Stochastic Modeling and Applications

                                                                           Vol. 19, No. 1 (June, 2015)




1.      Nonlocal Diffusions and the Quantum Black-Scholes Equation: Modelling the Market Fear Factor
 

Author: Will Hicks


2.      Directional Malliavin Derivatives: A Characterisation of Independence and a Generalised Chain Rule


Author: Stefan Koch

 

3.      Parametric Family of SDEs Driven by Lévy Noise


Author: Suprio Bhar and Barun Sarkar

4.     A Decomposition of a Space of Multiple Wiener Integrals by the Difference of Two Independent Lévy
Processes in Terms of the Lévy Laplacian
 

Author: Atsushi Ishikawa

 

5.      An Asymptotic Comparison of Two Time-Homogeneous PAM Models


Author: Hyun-Jung Kim and Sergey Vladimir Lototsky

 

6.      A Stochastic Integral by a Near-Martingale


Author: Shinya Hibino, Hui-Hsiung Kuo, and Kimiaki Saitô