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Exotic options under Lévy models: An overview (0)

by W Schoutens
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Stochastic resonance in continuous and spiking neuron models with levy noise. Neural Networks

by Ashok Patel, Bart Kosko - IEEE Transactions on , 2008
"... Abstract—Levy noise can help neurons detect faint or subthreshold signals. Levy noise extends standard Brownian noise to many types of impulsive jump-noise processes found in real and model neurons as well as in models of finance and other random phenomena. Two new theorems and the Itô calculus show ..."
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Abstract—Levy noise can help neurons detect faint or subthreshold signals. Levy noise extends standard Brownian noise to many types of impulsive jump-noise processes found in real and model neurons as well as in models of finance and other random phenomena. Two new theorems and the Itô calculus show that white Levy noise will benefit subthreshold neuronal signal detection if the noise process’s scaled drift velocity falls inside an interval that depends on the threshold values. These results generalize earlier “forbidden interval ” theorems of neuronal “stochastic resonance ” (SR) or noise-injection benefits. Global and local Lipschitz conditions imply that additive white Levy noise can increase the mutual information or bit count of several feedback neuron models that obey a general stochastic differential equation (SDE). Simulation results show that the same noise benefits still occur for some infinite-variance stable Levy noise processes even though the theorems themselves apply only to finite-variance Levy noise. The Appendix proves the two Itô-theoretic lemmas that underlie the new Levy noise-benefit theorems. Index Terms—Levy noise, jump diffusion, mutual information, neuron models, signal detection, stochastic resonance (SR). I. STOCHASTIC RESONANCE IN NEURAL SIGNAL DETECTION STOCHASTIC RESONANCE (SR) occurs when noise benefits a system rather than harms it. Small amounts of noise can often enhance some forms of nonlinear signal processing

high-dimensional Asian options

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high-dimensional Asian options

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