scholarly journals ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES

2016 ◽  
Vol 28 (1) ◽  
pp. 82-105 ◽  
Author(s):  
ARIEL NEUFELD ◽  
MARCEL NUTZ
Keyword(s):  
Lévy Processes ◽  
Utility Maximization ◽  
Levy Processes ◽  
Robust Utility Maximization

scholarly journals BSDEs and log-utility maximization for Lévy processes

2019 ◽  
pp. 479-494
Author(s):  
Paolo Di Tella ◽  
Hans-Jürgen Engelbert
Keyword(s):  
Lévy Processes ◽  
Utility Maximization ◽  
Levy Processes

Lévy Processes and Stochastic Calculus

2004 ◽  
Author(s):  
David Applebaum
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Stochastic Calculus

On correlating Lévy processes

2010 ◽  
Vol 13 (1) ◽  
pp. 3-16 ◽  
Author(s):  
Ernst Eberlein ◽  
Dilip Madan
Keyword(s):  
Lévy Processes ◽  
Levy Processes

Fast Pricing and Calculation of Sensitivities of OTM European Options Under Levy Processes

2010 ◽  
Author(s):  
Sergei Z. Levendorskii ◽  
Jiayao Xie
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
European Options

Perpetual Put-Like and Call-Like American Options under Levy Processes, and Incremental Capital Expansion

2004 ◽  
Author(s):  
Svetlana I. Boyarchenko ◽  
Sergei Z. Levendorskii
Keyword(s):  
Lévy Processes ◽  
American Options ◽  
Levy Processes

scholarly journals CLASSICAL MARKOV PROCESSES FROM QUANTUM LÉVY PROCESSES

1999 ◽  
Vol 02 (01) ◽  
pp. 105-129 ◽  
Author(s):  
UWE FRANZ
Keyword(s):  
Markov Process ◽  
Hopf Algebra ◽  
Markov Processes ◽  
Lévy Processes ◽  
Sufficient Conditions ◽  
Markov Property ◽  
Vacuum State ◽  
Levy Processes ◽  
Quantum Process ◽  
Quantum Markov Processes

We show how classical Markov processes can be obtained from quantum Lévy processes. It is shown that quantum Lévy processes are quantum Markov processes, and sufficient conditions for restrictions to subalgebras to remain quantum Markov processes are given. A classical Markov process (which has the same time-ordered moments as the quantum process in the vacuum state) exists whenever we can restrict to a commutative subalgebra without losing the quantum Markov property.8 Several examples, including the Azéma martingale, with explicit calculations are presented. In particular, the action of the generator of the classical Markov processes on polynomials or their moments are calculated using Hopf algebra duality.

On modelling physical systems with stochastic models: diffusion versus Lévy processes

2008 ◽  
Vol 366 (1875) ◽  
pp. 2455-2474 ◽  
Author(s):  
Cécile Penland ◽  
Brian D Ewald
Keyword(s):  
Differential Equations ◽  
Stochastic Models ◽  
Lévy Processes ◽  
Numerical Models ◽  
Gaussian White Noise ◽  
Levy Processes ◽  
Physical Systems ◽  
Random Forcing ◽  
Weather And Climate ◽  
Made In

Stochastic descriptions of multiscale interactions are more and more frequently found in numerical models of weather and climate. These descriptions are often made in terms of differential equations with random forcing components. In this article, we review the basic properties of stochastic differential equations driven by classical Gaussian white noise and compare with systems described by stable Lévy processes. We also discuss aspects of numerically generating these processes.

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