On the likelihood function of small time variance Gamma Lévy processes

Statistics ◽  
2014 ◽  
Vol 49 (1) ◽  
pp. 63-83 ◽  
Author(s):  
Reiichiro Kawai
Keyword(s):  
Lévy Processes ◽  
Likelihood Function ◽  
Levy Processes ◽  
Small Time ◽  
Variance Gamma ◽  
Time Variance

Small-time moment asymptotics for Lévy processes

2008 ◽  
Vol 78 (18) ◽  
pp. 3355-3365 ◽  
Author(s):  
José E. Figueroa-López
Keyword(s):  
Lévy Processes ◽  
Time Moment ◽  
Levy Processes ◽  
Small Time

scholarly journals Small time Chung-type LIL for Lévy processes

Bernoulli ◽  
2013 ◽  
Vol 19 (1) ◽  
pp. 115-136 ◽  
Author(s):  
Frank Aurzada ◽  
Leif Döring ◽  
Mladen Savov
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Small Time

Levy Processes Simulation for Modeling in Bioinformatics

2020 ◽  
Vol 10 (1) ◽  
pp. 55-64
Author(s):  
Anna V. Kuzmina
Keyword(s):  
Process Simulation ◽  
Efficient Algorithm ◽  
Stock Price ◽  
Lévy Processes ◽  
Applied Research ◽  
Levy Processes ◽  
Gamma Process ◽  
Variance Gamma ◽  
R Language ◽  
Variance Gamma Process

This article discusses the capabilities of the R language for modeling Levy processes, processes that currently most closely correspond to the nature of the evolution of stock price movements. The efficient algorithm of the CGMY process simulation as a difference of the tempered stable independent Levy is processed and programmed with the R language. The efficient algorithm of variance gamma process simulation using variance gamma random variables is processed and programmed with the R language. The article is focused on an entirely new area relevant to the scope of the International Journal of Applied Research in Bioinformatics (IJARB).

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