Selfdecomposability and selfsimilarity: a concise primer

DOI10.1016/j.physa.2007.11.036zbMath1395.60018arXiv0708.1239OpenAlexW2153805635MaRDI QIDQ1672921

Nicola Cufaro Petroni

Publication date: 11 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.1239

zbMATH Keywords

Lévy processesadditive processesselfsimilarityselfdecomposability

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Self-similar stochastic processes (60G18)

Related Items (12)

Coupling Poisson processes by self-decomposability ⋮ Normal Tempered Stable Processes and the Pricing of Energy Derivatives ⋮ A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets ⋮ Gamma-related Ornstein–Uhlenbeck processes and their simulation* ⋮ Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives ⋮ Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes ⋮ Pricing exchange options with correlated jump diffusion processes ⋮ Correlating Lévy processes with self-decomposability: applications to energy markets ⋮ Exact simulation of normal tempered stable processes of OU type with applications ⋮ Markov processes and generalized Schrödinger equations ⋮ Fast simulation of tempered stable Ornstein-Uhlenbeck processes ⋮ MASS SPECTRUM FROM STOCHASTIC LÉVY-SCHRÖDINGER RELATIVISTIC EQUATIONS: POSSIBLE QUALITATIVE PREDICTIONS IN QCD

Cites Work

• Self-similar processes with independent increments
• An Introduction to Magnetohydrodynamics
• SELF-DECOMPOSABILITY AND OPTION PRICING
• The Dilogarithm Function of a Real Argument
• Option Pricing With V. G. Martingale Components¹
• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing
• Fractional Brownian Motions, Fractional Noises and Applications
• Student processes
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