Eisenbaum, Nathalie; Rosiński, Jan Lévy measures of infinitely divisible positive processes: examples and distributional identities. (English) Zbl 07814330 Adamczak, Radosław (ed.) et al., High dimensional probability IX. The ethereal volume. Selected papers based on the presentations at the 9th conference, virtual, June 15–19, 2020. Cham: Springer. Prog. Probab. 80, 297-324 (2023). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60E05 60E07 60G51 60G57 60G55 PDFBibTeX XMLCite \textit{N. Eisenbaum} and \textit{J. Rosiński}, Prog. Probab. 80, 297--324 (2023; Zbl 07814330) Full Text: DOI arXiv
Maejima, Makoto; Sakuma, Noriyoshi Selfsimilar free additive processes and freely selfdecomposable distributions. (English) Zbl 07722784 J. Theor. Probab. 36, No. 3, 1667-1697 (2023). MSC: 46L54 60G18 60E07 PDFBibTeX XMLCite \textit{M. Maejima} and \textit{N. Sakuma}, J. Theor. Probab. 36, No. 3, 1667--1697 (2023; Zbl 07722784) Full Text: DOI arXiv
Madan, Dilip B.; Wang, King The economics of time as it is embedded in the prices of options§. (English) Zbl 1518.91285 Quant. Finance 23, No. 4, 579-593 (2023). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{K. Wang}, Quant. Finance 23, No. 4, 579--593 (2023; Zbl 1518.91285) Full Text: DOI
Brück, Florian Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences. (English) Zbl 1520.60001 J. Multivariate Anal. 193, Article ID 105117, 22 p. (2023). MSC: 60-08 60G18 60G70 PDFBibTeX XMLCite \textit{F. Brück}, J. Multivariate Anal. 193, Article ID 105117, 22 p. (2023; Zbl 1520.60001) Full Text: DOI arXiv
Madan, Dilip B.; Wang, King Option surface statistics with applications. (English) Zbl 1505.91385 Int. J. Theor. Appl. Finance 25, No. 6, Article ID 2250024, 16 p. (2022). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{K. Wang}, Int. J. Theor. Appl. Finance 25, No. 6, Article ID 2250024, 16 p. (2022; Zbl 1505.91385) Full Text: DOI
Jurek, Z. J. Background driving distribution functions and series representations for log-gamma self-decomposable random variables. (English) Zbl 1492.60042 Theory Probab. Appl. 67, No. 1, 105-117 (2022) and Teor. Veroyatn. Primen. 67, No. 1, 134-149 (2022). MSC: 60E07 60E05 60G51 PDFBibTeX XMLCite \textit{Z. J. Jurek}, Theory Probab. Appl. 67, No. 1, 105--117 (2022; Zbl 1492.60042) Full Text: DOI arXiv
Madan, Dilip B.; Wang, King Additive processes with bilateral gamma marginals. (English) Zbl 1457.91385 Appl. Math. Finance 27, No. 3, 171-188 (2020). MSC: 91G20 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{K. Wang}, Appl. Math. Finance 27, No. 3, 171--188 (2020; Zbl 1457.91385) Full Text: DOI
Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias Two novel characterizations of self-decomposability on the half-line. (English) Zbl 1405.60049 J. Theor. Probab. 30, No. 1, 365-383 (2017). MSC: 60G18 60G09 60E07 PDFBibTeX XMLCite \textit{J.-F. Mai} et al., J. Theor. Probab. 30, No. 1, 365--383 (2017; Zbl 1405.60049) Full Text: DOI
Bhatti, T.; Kern, P. An integral representation of dilatively stable processes with independent increments. (English) Zbl 1353.60049 Stochastic Processes Appl. 127, No. 1, 209-227 (2017). MSC: 60H05 60G51 60G52 60G18 PDFBibTeX XMLCite \textit{T. Bhatti} and \textit{P. Kern}, Stochastic Processes Appl. 127, No. 1, 209--227 (2017; Zbl 1353.60049) Full Text: DOI arXiv
Watanabe, Toshiro Escape rates for multidimensional shift self-similar additive sequences. (English) Zbl 1354.60040 J. Theor. Probab. 29, No. 3, 896-921 (2016). Reviewer: B. L. S. Prakasa Rao (Hyderabad) MSC: 60G18 60G10 60G51 60F15 60J65 60G52 PDFBibTeX XMLCite \textit{T. Watanabe}, J. Theor. Probab. 29, No. 3, 896--921 (2016; Zbl 1354.60040) Full Text: DOI arXiv
Viitasaari, Lauri Representation of stationary and stationary increment processes via Langevin equation and self-similar processes. (English) Zbl 1343.60040 Stat. Probab. Lett. 115, 45-53 (2016). MSC: 60G10 60G18 60H10 60G07 PDFBibTeX XMLCite \textit{L. Viitasaari}, Stat. Probab. Lett. 115, 45--53 (2016; Zbl 1343.60040) Full Text: DOI arXiv
Maejima, Makoto Classes of infinitely divisible distributions and examples. (English) Zbl 1336.60025 Andersen, Lars Nørvang et al., Lévy matters V. Functionals of Lévy processes. Cham: Springer (ISBN 978-3-319-23137-2/pbk; 978-3-319-23138-9/ebook). Lecture Notes in Mathematics 2149. Lévy Matters, 1-65 (2015). MSC: 60E07 60H05 60E10 60G51 PDFBibTeX XMLCite \textit{M. Maejima}, Lect. Notes Math. 2149, 1--65 (2015; Zbl 1336.60025) Full Text: DOI
Hazod, Wilfried Mehler semigroups, Ornstein-Uhlenbeck processes and background driving Lévy processes on locally compact groups and on hypergroups. (English) Zbl 1242.60006 Semigroup Forum 83, No. 2, 214-240 (2011). Reviewer: Michael Voit (Dortmund) MSC: 60B15 60G10 43A62 60G18 60J35 PDFBibTeX XMLCite \textit{W. Hazod}, Semigroup Forum 83, No. 2, 214--240 (2011; Zbl 1242.60006) Full Text: DOI Link
Hirsch, Francis; Roynette, Bernard; Yor, Marc Applying Itō’s motto: “Look at the infinite dimensional picture” by constructing sheets to obtain processes increasing in the convex order. (English) Zbl 1274.60052 Period. Math. Hung. 61, No. 1-2, 195-211 (2010). MSC: 60E15 60G44 60G48 60G60 60G15 60G51 PDFBibTeX XMLCite \textit{F. Hirsch} et al., Period. Math. Hung. 61, No. 1--2, 195--211 (2010; Zbl 1274.60052) Full Text: DOI
Sato, Ken-iti Fractional integrals and extensions of selfdecomposability. (English) Zbl 1222.60019 Barndorff-Nielsen, Ole E. (ed.) et al., Lévy matters I. Recent progress in theory and applications: foundations, trees and numerical issues in finance. With a short biography of Paul Lévy by Jean Jacod. Berlin: Springer (ISBN 978-3-642-14006-8/pbk; 978-3-642-14007-5/ebook). Lecture Notes in Mathematics 2001. Lévy Matters, 1-91 (2010). Reviewer: Nicolas Privault (Singapore) MSC: 60E07 60G51 26A33 60H05 62E10 PDFBibTeX XMLCite \textit{K.-i. Sato}, Lect. Notes Math. 2001, 1--91 (2010; Zbl 1222.60019) Full Text: DOI
Hirsch, Francis; Roynette, Bernard; Yor, Marc Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets. (English) Zbl 1223.60027 Expo. Math. 28, No. 4, 299-324 (2010). Reviewer: Nicolas Perkowski (Berlin) MSC: 60G44 60G07 60G51 PDFBibTeX XMLCite \textit{F. Hirsch} et al., Expo. Math. 28, No. 4, 299--324 (2010; Zbl 1223.60027) Full Text: DOI
Patie, Pierre Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes. (English) Zbl 1180.31010 Ann. Inst. Henri Poincaré, Probab. Stat. 45, No. 3, 667-684 (2009). Reviewer: Marius Ghergu (Dublin) MSC: 31C05 60G18 33E12 20C20 PDFBibTeX XMLCite \textit{P. Patie}, Ann. Inst. Henri Poincaré, Probab. Stat. 45, No. 3, 667--684 (2009; Zbl 1180.31010) Full Text: DOI arXiv EuDML
Becker-Kern, Peter; Pap, Gyula Parameter estimation of selfsimilarity exponents. (English) Zbl 1333.62149 J. Multivariate Anal. 99, No. 1, 117-140 (2008). MSC: 62H12 60G18 PDFBibTeX XMLCite \textit{P. Becker-Kern} and \textit{G. Pap}, J. Multivariate Anal. 99, No. 1, 117--140 (2008; Zbl 1333.62149) Full Text: DOI
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc Self-decomposability and option pricing. (English) Zbl 1278.91157 Math. Finance 17, No. 1, 31-57 (2007). MSC: 91G20 60H30 60G18 PDFBibTeX XMLCite \textit{P. Carr} et al., Math. Finance 17, No. 1, 31--57 (2007; Zbl 1278.91157) Full Text: DOI
Barndorff-Nielsen, Ole E.; Maejima, Makoto; Sato, Ken-iti Infinite divisibility for stochastic processes and time change. (English) Zbl 1111.60028 J. Theor. Probab. 19, No. 2, 411-446 (2006). Reviewer: Victoria Knopova (Kiev) MSC: 60G51 60G18 PDFBibTeX XMLCite \textit{O. E. Barndorff-Nielsen} et al., J. Theor. Probab. 19, No. 2, 411--446 (2006; Zbl 1111.60028) Full Text: DOI
Roynette, Bernard; Yor, Marc Infinitely divisible Wald’s couples. Examples linked with the Euler gamma and the Riemann zeta functions. (Couples de Wald indéfiniment divisibles. Exemples liés à la fonction gamma d’Euler et à la fonction zeta de Riemann.) (French) Zbl 1083.60012 Ann. Inst. Fourier 55, No. 4, 1219-1283 (2005). Reviewer: Wilfried Hazod (Dortmund) MSC: 60E07 60E05 60E10 60G51 PDFBibTeX XMLCite \textit{B. Roynette} and \textit{M. Yor}, Ann. Inst. Fourier 55, No. 4, 1219--1283 (2005; Zbl 1083.60012) Full Text: DOI Numdam EuDML
Becker-Kern, Peter Random integral representation of operator-semi-self-similar processes with independent increments. (English) Zbl 1075.60029 Stochastic Processes Appl. 109, No. 2, 327-344 (2004). MSC: 60G18 60G51 60H05 PDFBibTeX XMLCite \textit{P. Becker-Kern}, Stochastic Processes Appl. 109, No. 2, 327--344 (2004; Zbl 1075.60029) Full Text: DOI
Iksanov, Aleksander M.; Jurek, Zbigniew J.; Schreiber, Bertram M. A new factorization property of the selfdecomposable probability measures. (English) Zbl 1046.60002 Ann. Probab. 32, No. 2, 1356-1369 (2004). MSC: 60B12 60E07 60G51 60H05 PDFBibTeX XMLCite \textit{A. M. Iksanov} et al., Ann. Probab. 32, No. 2, 1356--1369 (2004; Zbl 1046.60002) Full Text: DOI arXiv