Modeling Inflation Dynamics with Fractional Brownian Motions and Lévy Processes

Mapping Intimacies ◽

10.5772/intechopen.92292 ◽

2020 ◽

Author(s):

Bodo Herzog

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Inflation Dynamics ◽

Brownian Motions ◽

Fractional Brownian Motions

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Integrability and concentration of the truncated variation for the sample paths of fractional Brownian motions, diffusions and Lévy processes

Bernoulli ◽

10.3150/13-bej574 ◽

2015 ◽

Vol 21 (1) ◽

pp. 437-464

Author(s):

Witold Marek Bednorz ◽

RafaŁ Marcin Ł ochowski

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Brownian Motions ◽

Fractional Brownian Motions ◽

Sample Paths ◽

Truncated Variation

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Representing the CGMY and Meixner Lévy processes as time changed Brownian motions

The Journal of Computational Finance ◽

10.21314/jcf.2008.181 ◽

2008 ◽

Vol 12 (1) ◽

pp. 27-47 ◽

Cited By ~ 54

Author(s):

Dilip Madan ◽

Marc Yor

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Brownian Motions

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Pathwise uniqueness of stochastic differential equations driven by Brownian motions and finite variation Lévy processes

Stochastics ◽

10.1080/17442508.2021.1914621 ◽

2021 ◽

pp. 1-20

Author(s):

Hiroshi Tsukada

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Lévy Processes ◽

Levy Processes ◽

Pathwise Uniqueness ◽

Finite Variation ◽

Brownian Motions

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Lévy Processes and Stochastic Calculus

10.1017/cbo9780511755323 ◽

2004 ◽

Cited By ~ 439

Author(s):

David Applebaum

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Stochastic Calculus

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Constrained Stochastic Differential Equations Driven by Fractional Brownian Motions: Stationarity and Parameter Estimation Problems

10.21236/ada591767 ◽

2013 ◽

Author(s):

Chihoon Lee

Keyword(s):

Parameter Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Brownian Motions ◽

Fractional Brownian Motions ◽

Estimation Problems

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Optimal Control of Stochastic Systems Driven by Fractional Brownian Motions

10.21236/ada614716 ◽

2014 ◽

Author(s):

Tyrone E. Duncan ◽

Bozenna Pasik-Duncan

Keyword(s):

Optimal Control ◽

Stochastic Systems ◽

Brownian Motions ◽

Fractional Brownian Motions

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On correlating Lévy processes

The Journal of Risk ◽

10.21314/jor.2010.219 ◽

2010 ◽

Vol 13 (1) ◽

pp. 3-16 ◽

Cited By ~ 36

Author(s):

Ernst Eberlein ◽

Dilip Madan

Keyword(s):

Lévy Processes ◽

Levy Processes

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Fast Pricing and Calculation of Sensitivities of OTM European Options Under Levy Processes

SSRN Electronic Journal ◽

10.2139/ssrn.1589809 ◽

2010 ◽

Cited By ~ 6

Author(s):

Sergei Z. Levendorskii ◽

Jiayao Xie

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

European Options

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Perpetual Put-Like and Call-Like American Options under Levy Processes, and Incremental Capital Expansion

SSRN Electronic Journal ◽

10.2139/ssrn.510423 ◽

2004 ◽

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Lévy Processes ◽

American Options ◽

Levy Processes

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Isolated singularities in the heat equation behaving like fractional Brownian motions

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2021.125322 ◽

2021 ◽

pp. 125322

Author(s):

Mikihiro Fujii ◽

Izumi Okada ◽

Eiji Yanagida

Keyword(s):

Heat Equation ◽

Isolated Singularities ◽

Brownian Motions ◽

Fractional Brownian Motions

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