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Advanced Search Results For "LEVY processes"

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 "LEVY processes"
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TAIL BEHAVIOR OF STOPPED LÉVY PROCESSES WITH MARKOV MODULATION.

Publication Type: Academic Journal

Source(s): Econometric Theory. Oct2022, Vol. 38 Issue 5, p986-1013. 28p.

Abstract: This article concerns the tail probabilities of a light-tailed Markov-modulated Lévy process stopped at a state-dependent Poisson rate. The tails are shown to decay exponentially at rates given by the unique positive and negative roots of the spectral ...

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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation.

Publication Type: Academic Journal

Source(s): Finance & Stochastics. Oct2022, Vol. 26 Issue 4, p671-732. 62p.

Abstract: We develop a computational method for expected functionals of the drawdown and its duration in exponential Lévy models. It is based on a novel simulation algorithm for the joint law of the state, supremum and time the supremum is attained of the Gaussi...

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Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes.

Publication Type: Academic Journal

Source(s): Communications in Statistics: Simulation & Computation. 2022, Vol. 51 Issue 12, p7226-7245. 20p.

Abstract: In this paper, a risk model driven by spectrally negative Lévy processes is considered where dividends until a general draw-down time are paid under a constant barrier strategy. In this model, the moments of the sum of the discounted dividend payments ...

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Buoyancy energy driven archimedes optimization algorithm based on Lévy flight and tangent flight.

Publication Type: Academic Journal

Source(s): Journal of Intelligent & Fuzzy Systems. 2022, Vol. 43 Issue 6, p7173-7197. 25p.

Abstract: Archimedes optimization algorithm (AOA) is a metaheuristic algorithm inspired by the Archimedes physical law. It simulates the principle of buoyancy applied upward to partially or completely submerged objects. The decay energy of buoyancy, Lévy flight ...

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The Parisian and ultimate drawdowns of Lévy insurance models.

Publication Type: Academic Journal

Source(s): Insurance: Mathematics & Economics. Nov2022, Vol. 107, p140-160. 21p.

Abstract: In this paper, inspired by the ideas of Parisian ruin and ultimate bankruptcy, we introduce two new stopping times for the (general) drawdown process, namely, the Parisian drawdown and ultimate drawdown under the exponential implementation delays. We p...

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An enhanced honey badger algorithm based on Lévy flight and refraction opposition-based learning for engineering design problems.

Publication Type: Academic Journal

Source(s): Journal of Intelligent & Fuzzy Systems. 2022, Vol. 43 Issue 4, p4517-4540. 24p.

Abstract: Honey badger algorithm (HBA) is a recently developed meta-heuristic algorithm, which mainly simulates the dynamic search behavior of honey badger in wild nature. Similar to other basic algorithms, HBA may suffer from the weakness of poor convergence ac...

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Gas of sub-recoiled laser cooled atoms described by infinite ergodic theory.

Publication Type: Academic Journal

Source(s): Journal of Chemical Physics. 1/28/2022, Vol. 156 Issue 4, p1-21. 21p.

Abstract: The velocity distribution of a classical gas of atoms in thermal equilibrium is the normal Maxwell distribution. It is well known that for sub-recoiled laser cooled atoms, Lévy statistics and deviations from usual ergodic behavior come into play. In a ...

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Investments with declining cost following a Lévy process.

Publication Type: Academic Journal

Source(s): European Journal of Operational Research. Feb2023, Vol. 304 Issue 3, p1052-1062. 11p.

Authors:

Abstract: • Using methods from fluctuation theory to solve certain irreversible investment problems. • Explicit expression for the critical value of when the investment should be done. • Representing the solution as an inverse Laplace transform. We consider an o...

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Entropic Compressibility of Lévy Processes.

Publication Type: Academic Journal

Source(s): IEEE Transactions on Information Theory. Aug2022, Vol. 68 Issue 8, p4949-4963. 15p.

Abstract: In contrast to their seemingly simple and shared structure of independence and stationarity, Lévy processes exhibit a wide variety of behaviors, from the self-similar Wiener process to piecewise-constant compound Poisson processes. Inspired by the rece...

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Cutoff profiles for quantum Lévy processes and quantum random transpositions.

Publication Type: Academic Journal

Source(s): Probability Theory & Related Fields. Aug2022, Vol. 183 Issue 3/4, p1285-1327. 43p.

Abstract: Résumé: Nous considérons un analogue naturel du mouvement brownien sur les groupes libres quantiques orthogonaux et montrons qu'il a une coupure au temps N ln (N) . Nous étudions ensuite le processus classique induit sur la droite réelle et calculons s...

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