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Lévy processes

September 14th, 2005 by Walt

David Applebaum has a nice survey article on Lévy processes. As we’ve mentioned before, a persistent modelling problem in finance is that the variance of changes in financial time series, such as stock prices, seems to be infinite. This shows up as large jumps in price, larger than can be explained by Brownian motion. Lévy processes, a broad class of stochastic processes that generalize both Brownian motion and Poisson processes, are one candidate to model prices.

This entry was posted on Wednesday, September 14th, 2005 at 10:06 pm and is filed under Economics, Mathematics. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

3 Responses to “Lévy processes”

  1. easwaran Says:
    September 17th, 2005 at 10:29 pm

    Is there any way to get access to this article online? I thought the Berkeley proxy server would be able to get me in, but it seems they want an AMS username and password. I guess I can track down any of the dozens of copies of the Notices around the department.

  2. Walt Says:
    September 18th, 2005 at 6:41 am

    Check out bugmenot.com.

  3. Ars Mathematica » Blog Archive » Lévy processes revisited Says:
    October 22nd, 2008 at 10:49 pm

    [...] been thinking about Lévy processes, a topic that I mentioned once before. A Lévy process is a generalization of both Brownian motion and a Poisson process. [...]

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