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Professor Doron Levy，Department of Mathematics at the University of Maryland
Professor Doron Levy Department of Mathematics at the University of Maryland
2015/12/21
Professor Doron Levy，Department of Mathematics at the University of Maryland,I am a Professor of Mathematics and the Associate Chair for Undergraduate Studies at the University of Maryland, College Pa...
Associate Professor Julia Thom-Levy，Department of Physics at Cornell University（图）
Associate Professor Julia Thom-Levy Department of Physics at Cornell University
2015/9/16
Julia Thom-Levy, 1997, Hamburg University. Ph.D., 2001, Hamburg University. Research Assistant, Stanford Linear Accelerator Center (SLAC) 1997-2002. Research Associate, Fermi National Accelerator Labo...
Martingale transform and Levy Processes on Lie Groups
Martingale transform Levy Processes Lie Groups Probability
2012/6/29
This paper constructs a class of martingale transforms based on L\'evy processes on Lie groups. From these, a natural class of bounded linear operators on the $L^p$-spaces of the group (with respect t...
On the Finite Dimensional Joint Characteristic Function of Levy's Stochastic Area Processes
the Finite Dimensional Joint Characteristic Function Levy's Stochastic Area Processes Probability
2012/6/25
The goal of this paper is to derive a formula for the finite dimensional joint characteristic function (the Fourier transform of the finite dimensional distribution) of the coupled process ${(W_{t},L_...
Nonparametric inference on Levy measures and copulas
Copula Levy copula Levy measure Levy process nonparametric statistics Pareto Levy copula weak convergence
2012/5/25
In this paper nonparametric methods to assess the multivariate L\'evy measure are introduced. Starting from high-frequency observations of a L\'evy process X, we construct estimators for its tail inte...
Evolution of optimal Levy-flight strategies in human mental searches
Evolution of optimal Levy-flight strategies human mental searches Computer Science and Game Theory
2012/4/20
Recent analysis of empirical data [F. Radicchi, A. Baronchelli & L.A.N. Amaral. PloS ONE {\bf 7}, e029910 (2012)] showed that humans adopt L\'evy flight strategies when exploring the bid space in on-l...
FunctionaL Regular Variation of Levy-driven Multivariate Mixed Moving Average Processes
cadlag sample paths functional regular variation heavy tails Levy basis mixed moving average process
2012/4/18
We consider the functional regular variation in the space $\mathbb{D}$ of c\`adl\`ag functions of multivariate mixed moving average (MMA) processes of the type $X_t = \int\int f(A, t - s) \Lambda (d A...
Asymptotic behaviour of first passage time distributions for Levy processes
Levy processes first passage time distribution local limit theorems fluctuation theory
2011/9/19
Abstract: Let $X$ be a real valued L\'evy process that is in the domain of attraction of a stable law without centering with norming function $c.$ As an analogue of the random walk results in \cite{vw...
On the density of exponential functionals of Levy processes
Levy processes exponential functional subordinators self-similar Markov processes
2011/9/14
Abstract: In this paper, we study the existence of the density associated to the exponential functional of the L\'evy process $\xi$, \[ I_{\ee_q}:=\int_0^{\ee_q} e^{\xi_s} \, \mathrm{d}s, \] where $\e...
Abstract: We present a new representation for the Levy chordal area for a two-dimensional Wiener process conditioned on its endpoints. This is based on an infinite weighted sum of Logistic random vari...
Semigroup modeling of confined Levy flights
Semigroup modeling confined Levy flights Statistical Mechanics
2011/7/27
Abstract: The master equation for confined Levy flights admits a transformation to a contractive strongly continuous semigroup dynamics. We address the ground-state (and the resultant probability dens...
American Step-Up and Step-Down Credit Default Swaps under Levy Models
optimal stopping credit default swaps step-up and step-down options
2011/3/2
This paper studies the valuation of a class of credit default swaps (CDSs) with the embedded
option to switch to a different premium and notional principal anytime prior to a credit event.
Finite Variation of Fractional Levy Processes
finite variation fractional integration fractional L´ evy process
2011/3/1
Various characterizations for fractional L´evy process to be of finite variation are obtained, one of which is in terms of the characteristic triplet of the driving L´evy process, while ot...
An $f$-divergence approach for optimal portfolios in exponential Levy models
f-divergence exponential Levy models optimal portfolio
2011/1/21
We present a unified approach to get explicit formulas for utility maximising strategies in Exponential Levy models. This approach is related to f-divergence minimal martingale measures and based on a...
Rational term structure models with geometric Levy martingales
Rational term structure models geometric Levy martingales
2011/3/2
In the \positive interest" models of Flesaker and Hughston, the nominal discount bond system is determined by the speci cation of a one-parameter family of positive martingales.