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2003, Wiley series in probability and statistics, ISBN 0470851562
eBook
2002, Astérisque, ISBN 2856291287, Volume 281., iv, 146
Book
Journal Article
2015, 1st ed. 2015, Probability theory and stochastic modelling, ISBN 9783319258188, Volume 76, xviii, 323
A simplified approach to Malliavin calculus adapted to Poisson random measures is developed and applied in this book. Called the "lent particle method" it is... 
Dirichlet forms | Lévy processes | Poisson processes | Distribution (Probability theory | Probability Theory and Stochastic Processes | Mathematics | Levy processes
Book
1996, Cambridge tracts in mathematics, ISBN 9780521562430, Volume 121., x, 265
Book
2016, 2nd edition., De Gruyter studies in mathematics, ISBN 3110378086, Volume 54, x, 278
Book
2001, 1st ed., Handbook of statistics, ISBN 9780444500144, Volume 19., xvii, 967
Book
2011, The Frank J. Fabozzi series, ISBN 0470482354, xx, 384
An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy... 
Capital assets pricing model | Mathematical models | Lévy processes | Finance | Probabilities | General | BUSINESS & ECONOMICS
Book
Journal of Optimization Theory and Applications, ISSN 0022-3239, 1/2017, Volume 172, Issue 1, pp. 309 - 327
Journal Article
2010, ISBN 9780521765428, xiii, 188
Stochastic processes are an essential part of numerous branches of physics, as well as in biology, chemistry, and finance. This textbook provides a solid... 
Lévy processes | Stochastic processes | Mathematical physics | Rauschen | Levy processes
Book
Indagationes Mathematicae, ISSN 0019-3577, 09/2019, Volume 30, Issue 5, pp. 796 - 804
We demonstrate that two Ornstein–Uhlenbeck processes, that is, solutions to certain stochastic differential equations that are driven by a Lévy process have... 
Lévy–itô decomposition | Wiener process | Ornstein–Uhlenbeck process | SDE | Girsanov’s theorem | Lévy process | SPACE | MATHEMATICS | Ornstein-Uhlenbeck process | Levy process | Levy-ito decomposition | Girsanov's theorem | Laws, regulations and rules | Differential equations
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 which drifts to , namely . We point out that is... 
Stationarity | Ornstein–Uhlenbeck type process | Self-similar Markov process | Darling–Kac theorem | Lévy process | Exponential functional | SIMILAR MARKOV-PROCESSES | Darling-Kac theorem | Levy process | CONVERGENCE | STATISTICS & PROBABILITY | DRIVEN | Ornstein-Uhlenbeck type process | EXPONENTIAL FUNCTIONALS | Markov processes
Journal Article
Stochastic Processes and their Applications, ISSN 0304-4149, 12/2019, Volume 129, Issue 12, pp. 5406 - 5449
A level-dependent Lévy process solves the stochastic differential equation , where is a spectrally negative Lévy process. A special case is a multi-refracted... 
Level-dependent Lévy process | Refracted Lévy process | Multi-refracted Lévy process | Lévy process | Fluctuation theory | Volterra equation | Refracted Levy process | ORNSTEIN-UHLENBECK PROCESSES | Multi-refracted Levy process | Levy process | Level-dependent Levy process | STATISTICS & PROBABILITY | Differential equations
Journal Article
2013, De Gruyter studies in mathematics, ISBN 9783110282009, Volume 54, viii, 266
Book
2004, Cambridge tracts in mathematics, ISBN 0521836530, Volume 162, x, 266
The theory of Lévy processes in Lie groups is not merely an extension of the theory of Lévy processes in Euclidean spaces. Because of the unique structures... 
Lévy processes | Lie groups | Laevy processes | Levy processes
Book
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