Levy Measure Decompositions for the Beta and Gamma Processes

Risk measurement and Implied volatility under Minimal Entropy Martingale Measure for Levy process

This paper focuses on two main issues that are based on two important concepts: exponential Levy process and minimal entropy martingale measure. First, we intend to obtain   risk measurement such as value-at-risk (VaR) and conditional value-at-risk (CvaR) using Monte-Carlo methodunder minimal entropy martingale measure (MEMM) for exponential Levy process. This Martingale measure is used for the...

A 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)

Lévy Measure Decompositions for the Beta and Gamma Processes (Supplementary material)

Conceptual Design and Simulation of Alpha-Beta Detector for Surface Contamination Measurements

The radioactive contamination measurement is essential in nuclear facilities. Monitoring of low level alpha and beta contamination is possible using light detectors high efficiency. Due to the fact that many detectors canchr('39')t simultaneously discriminate alpha, beta and gamma rays; among existing methods, phoswich detectors would be appropriate option to measure different radioactive conta...

A Sufficient Statistics Construction of Exponential Family Levy Measure Densities for Nonparametric Conjugate Models

Conjugate pairs of distributions over infinite dimensional spaces are prominent in machine learning, particularly due to the widespread adoption of Bayesian nonparametric methodologies for a host of models and applications. Much of the existing literature in the learning community focuses on processes possessing some form of computationally tractable conjugacy as is the case for the beta proces...