Results 1  10
of
573
Chaotic and predictable representations for LÃ evy processes
, 2000
"... Abstract The only normal martingales which posses the chaotic representation property and the weaker predictable representation property and which are at the same time also LÃ evy processes, are in essence Brownian motion and the compensated Poisson process. For a general LÃ evy process (satisfying ..."
Abstract
 Add to MetaCart
Abstract The only normal martingales which posses the chaotic representation property and the weaker predictable representation property and which are at the same time also LÃ evy processes, are in essence Brownian motion and the compensated Poisson process. For a general LÃ evy process
PRICING OF THE AMERICAN PUT UNDER L¶EVY PROCESSES
"... Abstract. We consider the American put with the flnite time horizon, T, assuming that under a chosen equivalent martingale measure stock returns follow a regular L¶evy process of exponential type. We formulate the free boundary value problem for the price of the American put, and develop the nonGa ..."
Abstract
 Add to MetaCart
Abstract. We consider the American put with the flnite time horizon, T, assuming that under a chosen equivalent martingale measure stock returns follow a regular L¶evy process of exponential type. We formulate the free boundary value problem for the price of the American put, and develop the non
Ruin probabilities for L'evy processes with mixedexponential negative jumps
 Theory of Probability and its Applications
, 1999
"... Closed form of the ruin probability for a L'evy processes, possible killed at a constant rate, with arbitrary positive, and mixed exponentially negative jumps is given. Keywords: Ruin probability, closed form, L'evy process, mixedexponential distributions. 1 Introduction 1.1 Let X = fX ..."
Abstract

Cited by 10 (4 self)
 Add to MetaCart
Closed form of the ruin probability for a L'evy processes, possible killed at a constant rate, with arbitrary positive, and mixed exponentially negative jumps is given. Keywords: Ruin probability, closed form, L'evy process, mixedexponential distributions. 1 Introduction 1.1 Let X = f
Splitting of Poisson noise and L'evy processes on real Lie algebras
"... Abstract The compensated Poisson noise is expressed as a composite sum (splitting) of creation and annihilation operators, whose probabilistic interpretation relies on time changes. We construct an It^o table for this decomposition and obtain continuous and discrete time realizations of L'evy p ..."
Abstract
 Add to MetaCart
Abstract The compensated Poisson noise is expressed as a composite sum (splitting) of creation and annihilation operators, whose probabilistic interpretation relies on time changes. We construct an It^o table for this decomposition and obtain continuous and discrete time realizations of L'evy
Stochastic Volatility for Lévy Processes
, 2001
"... Three processes re°ecting persistence of volatility are initially formulated by evaluating three L¶evy processes at a time change given by the integral of a mean reverting square root process. The model for the mean reverting time change is then generalized to include NonGaussian models that are so ..."
Abstract

Cited by 209 (12 self)
 Add to MetaCart
Three processes re°ecting persistence of volatility are initially formulated by evaluating three L¶evy processes at a time change given by the integral of a mean reverting square root process. The model for the mean reverting time change is then generalized to include NonGaussian models
Extending the Theory of Planned Behavior: A Review and Avenues for Further Research
 Journal of Applied Social Psychology
, 1998
"... This paper describes and reviews the theory of planned behavior (TPB). The focus is on evidence supporting the further extension of the TPB in various ways. Empirical and theoretical evidence to support the addition of 6 variables to the TPB is reviewed: belief salience measures, past behaviodhabit, ..."
Abstract

Cited by 230 (7 self)
 Add to MetaCart
, perceived behavioral control (PBC) vs. selfefficacy, moral norms, selfidentity, and affective beliefs. In each case there appears to be growing empirical evidence to support their addition to the TPB and some understanding of the processes by which they may be related to other TPB variables, inten
The multifractal nature of Lévy processes
"... . We show that the sample paths of most L'evy processes are multifractal functions and we determine their spectrum of singularities. Key Words. L'evy processes, multifractals, Holder singularities, Hausdorff dimensions, spectrum of singularities. AMS Classification. 28A80, 60G17, 60G30, ..."
Abstract

Cited by 43 (3 self)
 Add to MetaCart
. We show that the sample paths of most L'evy processes are multifractal functions and we determine their spectrum of singularities. Key Words. L'evy processes, multifractals, Holder singularities, Hausdorff dimensions, spectrum of singularities. AMS Classification. 28A80, 60G17, 60G30
On The Distribution And Asymptotic Results For Exponential Functionals Of Lévy Processes
, 1997
"... The aim of this note is to study the distribution and the asymptotic behavior of the exponential functional A t := R t 0 e s ds, where ( s ; s 0) denotes a L'evy process. When A1 ! 1, we show that in most cases, the law of A1 is a solution of an integrodifferential equation ; moreover, ..."
Abstract

Cited by 105 (11 self)
 Add to MetaCart
The aim of this note is to study the distribution and the asymptotic behavior of the exponential functional A t := R t 0 e s ds, where ( s ; s 0) denotes a L'evy process. When A1 ! 1, we show that in most cases, the law of A1 is a solution of an integrodifferential equation ; moreover
Results 1  10
of
573