Keyword

Lévy processes

Description: Stochastic processes with stationary, independent increments, used to model random change in probability theory and related fields.

Primary topic: Stochastic processes and financial applications (45%)

Wikidata ID: wiki/Q1557613

OpenAlex ID: keywords/levy-processes

Stable Non-Gaussian Random Processes

2017 · Gennady Samorodnitsky, Murad S. Taqqu · Routledge eBooks · 4,129

Financial Modelling with Jump Processes

2003 · Peter Tankov · Chapman & Hall/CRC eBooks · 3,215

Levy Processes and Infinitely Divisible Distributions

1999 · Ken‐iti Sato · 3,014

Applied Probability and Queues

1987 · Upendra Dave, Soren Asmussen · Journal of the Operational Research Society · 2,704

Lévy Processes and Stochastic Calculus

2004 · David Applebaum · Cambridge University Press eBooks · 2,040

Applied Probability and Queues

2003 · Asmussen, Søren · Springer eBooks · 1,452

Lévy Processes and Stochastic Calculus

2009 · David Applebaum · Cambridge University Press eBooks · 1,438

Stochastic Methods: A Handbook for the Natural and Social Sciences

2009 · C. W. Gardiner · 1,048

Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

1997 · Ole E. Barndorff‐Nielsen · Scandinavian Journal of Statistics · 1,022

Fractional kinetic equations: solutions and applications

1997 · Alexander I. Saichev, George M. Zaslavsky · Chaos An Interdisciplinary Journal of Nonlinear Science · 872

Stochastic Volatility for Lévy Processes

2003 · Peter Carr, Hélyette Geman, et al. · Mathematical Finance · 871

Lévy processes in finance pricing financial derivatives

2003 · Schoutens, Wim · 807

Lévy Processes in Finance

2003 · Wim Schoutens · Wiley series in probability and statistics · 793

The Volatility Surface: A Practitioner's Guide

2006 · Jim Gatheral · 735

Survival and Event History Analysis: A Process Point of View

2008 · Odd O. Aalen, Ørnulf Borgan, et al. · 728

Mathematical Methods for Financial Markets

2009 · Monique Jeanblanc, Marc Yor, et al. · Springer eBooks · 637

Introductory Lectures on Fluctuations of Lévy Processes with Applications

2006 · Andreas E. Kyprianou · Springer eBooks · 636

Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process

1995 · Ismo Koponen · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 623

Regularity theory for fully nonlinear integro‐differential equations

2009 · Luis Caffarelli, Luis Silvestre · Communications on Pure and Applied Mathematics · 555

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Pseudo Differential Operators and Markov Processes

2005 · Niels Jacob · IMPERIAL COLLEGE PRESS eBooks · 536

Nonlinear equations for fractional Laplacians, I: Regularity, maximum principles, and Hamiltonian estimates

2014 · Cabré Vilagut, Xavier, Sire, Yannick · RECERCAT (Consorci de Serveis Universitaris de Catalunya) · 528

Random Fragmentation and Coagulation Processes

2006 · Jean Bertoin · Cambridge University Press eBooks · 491

Malliavin Calculus for Lévy Processes with Applications to Finance

2008 · Nunno, Giulia, Øksendal, Bernt, et al. · Springer eBooks · 459

Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

2009 · CECILIA MANCINI · Scandinavian Journal of Statistics · 445

A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

2005 · Rama Cont, Ekaterina Voltchkova · SIAM Journal on Numerical Analysis · 437

Works count: 8,786

Citation count: 117,000