Ślad i (nie)obecność w twórczości Evy Kmentowej

L Evy-driven Continuous-time Arma Processes

Gaussian ARMA processes with continuous time parameter, otherwise known as stationary continuous-time Gaussian processes with rational spectral density , have been of interest for many years. In the last twenty years there has been a resurgence of interest in continuous-time processes, partly as a result of the very successful application of stochastic diierential equation models to problems in...

Stochastic Volatility for L¶evy Processes

Three processes re°ecting persistence of volatility are formulated by evaluating three L¶evy processes at a time change given by the integral of a square root process. A positive stock price process is then obtained by exponentiating and mean correcting these processes, or alternatively by stochastically exponentiating the processes. The characteristic functions for the log price can be used to...

Graded Radical W Type Lie Algebras I

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his study was carried out to determine the importance of type 2 Diabetes mellitus as a risk factor for osteoporosis in postmenopausal women. Materials and Methods: This study was conducted in 2004 on 40 diabetic and 40 healthy postmenopausal women attending the endocrine clinics in Zanjan. These two groups were matched in terms of age, length of their menopausal period and body mass index. Seru...

Exponential functionals of Le19 evy processes

Throughout this work, we shall consider a real-valued Lévy process ξ = (ξt, t ≥ 0), refering to [5, 60] for background. This means that the process ξ starts from ξ0 = 0, has right-continuous paths with left-limits, and if (Ft)t≥0 denotes the natural filtration generated by ξ, then the increment ξt+s − ξt is independent of Ft and has the same law as ξs for every s, t ≥ 0. It is well-known (see e...