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math.PR2022
On a family of Levy processes without support in S'
R. Vilela Mendes
The distributional support of the sample paths of Lévy processes is an important issue for the construction of sparse statistical models, theories of integration in infinite dimens…
math.PR2017
Non-commutative probability and non-commutative processes
R. Vilela Mendes
A probability space is a pair () where is an algebra and a state on the algebra. In classical probability is the algebra of linear co…
math.PR2006★ 2 cited
A data-reconstructed fractional volatility model
Rui Vilela Mendes, M. J. Oliveira
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fracti…