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Bak--Sneppen type models and rank-driven processes
Bak--Sneppen type models rank-driven processes
2010/11/10
We analyse a surprising connection between Bak--Sneppen type models and much simpler Markov processes, which we call rank-driven processes (RDPs).
Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
Wiener-Hopf factorization distribution extrema
2010/11/12
In this paper we introduce a ten-parameter family of L\'{e}vy processes for which we obtain Wiener-Hopf factors and distribution of the supremum process in semi-explicit form. This family allows an a...
Martingale representation for Poisson processes with applications to minimal variance hedging
Poisson process martingalerep resentation Clark-Ocone formula derivative operator Kunita-Watanabe decomposition Malliavin calculus independent random measure minimal variance hedge
2010/4/27
We consider a Poisson process $\eta$ on a measurable space $(\BY,\mathcal{Y})$ equipped with a partial ordering, assumed to be strict almost everwhwere with respect to the intensity measure $\lambda$ ...
The Limiting Behavior of Large Increments of Stationary Gaussian Processes
Gaussian processes stationary large incremengs regularly vary function
2012/10/10
Let ≥ be a real-valued separable Gaussian process with mean zero, { ( ), Xt t 0} {0} 0 X = , and with stationary.In this paper, we obtain some ideal results on the limiting behavior of large incremen...