منابع مشابه
Lévy processes with adaptable exponent
In this paper we consider Lévy processes without negative jumps, reflected at the origin. Feedback information about the level of the Lévy process (“workload level”) may lead to adaptation of the Lévy exponent. Examples of such models are queueing models in which the service speed or customer arrival rate changes depending on the workload level, and dam models in which the release rate depends ...
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We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. Under a symmetry condition Fajardo and Mordecki (2006) obtain that SK is given by the Bate’s x% rule. In this paper we study SK under the absence of that symmetry condition. More exactly, we derive sufficient conditions for SK to be positive, in terms of the characteristic triplet of the Lév...
متن کاملBandit Problems with Lévy Processes
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متن کاملMultifractional Processes with Random Exponent
Multifractional Processes with Random Exponent (MPRE) are obtained by replacing the Hurst parameter of Fractional Brownian Motion (FBM) with a stochastic process. This process need not be independent of the white noise generating the FBM. MPREs can be conveniently represented as random wavelet series. We will use this type of representation to study their Hölder regularity and their self-simila...
متن کاملAdaptable processes
We propose the concept of adaptable processes as a way of overcoming thelimitations that process calculi have for describing patterns of dynamic process evolution.Such patterns rely on direct ways of controlling the behavior and location of runningprocesses, and so they are at the heart of the adaptation capabilities present in manymodern concurrent systems. Adaptable processes ...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2009
ISSN: 0001-8678,1475-6064
DOI: 10.1017/s0001867800003189