Dynamics of generalized hyperbolic linear operators
Sign Up to like & getrecommendations! Published in 2021 at "Advances in Mathematics"
DOI: 10.1016/j.aim.2021.107830
Abstract: Abstract It is introduced an open class of linear operators on Banach spaces such that their non-wandering set is an infinite dimensional topologically mixing subspace, where the periodic points are dense (in particular, they are… read more here.
Keywords: wandering set; generalized hyperbolic; linear operators; non wandering ... See more keywords
On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality
Sign Up to like & getrecommendations! Published in 2018 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2017.1390134
Abstract: ABSTRACT This note consists of two parts . In the first part, we provide a pedagogic review on the multivariate generalized hyperbolic (MGH) distribution. We show that this probability family is close under margining, conditioning,… read more here.
Keywords: multivariate generalized; type inequality; stein type; generalized hyperbolic ... See more keywords
Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
Sign Up to like & getrecommendations! Published in 2017 at "Quantitative Finance"
DOI: 10.1080/14697688.2017.1288297
Abstract: Option pricing and managing equity linked insurance (ELI) require the proper modeling of stock return dynamics. Due to the long duration nature of equity-linked insurance products, a stock return model must be able to deal… read more here.
Keywords: equity linked; equity; regime switching; linked insurance ... See more keywords
On quadratic forms in multivariate generalized hyperbolic random vectors
Sign Up to like & getrecommendations! Published in 2020 at "Biometrika"
DOI: 10.1093/biomet/asaa067
Abstract: Countless test statistics can be written as quadratic forms in certain random vectors, or ratios thereof. Consequently, their distribution has received considerable attention in the literature. Except for a few special cases, no closed-form expression… read more here.
Keywords: multivariate generalized; quadratic forms; random vectors; generalized hyperbolic ... See more keywords
Generalized Hyperbolic CORDIC and Its Logarithmic and Exponential Computation With Arbitrary Fixed Base
Sign Up to like & getrecommendations! Published in 2019 at "IEEE Transactions on Very Large Scale Integration (VLSI) Systems"
DOI: 10.1109/tvlsi.2019.2919557
Abstract: This paper proposes a generalized hyperbolic COordinate Rotation Digital Computer (GH CORDIC) to directly compute logarithms and exponentials with an arbitrary fixed base. In a hardware implementation, it is more efficient than the state of… read more here.
Keywords: arbitrary fixed; methodology; fixed base; generalized hyperbolic ... See more keywords
EXACT PEAKON SOLUTIONS GIVEN BY THE GENERALIZED HYPERBOLIC FUNCTIONS FOR SOME NONLINEAR WAVE EQUATIONS
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Applied Analysis and Computation"
DOI: 10.11948/20200139
Abstract: In 1993, Camassa and Holm drived a shallow water equation and found that this equation has a peakon solution with the form φ(ξ) = ce−|ξ|. In this paper, we show that three nonlinear wave systems… read more here.
Keywords: hyperbolic functions; peakon solutions; solutions given; generalized hyperbolic ... See more keywords