Asymptotics for <i>d</i>-Dimensional Levy-Type Processes
نویسندگان
چکیده
منابع مشابه
Levy processes for image modelling
Nonhomogenous random fields are known to be well adapted to modeling a wide class of images. Their computational complexity generally causes their lack of appeal, we propose a more efficient model capable of capturing textures, shapes, as well as jumps typically encountered in infra-red images. The so-called Levy Random fields as we show, can indeed represent a very well adapted alternative for...
متن کاملA weak approximation for the Extrema's distributions of Levy processes
Suppose that $X_{t}$ is a one-dimensional and real-valued L'evy process started from $X_0=0$, which ({bf 1}) its nonnegative jumps measure $nu$ satisfying $int_{Bbb R}min{1,x^2}nu(dx)
متن کاملPath Decompositions for Real Levy Processes
– Let X be a real Lévy process and let X↑ be the process conditioned to stay positive. We assume that 0 is regular for (−∞,0) and (0,+∞) with respect to X. Using elementary excursion theory arguments, we provide a simple probabilistic description of the reversed paths of X and X↑ at their first hitting time of (x,+∞) and last passage time of (−∞, x], on a fixed time interval [0, t], for a posit...
متن کاملA Wiener-Hopf Monte-Carlo simulation technique for Levy processes
We develop a completely new and straightforward method for simulating the joint law of the position and running maximum at a fixed time of a general Lévy process with a view to application in insurance and financial mathematics. Although different, our method takes lessons from Carr’s so-called “Canadization” technique as well as Doney’s method of stochastic bounds for Lévy processes; see Carr ...
متن کاملLevy Measure Decompositions for the Beta and Gamma Processes
We develop new representations for the Lévy measures of the beta and gamma processes. These representations are manifested in terms of an infinite sum of well-behaved (proper) beta and gamma distributions. Further, we demonstrate how these infinite sums may be truncated in practice, and explicitly characterize truncation errors. We also perform an analysis of the characteristics of posterior di...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2423909