Properties (49)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
stochastic processes
|
| gptkbp:are |
used in risk assessment
Markov processes used in machine learning non-differentiable used in econometrics used in telecommunications used in statistical mechanics generalizations of random walks right-continuous time-homogeneous used in option pricing used in signal processing related_to_fractional_Brownian_motion |
| gptkbp:characterizedBy |
independent increments
stationary increments continuous in probability |
| gptkbp:has |
Lévy_measure
Lévy-Khintchine_representation |
| https://www.w3.org/2000/01/rdf-schema#label |
Lévy processes
|
| gptkbp:includes |
Brownian motion
Poisson process Compound Poisson process |
| gptkbp:isCounteredBy |
Laplace transform
characteristic function moment generating function Lévy_process_generator |
| gptkbp:isDescribedAs |
financial market behavior
anomalous diffusion extreme events |
| gptkbp:isFacilitatedBy |
diffusion processes
random walks jumps in stock prices |
| gptkbp:isUsedFor |
credit risk
market risk operational risk extreme value theory stochastic volatility insurance_claims |
| gptkbp:mayHave |
time series data
spatial data finite variation infinite variation jumps of arbitrary size jumps of finite size |
| gptkbp:namedAfter |
gptkb:Paul_Lévy
|
| gptkbp:usedIn |
finance
queueing theory insurance mathematics |