have influenced the field, the contributed papers cover both discrete-time processes, including random walks and variants thereof, and continuous-time processes, including Lévy processes and diffusions. A good number of the articles are focused on classical fluctuation theory and its ramifications, the area for which Ron Doney is best known.

Book A Lifetime of Excursions Through Random Walks and L vy Processes

Download or read book A Lifetime of Excursions Through Random Walks and L vy Processes written by Loïc Chaumont and published by Birkhäuser. This book was released on 2022-12-02 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection honours Ron Doney’s work and includes invited articles by his collaborators and friends. After an introduction reviewing Ron Doney’s mathematical achievements and how they have influenced the field, the contributed papers cover both discrete-time processes, including random walks and variants thereof, and continuous-time processes, including Lévy processes and diffusions. A good number of the articles are focused on classical fluctuation theory and its ramifications, the area for which Ron Doney is best known.

Book Supports of Infinitely Divisible Distributions

Download or read book Supports of Infinitely Divisible Distributions written by Herman Rubin and published by . This book was released on 1963 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been a considerable amount of recent interest in the problem of characterizing absolutely continuous infinitely divisible distributions by their Levy-Khintechine representation, and in the singular case, characterizing the dimension of the support. It is easy to give examples of infinitely divisible distributions of 0-dimensional support whose convolution is absolutely continuous. This work shows that the dimension of the marginals of a process of independ ent stationary increments can do anything consistent with dimension increasing on convolution and the marginals possibly becoming absolutely continuous. (Author).

Book Conditional Convergence to Infinitely Divisible Distributions with Finite Variance

Download or read book Conditional Convergence to Infinitely Divisible Distributions with Finite Variance written by Jérôme Dedecker and published by . This book was released on 2002 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book The Hyperbolic Model Option Pricing Using Approximation and Quasi Monte Carlo Methods

Download or read book The Hyperbolic Model Option Pricing Using Approximation and Quasi Monte Carlo Methods written by Martin Predota and published by GRIN Verlag. This book was released on 2009-04 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: Doctoral Thesis / Dissertation from the year 2002 in the subject Mathematics - Stochastics, grade: 1, Technical University of Graz, language: English, abstract: Aus Sicht der Mathematik spielen Optionen eine wesentliche Rolle seit der bahnbrechenden Arbeit von Black und Scholes im Jahre 1973. Deren Modell basiert jedoch auf der unrealistischen Annahme, das log-returns von Aktienkursen normalverteilt sind. Eberlein und Keller haben 1995 gezeigt, daß solche log-returns hyperbolisch verteilt sind. Die vorliegende Arbeit baut auf dieser Annahme auf und erweitert das Optionsspektrum von Europäischen Optionen auf Asiatische, Amerikanische sowie Multi-Asset-Optionen. Weiters wird das "Standard"-Martingal-Maß, die sogenannte Esscher-Transformation, durch das Entropie-minimierende Maß erweitert. Da jedoch keine exakte Preissetzung solcher Optionen möglich ist, wird auf numerische Simulationen und Approximationen zurückgegriffen. Die verwendeten numerischen Verfahren sind die Monte Carlo-Methode mit verschiedenen Varianzreduktionstechniken und die Quasi-Monte Carlo Methode.

Book Infinitely Divisible Distributions Conditions For Independence and Central Limit Theorms

Download or read book Infinitely Divisible Distributions Conditions For Independence and Central Limit Theorms written by Rand Corporation and published by . This book was released on 1970 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: