42 citations · 147 across the 12 of their papers we have counts for
5 papers · 1 filter
A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes
Qinjing Qiu, Reiichiro Kawai
We establish a recursive representation that fully decouples jumps from a large class of multivariate inhomogeneous stochastic differential equations with jumps of general time-sta…
A general approach to sample path generation of infinitely divisible processes via shot noise representation
Reiichiro Kawai
We establish a sample path generation scheme in a unified manner for general multivariate infinitely divisible processes based on shot noise representation of their integrators. Th…
Numerical aspects of shot noise representation of infinitely divisible laws and related processes
Sida Yuan, Reiichiro Kawai
The ever-growing appearance of infinitely divisible laws and related processes in various areas, such as physics, mathematical biology, finance and economics, has fuelled an increa…
On Layered Stable Processes
C. Houdré, R. Kawai
Layered stable (multivariate) distributions and processes are defined and studied. A layered stable process combines stable trends of two different indices, one of them possibly Ga…
On Fractional Tempered Stable Motion
C. Houdré, R. Kawai
Fractional tempered stable motion (fTSm)} is defined and studied. FTSm has the same covariance structure as fractional Brownian motion, while having tails heavier than Gaussian but…