Self-similar models in risk theory

Keywords

Mathematics, Self-similarity, Martingale (probability theory), Fractional Brownian motion, Econometrics

References

• Chaos and order in the capital marketsEdgar E. Peters — 1991
• Structure of stationary stable processesJ. Rosiński — 1995
• The Lamperti transformation for self-similar processesKrzysztof Burnecki, Makoto Maejima, Aleksander Weron — 1997
• Semi-Selfsimilar ProcessesMakoto Maejima, Ken‐iti Sato — 1999
• Sample Path Properties of Self-Similar Processes with Stationary IncrementsWim Vervaat — 1985
• A storage model with self-similar inputIlkka Norros — 1994
• Log-fractional stable processesYuji Kasahara, Makoto Maejima, Wim Vervaat — 1988
• 14. Simulation and Chaotic Behaviour of α‐Stable Stochastic ProcessesP. M. Lee, Aleksander Janicki, Aleksander Weron — 1995
• Semi-stable stochastic processesJohn Lamperti — 1962
• On Stable Markov Processes.Robert J. Adler, Stamatis Cambanis, Gennady Samorodnitsky — 1990
• The Brownian Movement and Stochastic EquationsJ. L. Doob — 1942
• (1/a)-self similar a-stable processes with stationary incrementsGennady Samorodnitsky, Murad S. Taqqu — 1990
• Computer Experiments with Fractional Gaussian Noises: Part 2, Rescaled Ranges and SpectraBenoît B. Mandelbrot, James R. Wallis — 1969
• Characterization of linear and harmonizable fractional stable motionsStamatis Cambanis, Makoto Maejima, Gennady Samorodnitsky — 1992
• Self-Similarity in High-Speed Packet Traffic: Analysis and Modeling of Ethernet Traffic MeasurementsWalter Willinger, Murad S. Taqqu, W.E. Leland — 1995
• Stable Lévy motion approximation in collective risk theoryHansjörg Furrer, Zbigniew Michna, Aleksander Weron — 1997
• On the spectral representation of symmetric stable processesClyde D. Hardin — 1982
• Martingales and stochastic integrals in the theory of continuous tradingJ. Michael Harrison, Stanley R. Pliska — 1981
• The Black-Scholes option pricing problem in mathematical finance : generalization and extensions for a large class of stochastic processesJean‐Philippe Bouchaud, Didier Sornette — 1994
• SELF-SIMILAR PROCESSES IN COLLECTIVE RISK THEORYZbigniew Michna — 1998

Cited by

• Modele graniczne w teorii ryzyka ubezpieczeniowegoZbigniew Michna — 2002
• The Lamperti transformation for self-similar processesKrzysztof Burnecki, Makoto Maejima, Aleksander Weron — 1997
• Stable Lévy motion approximation in collective risk theoryHansjörg Furrer, Zbigniew Michna, Aleksander Weron — 1997
• Spectral representation and structure of self-similar processesKrzysztof Burnecki, J. Rosiński, Aleksander Weron — 1997

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