Search Results - "LEVY processes"

Multivariate Lévy models: calibration and pricing.

Authors: Amici, Giovanni Brandimarte, Paolo Messeri, Francesco et al.

Source: OR Spectrum. Dec2025, Vol. 47 Issue 4, p1379-1420. 42p.

Subject Terms: *PRICES, *INVESTMENT information, *FINANCIAL instruments, *EMPIRICAL research, CALIBRATION, LEVY processes

On the Voigt profile and its dual.

Authors: Cannas, Massimo¹ (AUTHOR) massimo.cannas@unica.it

Source: Communications in Statistics: Theory & Methods. Nov2025, p1-15. 15p. 3 Illustrations.

Subject Terms: *GAUSSIAN distribution, *PARAMETER estimation, *DISTRIBUTION (Probability theory), LEVY processes, PROBABILITY density function, MIXTURE distributions (Probability theory)

Poisson-stopped sum Lévy-type processes with application to stochastic modeling of hospital arrivals.

Authors: Singh, Harpreet Ong, Seng Huat Ng, Choung Min et al.

Source: Communications in Statistics: Simulation & Computation. 2025, Vol. 54 Issue 11, p4712-4725. 14p.

Subject Terms: *STOCHASTIC models, *RESOURCE allocation, *HOSPITAL administration, *STOCHASTIC processes, LEVY processes, NEGATIVE binomial distribution, SKEWNESS (Probability theory)

On the spectrally negative Lévy risk process with mixed dividends and capital injections.

Authors: Dong, Hua Zhao, Xianghua Dai, Hongshuai

Source: Communications in Statistics: Theory & Methods. 2025, Vol. 54 Issue 22, p7318-7335. 18p.

Subject Terms: *DIVIDENDS, *STOCHASTIC processes, *RISK assessment, LEVY processes, DIVIDEND policy

Rough weak solutions for singular Lévy SDEs.

Authors: Kremp, Helena Perkowski, Nicolas

Source: Probability Theory & Related Fields. Oct2025, Vol. 193 Issue 1/2, p483-537. 55p.

Subject Terms: LEVY processes, STOCHASTIC differential equations, MARTINGALES (Mathematics), ITO calculus, STABILITY theory, STOCHASTIC integrals

On the area between a Lévy process with secondary jump inputs and its reflected version.

Authors: Kella, Offer Mandjes, Michel

Source: Stochastic Models. 2025, Vol. 41 Issue 3, p337-355. 19p.

Subject Terms: *STOCHASTIC processes, LEVY processes, ASYMPTOTIC normality, STIELTJES transform

Analysis of a stochastic hybrid Gompertz tumor growth model driven by Lévy noise.

Authors: Hu, Guixin Li, Bingqing Geng, Zhihao

Source: Stochastic Models. 2025, Vol. 41 Issue 3, p315-336. 22p.

Subject Terms: *MARKOV processes, *STOCHASTIC processes, TUMOR growth, LEVY processes, STABILITY theory, WHITE noise, GOMPERTZ functions (Mathematics)

Joint Tail Probability of Renewal Models of Dependent Heavy‐Tailed Random Variables With Applications to Systemic Risk Measures.

Authors: Zou, Lei Peng, Jiangyan Xu, Chenghao

Source: Applied Stochastic Models in Business & Industry. Jul/Aug2025, Vol. 41 Issue 4, p1-10. 10p.

Subject Terms: *SYSTEMIC risk (Finance), *STOCHASTIC models, *RANDOM variables, LEVY processes, DEPENDENT variables, NUMERICAL analysis, ASYMPTOTIC analysis

A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance.

Authors: Bianchi, Michele Leonardo Hitaj, Asmerilda Tassinari, Gian Luca

Source: Annals of Operations Research. Sep2025, Vol. 352 Issue 3, p859-900. 42p.

Subject Terms: *FINANCIAL services industry, *MULTIVARIATE analysis, *ANALYSIS of covariance, *PARAMETER estimation, *RATE of return, LEVY processes, CONTINUOUS time systems, NONLINEAR analysis

On the Multi-Periodic Threshold Strategy for the Spectrally Negative Lévy Risk Model.

Authors: Shen, Sijia Yu, Zijing Liu, Zhang

Source: Risks. Sep2025, Vol. 13 Issue 9, p162. 28p.

Subject Terms: *DIVIDENDS, *RISK assessment, *CAPITAL allocation, *STOCHASTIC processes, LEVY processes, COMPUTER simulation, INTEGRO-differential equations

On occupation times of a spectrally negative Lévy risk process with a mixed dividend strategy.

Authors: Dong, Hua¹ (AUTHOR) sddh1978@126.com

Source: Mathematical Foundations of Computing. Dec2025, Vol. 8 Issue 6, p1-11. 11p.

Subject Terms: *LAPLACE transformation, *LEVY processes, *ACTUARIAL science, *STOCHASTIC processes, *RISK aversion, DIVIDEND policy

The Stability and Convergence of Carathéodory Approximate Solutions for Nonlinear SDEs With G‐Lévy Jumps.

Authors: Ullah, Rahman Faizullah, Faiz

Source: Mathematical Methods in the Applied Sciences. Dec2025, Vol. 48 Issue 18, p16295-16302. 8p.

Subject Terms: *STOCHASTIC differential equations, *LEVY processes, *MATHEMATICAL analysis, *APPROXIMATION error, *PROBABILITY theory, *STABILITY theory

Multiple Normalized Solutions for a Class of Elliptic Equations With Mixed Fractional Laplacians.

Authors: Jiang, Ruibin Xie, Qihuan

Source: Mathematical Methods in the Applied Sciences. 11/15/2025, Vol. 48 Issue 16, p15289-15299. 11p.

Subject Terms: *ELLIPTIC equations, *LEVY processes, *LAPLACIAN operator, *CRITICAL point theory, *WIENER processes, *NONLINEAR analysis

Long-Term Behavior of Lotka–Volterra Model with Lévy Jump in Countable State-Dependent Environments.

Authors: Ji, Huijie Yu, Ping Sun, Hongxia et al.

Source: Mathematics (2227-7390). Nov2025, Vol. 13 Issue 21, p3566. 23p.

Subject Terms: *LOTKA-Volterra equations, *LEVY processes, *PHASE space, *STOCHASTIC processes, *ECOLOGICAL models, *MATRICES (Mathematics), *MUTUALISM (Biology)

Lévy flights and leaky boxes: anomalous diffusion of cosmic rays Open Access.

Authors: Liang, Naixin Oh, S Peng

Source: Monthly Notices of the Royal Astronomical Society. Nov2025, Vol. 543 Issue 3, p1911-1934. 24p.

Subject Terms: *COSMIC rays, *LEVY processes, *GAUSSIAN distribution, *MAGNETIC fields, *FICK'S laws of diffusion, *MONTE Carlo method

Exponentially accurate spectral Monte Carlo method for linear PDEs and their error estimates.

Authors: Feng, Jiaying Sheng, Changtao Xu, Chenglong

Source: Applied Numerical Mathematics. Nov2025, Vol. 217, p278-297. 20p.

Subject Terms: *LEVY processes, *LINEAR differential equations, *NUMERICAL calculations, *NUMERICAL analysis, *JACOBI polynomials, *APPROXIMATION error, *ITERATIVE methods (Mathematics)

Thorin processes and their subordination.

Authors: Torricelli, Lorenzo¹ (AUTHOR) lorenzo.torricelli2@unibo.it

Source: Scandinavian Actuarial Journal. May2025, p1-39. 39p.

Subject Terms: *STOCHASTIC processes, LEVY processes, GAMMA distributions, PROBABILITY density function

Spectrally negative Lévy risk model under ratcheting dividend strategy and capital injections with transaction costs.

Authors: Sun, Fuyun Zhu, Dan

Source: Communications in Statistics: Theory & Methods. Jun2025, p1-22. 22p. 2 Illustrations.

Subject Terms: *TRANSACTION costs, *DIVIDENDS, *RESOURCE allocation, LEVY processes, MATHEMATICAL functions, WIENER processes

Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models.

Authors: Cuchiero, Christa Primavera, Francesca Svaluto-Ferro, Sara

Source: Finance & Stochastics. Apr2025, Vol. 29 Issue 2, p289-342. 54p.

Subject Terms: *PRICES, LEVY processes, TENSOR algebra, CONTINUOUS functions, JUMP processes

Efficient evaluation of expectations of functions of a Lévy process and its extremum.

Authors: Boyarchenko, Svetlana Levendorskiĭ, Sergei

Source: Finance & Stochastics. Apr2025, Vol. 29 Issue 2, p443-468. 26p.

Subject Terms: *OPTIONS (Finance), *VALUE (Economics), *PRICES, LEVY processes, CUMULATIVE distribution function