Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Kevin W. Lu"'
Autor:
Kevin W. Lu, Boris Buchmann
Publikováno v:
Journal of Applied Probability. 58:868-879
Consider the strong subordination of a multivariate Lévy process with a multivariate subordinator. If the subordinate is a stack of independent Lévy processes and the components of the subordinator are indistinguishable within each stack, then stro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::338b6d509be623470d001496663d4cc9
https://doi.org/10.1017/jpr.2021.17
https://doi.org/10.1017/jpr.2021.17
Publikováno v:
Scandinavian Journal of Statistics. 49:1085-1114
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fdfe68b69d3985f942513a27971c7ff1
https://doi.org/10.1111/sjos.12556
https://doi.org/10.1111/sjos.12556
Publikováno v:
Stochastic Processes and their Applications. 130:630-655
Weak variance generalised gamma convolution processes are multivariate Brownian motions weakly subordinated by multivariate Thorin subordinators. Within this class, we extend a result from strong to weak subordination that a driftless Brownian motion
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d0494e281a20746fdab6fe13ebce5810
https://doi.org/10.1016/j.spa.2019.02.012
https://doi.org/10.1016/j.spa.2019.02.012
Autor:
Kevin W. Lu
Consider a multivariate L\'evy-driven Ornstein-Uhlenbeck process where the stationary distribution or background driving L\'evy process is from a parametric family. We derive the likelihood function assuming that the innovation term is absolutely con
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9b6c9c3f81ffbb798760cb3c896f5fc0
http://arxiv.org/abs/2011.14542
http://arxiv.org/abs/2011.14542
Publikováno v:
Bernoulli 25, no. 1 (2019), 742-770
Subordinating a multivariate Levy process, the subordinate, with a univariate subordinator gives rise to a pathwise construction of a new Levy process, provided the subordinator and the subordinate are independent processes. The variance-gamma model
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fb2b9f7f63cb0685b764544bd93a4ac4
https://projecteuclid.org/euclid.bj/1544605262
https://projecteuclid.org/euclid.bj/1544605262
The weak variance-alpha-gamma process is a multivariate L��vy process constructed by weakly subordinating Brownian motion, possibly with correlated components with an alpha-gamma subordinator. It generalises the variance-alpha-gamma process of Se
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::add22a5a2a37c58894ffc0332a42d91d
http://arxiv.org/abs/1801.08852
http://arxiv.org/abs/1801.08852
Autor:
Kevin W. Lu
Publikováno v:
Bulletin of the Australian Mathematical Society. 100:518-519
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9637634bdaa9fe9c4cdb2fd652719143
https://doi.org/10.1017/s0004972719000662
https://doi.org/10.1017/s0004972719000662
Publikováno v:
Investing with Confidence: Understanding Political Risk Management in the 21st Century
"A investing with confidence: understanding political risk management in the 21st century", is based on papers at the 2008 symposium on international political risk management, host by the Multilateral Investment Guarantee Agency (MIGA) and Georgetow
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ed550813acf12a946ab3424733b4ba1f
https://doi.org/10.1596/978-0-8213-7893-9
https://doi.org/10.1596/978-0-8213-7893-9
'Investing with Confidence: Understanding Political Risk Management in the 21st Century'is the latest book in a series based on the MIGA–Georgetown University Symposium on International Political Risk Management. The most recent symposium brought t
Autor:
Martin Kerner, Kevin W. Lu
Publikováno v:
International Journal of Digital & Analog Communication Systems. 3:3-3
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::92f8a96c652ff90d21ac24a6002b0639
https://doi.org/10.1002/dac.4510030103
https://doi.org/10.1002/dac.4510030103