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