Zobrazeno 1 - 10
of 8 467
pro vyhledávání: '"Lévy process"'
Publikováno v:
Systems Science & Control Engineering, Vol 12, Iss 1 (2024)
This paper is concerned with the optimal time-consistent investment and reinsurance strategies for mean-variance insurers with a general Lévy Process model. Expressly, the insurers are allowed to purchase proportional reinsurance and invest in a fin
Externí odkaz:
https://doaj.org/article/b5d789798ac74e02b2257cf679ab7b4d
Publikováno v:
Modern Stochastics: Theory and Applications, Vol 11, Iss 1, Pp 63-83 (2023)
In this article, a non-Gaussian long memory process is constructed by the aggregation of independent copies of a fractional Lévy Ornstein–Uhlenbeck process with random coefficients. Several properties and a limit theorem are studied for this new p
Externí odkaz:
https://doaj.org/article/1b9e00fb99c14397a1734f2ed7e4bc6c
Publikováno v:
Mathematics, Vol 12, Iss 19, p 2969 (2024)
The paper considers a bidimensional continuous-time risk model with subexponential claims and Brownian perturbations, in which the price processes of the investment portfolio of the two lines of business are two geometric Lévy processes and the two
Externí odkaz:
https://doaj.org/article/6edf5537587442199b6d500e79dbc91a
Publikováno v:
Mathematics, Vol 12, Iss 19, p 2976 (2024)
Marcus stochastic delay differential equations are often used to model stochastic dynamical systems with memory in science and engineering. It is challenging to study the existence, uniqueness, and probability density of Marcus stochastic delay diffe
Externí odkaz:
https://doaj.org/article/f4988fd0876044a3a81a321842fdc6de
Akademický článek
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Akademický článek
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Publikováno v:
AIMS Mathematics, Vol 8, Iss 10, Pp 22963-22983 (2023)
In this paper, we investigate a class of stochastic functional differential equations driven by the time-changed Lévy process. Using the Lyapunov technique, we obtain some sufficient conditions to ensure that the solutions of the considered equation
Externí odkaz:
https://doaj.org/article/7a9b46f7685a4428b892b0f7bb37cde6
Autor:
V.A. Litovchenko
Publikováno v:
Karpatsʹkì Matematičnì Publìkacìï, Vol 15, Iss 1, Pp 222-235 (2023)
We consider a pseudodifferential equation of parabolic type with a fractional power of the Laplace operator of order $\alpha\in(0;1)$ acting with respect to the spatial variable. This equation naturally generalizes the well-known fractal diffusion eq
Externí odkaz:
https://doaj.org/article/ef52dc756d8847f0b13d43da06604b33
Autor:
Kouji Yamamuro
Publikováno v:
International Journal of Mathematics for Industry, Vol 15, Iss 01 (2023)
Iterated stochastic integrals of nonrandom integrands are constructed in the two-dimensional case. They are applied to the velocity fluctuations in a two-dimensional flow and mean kinetic energy of the velocity fluctuations is discussed.
Externí odkaz:
https://doaj.org/article/3b4b33275d754837ad5622ef681bb5fb
Autor:
Kevin Z. Tong
Publikováno v:
Quantitative Finance and Economics, Vol 7, Iss 2, Pp 261-286 (2023)
In this paper, we extend the Fourier cosine expansion (COS) method to the pricing of {foreign exchange} target redemption note (FX-TARN), a popular exotic currency option. We take the FX spot rate and the cumulated positive cash flow as two state var
Externí odkaz:
https://doaj.org/article/71af9da56ce548a19dc6a9aaab537223