Lévy Laplacians in Hida Calculus and Malliavin Calculus

Some connections between different definitions of Lévy Laplacians in the stochastic analysis are considered. Two approaches are used to define these operators. The standard one is based on the application of the theory of Sobolev–Schwartz distributions over the Wiener measure (Hida calculus). One can consider the chain of Lévy Laplacians parametrized by a real parameter with the help of this approach. One of the elements of this chain is the classical Lévy Laplacian. Another approach to defining the Lévy Laplacian is based on the application of the theory of Sobolev spaces over the Wiener measure (Malliavin calculus). It is proved that the Lévy Laplacian defined with the help of the second approach coincides with one of the elements of the chain of Lévy Laplacians, but not with the classical Lévy Laplacian, under the embedding of the Sobolev space over the Wiener measure in the space of generalized functionals over this measure. It is shown which Lévy Laplacian in the stochastic analysis is connected with the gauge fields.     

Some path properties of generalized Lévy sheet

Let X(t) be an N parameter generalized Levy sheet taking values in Rd with a lower index a, R={(s,t] =∏i=1N(si,ti)],si相似文献   

Stochastic Processes Associated with a Sum of the Lévy Laplacians

Abstract

In this paper, we give a stochastic expression of a semigroup generated by a sum of the Lévy Laplacians acting on a class of S-transforms of white noise distributions in terms of an infinite sequence of independent Brownian motions.     

A Class of Lévy Driven SDEs and their Explicit Invariant Measures

We prove non-explosion results for Schrödinger perturbations of symmetric transition densities and Hardy inequalities for their quadratic forms by using explicit supermedian functions of their semigroups.     

Homogenization of a Class of Integro-Differential Equations with Lévy Operators

The periodic homogenization of the integro-differential equation (PIDE) with the Lévy operator with the alpha-stable density, is studied in this paper. The formal asymptotic expansion method is employed to derive the cell problem, the ergodic problem for the Lévy operator without the second-order uniformly elliptic term. The effective equation is then obtained by using the result of the ergodic problem. Finally, the formal argument is justified rigorously by the perturbed test function method.     

A nonstandard construction of Lévy Brownian motion

Summary A nonstandard construction of Lévy Brownian motion on ^d is presented, which extends R.M. Anderson's nonstandard representation of Brownian motion. It involves a nonstandard construction of white noise and gives as a classical corollary a new white noise integral representation of Lévy Brownian motion. Moreover, a new invariance principle can be deduced in a similar way as Donsker's invariance principles follows from Anderson's construction.     

Lévy–Khinchin formula for the infinite symmetric group

Let ${\mathfrak{S}(\infty)}$ be the infinite symmetric group, inductive limit of the increasing sequence of the symmetric groups ${\mathfrak{S}(n)}$ . We establish an integral representation for the central functions of negative type on ${\mathfrak{S}(\infty)}$ , i.e. a Lévy–Khinchin formula, by following a method introduced by Berg, Christensen and Ressel (Harmonic Analysis on Semigroups. Theory of Positive Definite and Related Functions. Springer, Berlin, 1984).     

Stochastic generalized porous media equations with Lévy jump

In this paper, we first prove the existence and uniqueness of a general stochastic differential equation in finite dimension, then extend the result to the infinite dimension by the classical Galerkin method. As an application, we prove the existence and uniqueness of the generalized stochastic porous medium equation perturbed by Lévy process.     

A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets

Abstract

Cox and Leland used techniques from the field of stochastic control theory to show that, in the particular case of a Brownian motion for the asset log-returns, risk-averse decision makers with a fixed investment horizon prefer path-independent pay-offs over path-dependent pay-offs. In this note we provide a novel and simple proof for the Cox and Leland result and we will extend it to general Lévy markets where pricing is based on the Esscher transform (exponential tilting). It is also shown that, in these markets, optimal path-independent pay-offs are increasing with the underlying final asset value. We provide examples that allow explicit verification of our theoretical findings and also show that the inefficiency cost of path-dependent pay-offs can be significant. Our results indicate that path-dependent investment pay-offs, the use of which is widespread in financial markets, do not offer good value from the investor's point of view.     

Anticipative calculus for Lévy processes and stochastic differential equations*

We develop an anticipative calculus for Lévy processes with finite second moment for analysing anticipating stochastic differential equations. The calculus is based on the chaos expansion of square-integrable random variables in terms of iterated integrals with respect to the compensated Poisson random measure. We define a space of smooth and generalized random variables in terms of such chaos expansions, and present anticipative stochastic integration, the Wick product and the so-called 𝒮-transform. These concepts serve as tools for studying general Wick type stochastic differential equations with anticipative initial conditions. We apply the 𝒮-transform to find the unique solutions to a class of linear stochastic differential equations. The solutions can be expressed in terms of the Wick product.     

The Class of Distributions of Periodic Ornstein–Uhlenbeck Processes Driven by Lévy Processes

The class I(c) of stationary distributions of periodic Ornstein–Uhlenbeck processes with parameter c driven by Lévy processes is analyzed. A characterization of I(c) analogous to a well-known characterization of the selfdecomposable distributions is given. The relations between I(c) for varying values of c and the relations with the class of selfdecomposable distributions and with the nested classes L_m are discussed.     

A note on branching Lévy processes

We show for the branching Lévy process that it is possible to construct two classes of multiplicative martingales using stopping lines and solutions to one of two source equations. The first class, similar to those martingales of Chauvin (1991, Ann. Probab. 30, 1195–1205) and Neveu (1988, Seminar on Stochastic Processes 1987, Progress in Probability and Statistics, vol. 15, Birkhaüser, Boston, pp. 223–241) have a source equation which provides travelling wave solutions to a generalized version of the K-P-P equation. For the second class of martingales, similar to those of Biggins and Kyprianou (1997, Ann. Probab. 25, 337–360), the source equation is a functional equation. We show further that under reasonably broad circumstances, these equations share the same solutions and hence the two types of martingales are one and the same. This conclusion also tells us something more about the nature of the solutions to the first of our two equations.     

Integrability of multivariate subordinated Lévy processes in Hilbert space

We investigate multivariate subordination of Lévy processes which was first introduced by Barndorff-Nielsen et al. [O.E. Barndorff-Nielsen, F.E. Benth, and A. Veraart, Modelling electricity forward markets by ambit fields, J. Adv. Appl. Probab. (2010)], in a Hilbert space valued setting which has been introduced in Pérez-Abreu and Rocha-Arteaga [V. Pérez-Abreu and A. Rocha-Arteaga, Covariance-parameter Lévy processes in the space of trace-class operators, Infin. Dimens. Anal. Quantum Probab. Related Top. 8(1) (2005), pp. 33–54]. The processes are explicitly characterized and conditions for integrability and martingale properties are derived under various assumptions of the Lévy process and subordinator. As an application of our theory we construct explicitly some Hilbert space valued versions of Lévy processes which are popular in the univariate and multivariate case. In particular, we define a normal inverse Gaussian Lévy process in Hilbert space. The resulting process has the property that at each time all its finite dimensional projections are multivariate normal inverse Gaussian distributed as introduced in Rydberg [T. Rydberg, The normal inverse Gaussian Lévy process: Simulation and approximation, Commun. Stat. Stochastic Models 13 (1997), pp. 887–910].     

Numerical Techniques in Lévy Fluctuation Theory

This paper presents a framework for numerical computations in fluctuation theory for Lévy processes. More specifically, with $\bar X_t:= \sup_{0\le s\le t} X_s$ denoting the running maximum of the Lévy process X _t , the aim is to evaluate ${\mathbb P}(\bar X_t \le x)$ for t,x?>?0. We do so by approximating the Lévy process under consideration by another Lévy process for which the double transform ${\mathbb E} e^{-\alpha \bar X_{\tau(q)}}$ is known, with τ(q) an exponentially distributed random variable with mean 1/q; then we use a fast and highly accurate Laplace inversion technique (of almost machine precision) to obtain the distribution of $\bar X_t$ . A broad range of examples illustrates the attractive features of our approach.     

Radner equilibrium in incomplete Lévy models

We construct continuous-time equilibrium models based on a finite number of exponential utility investors. The investors’ income rates as well as the stock’s dividend rate are governed by discontinuous Lévy processes. Our main result provides the equilibrium (i.e., bond and stock price dynamics) in closed-form. As an application, we show that the equilibrium Sharpe ratio can be increased and the equilibrium interest rate can be decreased (simultaneously) when the investors’ income streams cannot be traded.     

两指标Lévy过程的Lévy Markov性

关于两指标过程的Lévy Markov性,[2]证明了:对于广义Brownian Sheet和广义OUP_2,对适当的DR_+,有: 那里充分利用了过程的轨道连续性及正态系的一个性质:独立性等价于不相关性,[2]的这个结果使[1]中结果 (对一般的两指标Markov过程成立)对此特殊过程得到改进,本文的结果是:对于随机连续的独立增量过程(即两指标Lévy过程),对具有分段光滑边界的D∈B_+,有:由于两指标Lévy过程以广义Brownian Sheet,广义OUP_2及Poisson单为特例,故此结果推广了[2]的结果,而方法不同于[2]     

Martingale Representation of Functionals of Lévy Processes

Abstract

The main focus of the paper is a Clark–Ocone–Haussman formula for Lévy processes. First a difference operator is defined via the Fock space representation of L ²(P), then from this definition a Clark–Ocone–Haussman type formula is derived. We also derive some explicit chaos expansions for some common functionals. Later we prove that the difference operator defined via the Fock space representation and the difference operator defined by Picard [Picard, J. Formules de dualitésur l'espace de Poisson. Ann. Inst. Henri Poincaré 1996, 32 (4), 509–548] are equal. Finally, we give an example of how the Clark–Ocone–Haussman formula can be used to solve a hedging problem in a financial market modelled by a Lévy process.