Minimizing Banking Risk in a Lévy Process Setting by F. Gideon, J. Mukuddem-Petersen, M. A. Petersen

“…In this spirit, we construct Lévy process-driven models of banking reserves in order to address the problem of hedging deposit withdrawals from such institutions by means of reserves. …”
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Nonlinear Stochastic SIS Epidemic Model Incorporating Lévy Process by Amine El Koufi

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SPDIEs and BSDEs Driven by Lévy Processes and Countable Brownian Motions by Pengju Duan

“…The paper is devoted to solving a new class of backward stochastic differential equations driven by Lévy process and countable Brownian motions. We prove the existence and uniqueness of the solutions to the backward stochastic differential equations by constructing Cauchy sequence and fixed point theorem. …”
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On the Laws of Total Local Times for -Paths and Bridges of Symmetric Lévy Processes by Masafumi Hayashi, Kouji Yano

“…The joint law of the total local times at two levels for -paths of symmetric Lévy processes is shown to admit an explicit representation in terms of the laws of the squared Bessel processes of dimensions two and zero. …”
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Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility by Chaoqun Ma, Shengjie Yue, Yishuai Ren

“…This paper considers the pricing issue of vulnerable European option when the dynamics of the underlying asset value and counterparty’s asset value follow two correlated exponential Lévy processes with stochastic volatility, and the stochastic volatility is divided into the long-term and short-term volatility. …”
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A Note on First Passage Functionals for Lévy Processes with Jumps of Rational Laplace Transforms by Djilali Ait-Aoudia

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Probabilistic Forecasting of Crude Oil Prices Using Conditional Generative Adversarial Network Model with Lévy Process by Mohammed Alruqimi, Luca Di Persio

“…Additionally, the CO-CGAN integrates a Lévy process and sentiment features to better account for uncertainties and price shocks in the crude oil market. …”
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Markov Regime Switching of Stochastic Volatility Lévy Model on Approximation Mode by Arthit Intarasit

“…We propose that asset returns are modeled by a stochastic volatility Lévy process incorporating a regime switching model. …”
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Pricing American Options by a Fourier Transform Multinomial Tree in a Conic Market by Weiwei Wang, Xiaoping Hu

“…Firstly, the nature of the Lévy process and the pricing principle of European-style options are introduced. …”
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Random Dynamics of the Stochastic Boussinesq Equations Driven by Lévy Noises by Jianhua Huang, Yuhong Li, Jinqiao Duan

“…Some fundamental properties of a subordinator Lévy process and the stochastic integral with respect to a Lévy process are discussed, and then the existence, uniqueness, regularity, and the random dynamical system generated by the stochastic Boussinesq equations are established. …”
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Modeling Temperature and Pricing Weather Derivatives Based on Temperature by Birhan Taştan, Azize Hayfavi

“…The model is designed as a mean-reverting process driven by a Levy process to represent jumps and other features of temperature. …”
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A Constructive Sharp Approach to Functional Quantization of Stochastic Processes by Stefan Junglen, Harald Luschgy

“…Our approach achieves the sharp rate of the minimal quantization error and can be used to quantize the path space for Gaussian processes and also, for example, Lévy processes.…”
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The Concentration Function Problem for Locally Compact Groups Revisited: Nondissipating Space-Time Random Walks, -Decomposable Laws, and Their Continuous Time Analogues by Wilfried Hazod

“…Analogous results are obtained in the case of continuous time: nondissipating Lévy processes are related to relatively compact distributions of generalized Ornstein-Uhlenbeck processes and corresponding space-time processes and to -decomposable laws, respectively with denoting a continuous group of automorphisms acting as contracting mod. a compact subgroup.…”
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Stochastic Maximum Principle for Partial Information Optimal Control Problem of Forward-Backward Systems Involving Classical and Impulse Controls by Yan Wang, Aimin Song, Enmin Feng

“…We study the partial information classical and impulse controls problem of forward-backward systems driven by Lévy processes, where the control variable consists of two components: the classical stochastic control and the impulse control; the information available to the controller is possibly less than the full information, that is, partial information. …”
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