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Lévy processes and infinitely divisible distributions
01 Jan 2013-
TL;DR: In this paper, the authors consider the distributional properties of Levy processes and propose a potential theory for Levy processes, which is based on the Wiener-Hopf factorization.
Abstract: Preface to the revised edition Remarks on notation 1. Basic examples 2. Characterization and existence 3. Stable processes and their extensions 4. The Levy-Ito decomposition of sample functions 5. Distributional properties of Levy processes 6. Subordination and density transformation 7. Recurrence and transience 8. Potential theory for Levy processes 9. Wiener-Hopf factorizations 10. More distributional properties Supplement Solutions to exercises References and author index Subject index.
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TL;DR: In this article, a family of phase space Feynman pseudomeasures corresponding to different procedures of quantization is introduced, i.e., different quantizations correspond to different path integrals with the same integrand but with respect to different pseudo-measure.
Abstract: Evolution semigroups generated by pseudo-differential operators are considered. These operators are obtained by different (parameterized by a number τ) procedures of quantization from a certain class of functions (or symbols) defined on the phase space. This class contains Hamilton functions of particles with variable mass in magnetic and potential fields and more general symbols given by the Levy-Khintchine formula. The considered semigroups are represented as limits of n-fold iterated integrals when n tends to infinity. Such representations are called Feynman formulae. Some of these representations are constructed with the help of another pseudo-differential operator, obtained by the same procedure of quantization; such representations are called Hamiltonian Feynman formulae. Some representations are based on integral operators with elementary kernels; these are called Lagrangian Feynman formulae. Langrangian Feynman formulae provide approximations of evolution semigroups, suitable for direct computations and numerical modeling of the corresponding dynamics. Hamiltonian Feynman formulae allow to represent the considered semigroups by means of Feynman path integrals. In the article, a family of phase space Feynman pseudomeasures corresponding to different procedures of quantization is introduced. The considered evolution semigroups are represented as phase space Feynman path integrals with respect to these Feynman pseudomeasures, i.e., different quantizations correspond to Feynman path integrals with the same integrand but with respect to different pseudomeasures. This answers Berezin’s problem of distinguishing a procedure of quantization on the language of Feynman path integrals. Moreover, the obtained Lagrangian Feynman formulae allow also to calculate these phase space Feynman path integrals and to connect them with some functional integrals with respect to probability measures.
20 citations
TL;DR: In this article, the authors present limit theorems for variational functionals of stationary increments Levy driven moving averages in the high frequency setting, which heavily rely on the kernel, the driving Levy process and the properties of the functional under consideration.
Abstract: In this paper we present new limit theorems for variational functionals of stationary increments Levy driven moving averages in the high frequency setting. More specifically, we will show the “law of large numbers” and a “central limit theorem”, which heavily rely on the kernel, the driving Levy process and the properties of the functional under consideration. The first order limit theory consists of three different cases. For one of the appearing limits, which we refer to as the ergodic type limit, we prove the associated weak limit theory, which again consists of three different cases. Our work is related to [10, 7], who considered power variation functionals of stationary increments Levy driven moving averages. However, the asymptotic theory of the present paper is more complex. In particular, the weak limit theorems are derived for an arbitrary Appell rank of the involved functional.
19 citations
TL;DR: In this paper, a multivariate Levy process given by the sum of a Brownian motion with drift and an independent time-homogeneous pure jump process governed by a Levy density is considered.
Abstract: We consider a multivariate Levy process given by the sum of a Brownian motion with drift and an independent time-homogeneous pure jump process governed by a Levy density We assume that observation of a sample path takes place on an equidistant discrete time grid Following Grenander's method of sieves, we construct families of nonparametric projection estimators for the restriction of a Levy density to bounded sets away from the origin Moreover, we introduce a data-driven penalisation criterion to select an estimator within a given family, where we measure the estimation error in an L 2-norm Furthermore, we give sufficient conditions on the penalty such that an oracle inequality holds As an application, we prove adaptiveness for sufficiently smooth Levy densities in some Sobolev space and explicitly derive the rate of convergence
19 citations
Cites background from "Lévy processes and infinitely divis..."
...Furthermore, the Lévy–Itô decomposition (cf. Sato 1999, Theorem 19.2) relates the generating triplet to the components of X....
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...If g is F -a.e. continuous, bounded, and vanishes in a neighbourhood of the origin, then we deduce lim →0 E[ −1g(X )] = F(g) from Corollary 8.9 of Sato (1999)....
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...Finally, a Lévy process has moments of order k if and only if F satisfies ∫ {x:‖x‖>1}‖x‖kF (dx) ∞ (cf. Sato 1999, Theorem 5.23)....
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...By the Lévy–Khintchine representation (cf. Sato 1999, Theorem 8.1), L (X1) is infinitely divisible and uniquely specified by its characteristic triplet (b, σ 2, F ), where b ∈ Rd , σ 2 ∈ Rd×d is symmetric positive semi-definite, and F is a measure on (Rd◦ , B(Rd◦)), where Rd◦ := Rd \ {0} and B(·)…...
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...9 of Sato (1999). The increments defined in Equation (3) are i....
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TL;DR: In this paper, the authors considered a continuous-time autoregressive moving average (CARMA) process (Y t ) t ∈ R driven by a symmetric α-stable Levy process with α ∈ ( 0, 2 ] sampled at a high-frequency time-grid, where the observation grid gets finer and the last observation tends to infinity as n → ∞.
19 citations
Cites background from "Lévy processes and infinitely divis..."
...the book of Sat o [31] on Lévy processes)....
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TL;DR: In this paper, the authors investigate exponential stock models driven by tempered stable processes, which constitute a rich family of purely discontinuous Levy processes, and provide a systematic analysis of the existence of equivalent martingale measures.
19 citations
References
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01 Jan 2014
TL;DR: In this article, Kloeden, P., Ombach, J., Cyganowski, S., Kostrikin, A. J., Reddy, J.A., Pokrovskii, A., Shafarevich, I.A.
Abstract: Algebra and Famous Inpossibilities Differential Systems Dumortier.: Qualitative Theory of Planar Jost, J.: Dynamical Systems. Examples of Complex Behaviour Jost, J.: Postmodern Analysis Jost, J.: Riemannian Geometry and Geometric Analysis Kac, V.; Cheung, P.: Quantum Calculus Kannan, R.; Krueger, C.K.: Advanced Analysis on the Real Line Kelly, P.; Matthews, G.: The NonEuclidean Hyperbolic Plane Kempf, G.: Complex Abelian Varieties and Theta Functions Kitchens, B. P.: Symbolic Dynamics Kloeden, P.; Ombach, J.; Cyganowski, S.: From Elementary Probability to Stochastic Differential Equations with MAPLE Kloeden, P. E.; Platen; E.; Schurz, H.: Numerical Solution of SDE Through Computer Experiments Kostrikin, A. I.: Introduction to Algebra Krasnoselskii, M.A.; Pokrovskii, A.V.: Systems with Hysteresis Kurzweil, H.; Stellmacher, B.: The Theory of Finite Groups. An Introduction Lang, S.: Introduction to Differentiable Manifolds Luecking, D.H., Rubel, L.A.: Complex Analysis. A Functional Analysis Approach Ma, Zhi-Ming; Roeckner, M.: Introduction to the Theory of (non-symmetric) Dirichlet Forms Mac Lane, S.; Moerdijk, I.: Sheaves in Geometry and Logic Marcus, D.A.: Number Fields Martinez, A.: An Introduction to Semiclassical and Microlocal Analysis Matoušek, J.: Using the Borsuk-Ulam Theorem Matsuki, K.: Introduction to the Mori Program Mazzola, G.; Milmeister G.; Weissman J.: Comprehensive Mathematics for Computer Scientists 1 Mazzola, G.; Milmeister G.; Weissman J.: Comprehensive Mathematics for Computer Scientists 2 Mc Carthy, P. J.: Introduction to Arithmetical Functions McCrimmon, K.: A Taste of Jordan Algebras Meyer, R.M.: Essential Mathematics for Applied Field Meyer-Nieberg, P.: Banach Lattices Mikosch, T.: Non-Life Insurance Mathematics Mines, R.; Richman, F.; Ruitenburg, W.: A Course in Constructive Algebra Moise, E. E.: Introductory Problem Courses in Analysis and Topology Montesinos-Amilibia, J.M.: Classical Tessellations and Three Manifolds Morris, P.: Introduction to Game Theory Nikulin, V.V.; Shafarevich, I. R.: Geometries and Groups Oden, J. J.; Reddy, J. N.: Variational Methods in Theoretical Mechanics Øksendal, B.: Stochastic Differential Equations Øksendal, B.; Sulem, A.: Applied Stochastic Control of Jump Diffusions Poizat, B.: A Course in Model Theory Polster, B.: A Geometrical Picture Book Porter, J. R.; Woods, R.G.: Extensions and Absolutes of Hausdorff Spaces Radjavi, H.; Rosenthal, P.: Simultaneous Triangularization Ramsay, A.; Richtmeyer, R.D.: Introduction to Hyperbolic Geometry Rees, E.G.: Notes on Geometry Reisel, R. B.: Elementary Theory of Metric Spaces Rey, W. J. J.: Introduction to Robust and Quasi-Robust Statistical Methods Ribenboim, P.: Classical Theory of Algebraic Numbers Rickart, C. E.: Natural Function Algebras Roger G.: Analysis II Rotman, J. J.: Galois Theory Jost, J.: Compact Riemann Surfaces Applications ́ Introductory Lectures on Fluctuations of Levy Processes with Kyprianou, A. : Rautenberg, W.; A Concise Introduction to Mathematical Logic Samelson, H.: Notes on Lie Algebras Schiff, J. L.: Normal Families Sengupta, J.K.: Optimal Decisions under Uncertainty Séroul, R.: Programming for Mathematicians Seydel, R.: Tools for Computational Finance Shafarevich, I. R.: Discourses on Algebra Shapiro, J. H.: Composition Operators and Classical Function Theory Simonnet, M.: Measures and Probabilities Smith, K. E.; Kahanpää, L.; Kekäläinen, P.; Traves, W.: An Invitation to Algebraic Geometry Smith, K.T.: Power Series from a Computational Point of View Smoryński, C.: Logical Number Theory I. An Introduction Stichtenoth, H.: Algebraic Function Fields and Codes Stillwell, J.: Geometry of Surfaces Stroock, D.W.: An Introduction to the Theory of Large Deviations Sunder, V. S.: An Invitation to von Neumann Algebras Tamme, G.: Introduction to Étale Cohomology Tondeur, P.: Foliations on Riemannian Manifolds Toth, G.: Finite Möbius Groups, Minimal Immersions of Spheres, and Moduli Verhulst, F.: Nonlinear Differential Equations and Dynamical Systems Wong, M.W.: Weyl Transforms Xambó-Descamps, S.: Block Error-Correcting Codes Zaanen, A.C.: Continuity, Integration and Fourier Theory Zhang, F.: Matrix Theory Zong, C.: Sphere Packings Zong, C.: Strange Phenomena in Convex and Discrete Geometry Zorich, V.A.: Mathematical Analysis I Zorich, V.A.: Mathematical Analysis II Rybakowski, K. P.: The Homotopy Index and Partial Differential Equations Sagan, H.: Space-Filling Curves Ruiz-Tolosa, J. R.; Castillo E.: From Vectors to Tensors Runde, V.: A Taste of Topology Rubel, L.A.: Entire and Meromorphic Functions Weintraub, S.H.: Galois Theory
401 citations
TL;DR: In this article, several definitions of the Riesz fractional Laplace operator in R^d have been studied, including singular integrals, semigroups of operators, Bochner's subordination, and harmonic extensions.
Abstract: This article reviews several definitions of the fractional Laplace operator (-Delta)^{alpha/2} (0 < alpha < 2) in R^d, also known as the Riesz fractional derivative operator, as an operator on Lebesgue spaces L^p, on the space C_0 of continuous functions vanishing at infinity and on the space C_{bu} of bounded uniformly continuous functions. Among these definitions are ones involving singular integrals, semigroups of operators, Bochner's subordination and harmonic extensions. We collect and extend known results in order to prove that all these definitions agree: on each of the function spaces considered, the corresponding operators have common domain and they coincide on that common domain.
372 citations
TL;DR: In this article, the authors give an up-to-date account of the theory and applications of scale functions for spectrally negative Levy processes, including the first extensive overview of how to work numerically with scale functions.
Abstract: The purpose of this review article is to give an up to date account of the theory and applications of scale functions for spectrally negative Levy processes. Our review also includes the first extensive overview of how to work numerically with scale functions. Aside from being well acquainted with the general theory of probability, the reader is assumed to have some elementary knowledge of Levy processes, in particular a reasonable understanding of the Levy–Khintchine formula and its relationship to the Levy–Ito decomposition. We shall also touch on more general topics such as excursion theory and semi-martingale calculus. However, wherever possible, we shall try to focus on key ideas taking a selective stance on the technical details. For the reader who is less familiar with some of the mathematical theories and techniques which are used at various points in this review, we note that all the necessary technical background can be found in the following texts on Levy processes; (Bertoin, Levy Processes (1996); Sato, Levy Processes and Infinitely Divisible Distributions (1999); Kyprianou, Introductory Lectures on Fluctuations of Levy Processes and Their Applications (2006); Doney, Fluctuation Theory for Levy Processes (2007)), Applebaum Levy Processes and Stochastic Calculus (2009).
288 citations
TL;DR: A closed formula for prices of perpetual American call options in terms of the overall supremum of the Lévy process, and a corresponding closed formulas for perpetual American put options involving the infimum of the after-mentioned process are obtained.
Abstract: Consider a model of a financial market with a stock driven by a Levy process and constant interest rate. A closed formula for prices of perpetual American call options in terms of the overall supremum of the Levy process, and a corresponding closed formula for perpetual American put options involving the infimum of the after-mentioned process are obtained. As a direct application of the previous results, a Black-Scholes type formula is given. Also as a consequence, simple explicit formulas for prices of call options are obtained for a Levy process with positive mixed-exponential and arbitrary negative jumps. In the case of put options, similar simple formulas are obtained under the condition of negative mixed-exponential and arbitrary positive jumps. Risk-neutral valuation is discussed and a simple jump-diffusion model is chosen to illustrate the results.
269 citations
01 May 2013
TL;DR: In this paper, the authors review work on extreme events, their causes and consequences, by a group of European and American researchers involved in a three-year project on these topics.
Abstract: We review work on extreme events, their causes and consequences, by a group of European and American researchers involved in a three-year project on these topics. The review covers theoretical aspects of time series analysis and of extreme value theory, as well as of the deterministic modeling of extreme events, via continuous and discrete dynamic models. The applications include climatic, seismic and socio-economic events, along with their prediction. Two important results refer to (i) the complementarity of spectral analysis of a time series in terms of the continuous and the discrete part of its power spectrum; and (ii) the need for coupled modeling of natural and socio-economic systems. Both these results have implications for the study and prediction of natural hazards and their human impacts.
166 citations