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2001, 1st ed., Handbook of statistics (Amsterdam, Netherlands), ISBN 9780444500144, Volume 19, xvii, 967
Book
2003, Wiley series in probability and statistics, ISBN 0470851562
eBook
2010, ISBN 9780521765428, xiii, 188
Stochastic processes are an essential part of numerous branches of physics, as well as in biology, chemistry, and finance... 
Lévy processes | Stochastic processes | Mathematical physics | Rauschen | Levy processes
Book
2011, The Frank J. Fabozzi series, ISBN 0470482354, xx, 384
... with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical... 
Capital assets pricing model | Mathematical models | Lévy processes | Finance | Probabilities | General | BUSINESS & ECONOMICS
Book
2016, 2nd edition., De Gruyter studies in mathematics, ISBN 3110378086, Volume 54, x, 278
Book
Journal of optimization theory and applications, ISSN 0022-3239, 1/2017, Volume 172, Issue 1, pp. 309 - 327
Journal Article
Stochastic processes and their applications, ISSN 0304-4149, 04/2019, Volume 129, Issue 4, pp. 1443 - 1454
This work concerns the Ornstein–Uhlenbeck type process associated to a positive self-similar Markov process (X(t))t≥0 which drifts to ∞, namely U(t)≔e−tX(et−1... 
Stationarity | Ornstein–Uhlenbeck type process | Self-similar Markov process | Darling–Kac theorem | Lévy process | Exponential functional | Statistics & Probability | Physical Sciences | Mathematics | Science & Technology | Markov processes
Journal Article
1999, Cambridge studies in advanced mathematics, ISBN 9780521553025, Volume 68, xii, 486
Book
Journal of multivariate analysis, ISSN 0047-259X, 2007, Volume 98, Issue 9, pp. 1705 - 1725
...) process defined by Brockwell [Representations of continuous-time ARMA processes, J. Appl. Probab. 41 (A) (2004) 375–382] is introduced. We show that the multivariate FICARMA process has two kernel representations... 
Multivariate stochastic integral | Fractional integration | FICARMA process | Fractional Lévy process | Lévy process | CARMA process | Statistics & Probability | Physical Sciences | Mathematics | Science & Technology | CARMA process FICARMA process Fractional integration Fractional Lévy process Lévy process Multivariate stochastic integral | Studies | Probability | Integration | Stochastic models | Multivariate analysis
Journal Article
2004, CAMBRIDGE STUDIES IN ADVANCED MATHEMATICS; 93., ISBN 0521832632, Volume 93, 410
Lévy processes form a wide and rich class of random process, and have many applications ranging from physics to finance... 
Lévy processes | Stochastic analysis | Levy processes
Book
Stochastic processes and their applications, ISSN 0304-4149, 06/2007, Volume 117, Issue 6, pp. 677 - 707
Journal Article
2002, Astérisque, ISBN 2856291287, Volume 281., iv, 146
Book
Journal of applied probability, ISSN 0021-9002, 06/2007, Volume 44, Issue 2, pp. 428 - 443
...), which concerns the optimal payment of dividends from an insurance risk process prior to ruin. Specifically, we build on recent work in the actuarial literature concerning... 
Insurance risk process | Reflected Lévy process | Integrated exponential Lévy process | Passage problem | Ruin | Statistics & Probability | Physical Sciences | Mathematics | Science & Technology | insurance risk process | 60K05 | 60G70 | passage problem | 60K15 | ruin | 91B30 | integrated exponential Lévy process | 60J55
Journal Article
2013, De Gruyter studies in mathematics, ISBN 9783110282009, Volume 54, viii, 266
Book
2019, Universitext, ISBN 9789813297401, 363
The present book deals with a streamlined presentation of Lévy processes and their densities... 
Probability Theory and Stochastic Processes | Mathematics | Functional Analysis | Mathematics and Statistics | Partial Differential Equations
eBook
2007, Oxford graduate texts in mathematics, ISBN 9780199215256, Volume 14, xix, 608
This graduate level text covers the theory of stochastic integration, an important area of Mathematics with a wide range of applications, including financial... 
Stochastic integrals | Stochastic processes | Martingales (Mathematics)
Book