Leonte, Dan; Veraart, Almut E. D. Simulation methods and error analysis for trawl processes and ambit fields. (English) Zbl 07764081 Math. Comput. Simul. 215, 518-542 (2024). MSC: 65-XX 68-XX PDFBibTeX XMLCite \textit{D. Leonte} and \textit{A. E. D. Veraart}, Math. Comput. Simul. 215, 518--542 (2024; Zbl 07764081) Full Text: DOI arXiv
Feng, Lingyu; Gao, Ting; Li, Ting; Lin, Zhongjie; Liu, Xianming Approximations of Lévy processes by integrated fast oscillating Ornstein-Uhlenbeck processes. (English) Zbl 07814884 Stoch. Dyn. 23, No. 8, Article ID 2340005, 12 p. (2023). MSC: 60-XX 68-XX PDFBibTeX XMLCite \textit{L. Feng} et al., Stoch. Dyn. 23, No. 8, Article ID 2340005, 12 p. (2023; Zbl 07814884) Full Text: DOI
Kudryavtsev, Oleg; Danilova, Natalia Applications of artificial neural networks to simulating Lévy processes. (English) Zbl 07798142 J. Math. Sci., New York 271, No. 4, Series A, 421-433 (2023). MSC: 91G20 60G51 68T07 PDFBibTeX XMLCite \textit{O. Kudryavtsev} and \textit{N. Danilova}, J. Math. Sci., New York 271, No. 4, 421--433 (2023; Zbl 07798142) Full Text: DOI
Ning, Brian (Xin); Jaimungal, Sebastian; Zhang, Xiaorong; Bergeron, Maxime Arbitrage-free implied volatility surface generation with variational autoencoders. (English) Zbl 07770143 SIAM J. Financ. Math. 14, No. 4, 1004-1027 (2023). MSC: 91G20 60G51 60H30 68T07 PDFBibTeX XMLCite \textit{B. Ning} et al., SIAM J. Financ. Math. 14, No. 4, 1004--1027 (2023; Zbl 07770143) Full Text: DOI arXiv
Fu, Weilong; Hirsa, Ali An unsupervised deep learning approach to solving partial integro-differential equations. (English) Zbl 1497.91306 Quant. Finance 22, No. 8, 1481-1494 (2022). MSC: 91G20 45K05 68T07 60G51 PDFBibTeX XMLCite \textit{W. Fu} and \textit{A. Hirsa}, Quant. Finance 22, No. 8, 1481--1494 (2022; Zbl 1497.91306) Full Text: DOI
Mari, Carlo; Mari, Emiliano Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis. (English) Zbl 1480.91154 Decis. Econ. Finance 44, No. 2, 1039-1062 (2021). MSC: 91B74 60J74 68T07 PDFBibTeX XMLCite \textit{C. Mari} and \textit{E. Mari}, Decis. Econ. Finance 44, No. 2, 1039--1062 (2021; Zbl 1480.91154) Full Text: DOI
Smii, Boubaker Asymptotic expansion of the transition density of the semigroup associated to a SDE driven by Lévy noise. (English) Zbl 1502.35171 Asymptotic Anal. 124, No. 1-2, 51-68 (2021). MSC: 35Q82 35C20 81Q30 68T07 82C31 60G51 60J35 35R60 PDFBibTeX XMLCite \textit{B. Smii}, Asymptotic Anal. 124, No. 1--2, 51--68 (2021; Zbl 1502.35171) Full Text: DOI
Rabinovich, Dmitry; Bruckstein, Alfred M. Erratic extremism causes dynamic consensus: a new model for opinion dynamics. (English) Zbl 1478.60139 SIAM J. Appl. Dyn. Syst. 20, No. 4, 2077-2107 (2021). MSC: 60G50 60G51 68R05 91D30 PDFBibTeX XMLCite \textit{D. Rabinovich} and \textit{A. M. Bruckstein}, SIAM J. Appl. Dyn. Syst. 20, No. 4, 2077--2107 (2021; Zbl 1478.60139) Full Text: DOI arXiv
Gonon, Lukas; Schwab, Christoph Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models. (English) Zbl 1475.91356 Finance Stoch. 25, No. 4, 615-657 (2021). Reviewer: George Stoica (Saint John) MSC: 91G20 68T07 60G51 45K05 91G80 PDFBibTeX XMLCite \textit{L. Gonon} and \textit{C. Schwab}, Finance Stoch. 25, No. 4, 615--657 (2021; Zbl 1475.91356) Full Text: DOI arXiv
Qu, Yan; Dassios, Angelos; Zhao, Hongbiao Exact simulation of Ornstein-Uhlenbeck tempered stable processes. (English) Zbl 07364090 J. Appl. Probab. 58, No. 2, 347-371 (2021). MSC: 65C05 62E15 60G51 60E07 68U20 60H35 PDFBibTeX XMLCite \textit{Y. Qu} et al., J. Appl. Probab. 58, No. 2, 347--371 (2021; Zbl 07364090) Full Text: DOI
Kiefer, Stefan; Mayr, Richard; Shirmohammadi, Mahsa; Totzke, Patrick Strategy complexity of parity objectives in countable MDPs. (English) Zbl 07559495 Konnov, Igor (ed.) et al., 31st international conference on concurrency theory. CONCUR 2020, September 1–4, 2020, Vienna, Austria, virtual conference. Proceedings. Wadern: Schloss Dagstuhl – Leibniz Zentrum für Informatik. LIPIcs – Leibniz Int. Proc. Inform. 171, Article 39, 17 p. (2020). MSC: 68Q85 PDFBibTeX XMLCite \textit{S. Kiefer} et al., LIPIcs -- Leibniz Int. Proc. Inform. 171, Article 39, 17 p. (2020; Zbl 07559495) Full Text: DOI arXiv
Nauta, Johannes; van Havermaet, Stef; Simoens, Pieter; Khaluf, Yara Enhanced foraging in robot swarms using collective Lévy walks. (English) Zbl 1464.68404 De Giacomo, Giuseppe (ed.) et al., ECAI 2020. 24th European conference on artificial intelligence, August 29 – September 8, 2020, Santiago de Compostela, Spain. Including 10th conference on prestigious applications of artificial intelligence, PAIS 2020. Amsterdam: IOS Press. Front. Artif. Intell. Appl. 325, 171-178 (2020). MSC: 68T40 60G50 60G51 68T20 PDFBibTeX XMLCite \textit{J. Nauta} et al., Front. Artif. Intell. Appl. 325, 171--178 (2020; Zbl 1464.68404) Full Text: DOI
Roberts, Michael; SenGupta, Indranil Sequential hypothesis testing in machine learning, and crude oil price jump size detection. (English) Zbl 1466.91359 Appl. Math. Finance 27, No. 5, 374-395 (2020). MSC: 91G30 60G51 62P05 68T05 PDFBibTeX XMLCite \textit{M. Roberts} and \textit{I. SenGupta}, Appl. Math. Finance 27, No. 5, 374--395 (2020; Zbl 1466.91359) Full Text: DOI arXiv
Saxena, M.; Boxma, O. J.; Mandjes, M. An infinite-server system with Lévy shot-noise modulation: moments and asymptotics. (English) Zbl 1465.60081 Markov Process. Relat. Fields 26, No. 4, 757-778 (2020). Reviewer: Vyacheslav Abramov (Melbourne) MSC: 60K25 60G51 68M20 90B22 PDFBibTeX XMLCite \textit{M. Saxena} et al., Markov Process. Relat. Fields 26, No. 4, 757--778 (2020; Zbl 1465.60081) Full Text: Link
Heemskerk, Mariska; Mandjes, Michel Exact asymptotics for a multitimescale model with applications in modeling overdispersed customer streams. (English) Zbl 1446.60026 Stoch. Syst. 9, No. 3, 208-230 (2019). MSC: 60F10 60K25 68M20 90B22 PDFBibTeX XMLCite \textit{M. Heemskerk} and \textit{M. Mandjes}, Stoch. Syst. 9, No. 3, 208--230 (2019; Zbl 1446.60026) Full Text: DOI arXiv
Kozachenko, Yu. V.; Pashko, A. O.; Vasylyk, O. I. Simulation of a fractional Brownian motion in the space \(L_p([0,T])\). (English. Ukrainian original) Zbl 1409.60054 Theory Probab. Math. Stat. 97, 99-111 (2018); translation from Teor. Jmovirn. Mat. Stat. 97, 97-108 (2017). MSC: 60G15 60G22 60G51 68U20 PDFBibTeX XMLCite \textit{Yu. V. Kozachenko} et al., Theory Probab. Math. Stat. 97, 99--111 (2018; Zbl 1409.60054); translation from Teor. Jmovirn. Mat. Stat. 97, 97--108 (2017) Full Text: DOI
Iacus, Stefano M.; Yoshida, Nakahiro Simulation and inference for stochastic processes with YUIMA. A comprehensive R framework for SDEs and other stochastic processes. (English) Zbl 1458.60004 Use R!. Cham: Springer (ISBN 978-3-319-55567-6/pbk; 978-3-319-55569-0/ebook). xiii, 268 p. (2018). Reviewer: Irina Ioana Mohorianu (Oxford) MSC: 60-02 60-04 60G05 68N15 PDFBibTeX XMLCite \textit{S. M. Iacus} and \textit{N. Yoshida}, Simulation and inference for stochastic processes with YUIMA. A comprehensive R framework for SDEs and other stochastic processes. Cham: Springer (2018; Zbl 1458.60004) Full Text: DOI
Mathijsen, Britt; Zwart, Bert Transient error approximation in a Lévy queue. (English) Zbl 1370.60176 Queueing Syst. 85, No. 3-4, 269-304 (2017). MSC: 60K25 60G51 90B22 68M20 PDFBibTeX XMLCite \textit{B. Mathijsen} and \textit{B. Zwart}, Queueing Syst. 85, No. 3--4, 269--304 (2017; Zbl 1370.60176) Full Text: DOI arXiv
Wager, Stefan; Fithian, William; Liang, Percy Data augmentation via Lévy processes. (English) Zbl 1436.68314 Hazan, Tamir (ed.) et al., Perturbations, optimization, and statistics. Cambridge, MA: MIT Press. 343-373 (2016). MSC: 68T05 60G51 62H30 PDFBibTeX XMLCite \textit{S. Wager} et al., in: Perturbations, optimization, and statistics. Cambridge, MA: MIT Press. 343--373 (2016; Zbl 1436.68314) Full Text: arXiv
Zwart, Bert Loss rates in the single-server queue with complete rejection. (English) Zbl 1319.60178 Math. Methods Oper. Res. 81, No. 3, 299-315 (2015). MSC: 60K25 60G51 68M20 90B22 PDFBibTeX XMLCite \textit{B. Zwart}, Math. Methods Oper. Res. 81, No. 3, 299--315 (2015; Zbl 1319.60178) Full Text: DOI
Dȩbicki, Krzysztof; Mandjes, Michel Queues and Lévy fluctuation theory. (English) Zbl 1337.60004 Universitext. Cham: Springer (ISBN 978-3-319-20692-9/pbk; 978-3-319-20693-6/ebook). xi, 255 p. (2015). Reviewer: Hans Daduna (Hamburg) MSC: 60-02 60K25 60G51 90B22 90B18 68M20 91G80 PDFBibTeX XMLCite \textit{K. Dȩbicki} and \textit{M. Mandjes}, Queues and Lévy fluctuation theory. Cham: Springer (2015; Zbl 1337.60004) Full Text: DOI
Giebel, Stefan Markus; Rainer, Martin; Aydin, Nadi Serhan Simulation and prediction of wind speeds: a neural network for Weibull. (English) Zbl 1346.60103 J. Iran. Stat. Soc. JIRSS 12, No. 2, 293-319 (2013). MSC: 60H30 60G25 62M20 60H10 60J60 60J75 60G51 60G48 68T01 92B20 93E35 65C60 PDFBibTeX XMLCite \textit{S. M. Giebel} et al., J. Iran. Stat. Soc. JIRSS 12, No. 2, 293--319 (2013; Zbl 1346.60103)
Zhang, Chao; Tao, Dacheng Risk bounds of learning processes for Lévy processes. (English) Zbl 1320.62161 J. Mach. Learn. Res. 14, 351-376 (2013). MSC: 62J02 60E07 60F10 60G51 62G20 68T05 PDFBibTeX XMLCite \textit{C. Zhang} and \textit{D. Tao}, J. Mach. Learn. Res. 14, 351--376 (2013; Zbl 1320.62161)
Chen, Rachel; Hu, Jianqiang; Peng, Yijie Simulation of Lévy-driven models and its application in finance. (English) Zbl 1260.91257 Numer. Algebra Control Optim. 2, No. 4, 749-765 (2012). MSC: 91G60 60G05 68U20 PDFBibTeX XMLCite \textit{R. Chen} et al., Numer. Algebra Control Optim. 2, No. 4, 749--765 (2012; Zbl 1260.91257) Full Text: DOI
Nakagawa, Toshio Stochastic processes with applications to reliability theory. (English) Zbl 1244.60002 Springer Series in Reliability Engineering. New York, NY: Springer (ISBN 978-0-85729-273-5/hbk; 978-0-85729-274-2/ebook). ix, 251 p. (2011). Reviewer: Hans Daduna (Hamburg) MSC: 60-01 60K10 60K20 68M15 90B25 PDFBibTeX XMLCite \textit{T. Nakagawa}, Stochastic processes with applications to reliability theory. New York, NY: Springer (2011; Zbl 1244.60002) Full Text: DOI
Fusai, Gianluca; Marazzina, Daniele; Marena, Marina Option pricing, maturity randomization and distributed computing. (English) Zbl 1204.68016 Parallel Comput. 36, No. 7, 403-414 (2010). MSC: 68M10 PDFBibTeX XMLCite \textit{G. Fusai} et al., Parallel Comput. 36, No. 7, 403--414 (2010; Zbl 1204.68016) Full Text: DOI
Raposo, E. P.; Buldyrev, S. V.; da Luz, M. G. E.; Viswanathan, G. M.; Stanley, H. E. Lévy flights and random searches. (English) Zbl 1186.68152 J. Phys. A, Math. Theor. 42, No. 43, Article ID 434003, 23 p. (2009). MSC: 68P10 60G50 PDFBibTeX XMLCite \textit{E. P. Raposo} et al., J. Phys. A, Math. Theor. 42, No. 43, Article ID 434003, 23 p. (2009; Zbl 1186.68152) Full Text: DOI
Zhang, Shibin; Zhang, Xinsheng Exact simulation of IG-OU processes. (English) Zbl 1192.68801 Methodol. Comput. Appl. Probab. 10, No. 3, 337-355 (2008). MSC: 68U20 62M05 62E15 65C10 PDFBibTeX XMLCite \textit{S. Zhang} and \textit{X. Zhang}, Methodol. Comput. Appl. Probab. 10, No. 3, 337--355 (2008; Zbl 1192.68801) Full Text: DOI
Asmussen, Søren; Glynn, Peter W. Stochastic simulation: Algorithms and analysis. (English) Zbl 1126.65001 Stochastic Modelling and Applied Probability 57. New York, NY: Springer (ISBN 978-0-387-30679-7/hbk). xiv, 476 p. (2007). Reviewer: Henri Schurz (Carbondale) MSC: 65Cxx 68U20 60H35 65-02 PDFBibTeX XMLCite \textit{S. Asmussen} and \textit{P. W. Glynn}, Stochastic simulation: Algorithms and analysis. New York, NY: Springer (2007; Zbl 1126.65001)
Albin, J. M. P. On sampling of stationary increment processes. (English) Zbl 1075.60023 Ann. Appl. Probab. 14, No. 4, 2016-2037 (2004). Reviewer: Andrew Olenko (Kyïv) MSC: 60G10 60G70 60G15 68U20 PDFBibTeX XMLCite \textit{J. M. P. Albin}, Ann. Appl. Probab. 14, No. 4, 2016--2037 (2004; Zbl 1075.60023) Full Text: DOI arXiv Euclid
Mumford, David; Gidas, Basilis Stochastic models for generic images. (English) Zbl 1159.68598 Q. Appl. Math. 59, No. 1, 85-111 (2001). MSC: 68T45 60G60 60G51 60G55 62M40 PDFBibTeX XMLCite \textit{D. Mumford} and \textit{B. Gidas}, Q. Appl. Math. 59, No. 1, 85--111 (2001; Zbl 1159.68598) Full Text: DOI
Postan, M. Ya. On application of stochastic processes of storage theory to modeling computerized information networks. (English. Russian original) Zbl 0963.60516 Probl. Inf. Transm. 31, No. 3, 262-283 (1995); translation from Probl. Peredachi Inf. 31, No. 3, 76-99 (1995). MSC: 60K30 68M10 94C99 60H20 PDFBibTeX XMLCite \textit{M. Ya. Postan}, Probl. Inf. Transm. 31, No. 3, 262--283 (1995; Zbl 0963.60516); translation from Probl. Peredachi Inf. 31, No. 3, 76--99 (1995)