Results 11 to 20 of about 60 (60)
Geometric fractional Brownian motion model for commodity market simulation
Alexandria Engineering Journal, 2021 The geometric Brownian motion (GBM) model is a mathematical model that has been used to model asset price paths. By incorporating Hurst parameter to GBM to characterize long-memory phenomenon, the geometric fractional Brownian motion (GFBM) model was ...
Siti Nur Iqmal Ibrahim +2 more
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Computational and Mathematical Biophysics, 2023 This article consists of a detailed and novel stochastic optimal control analysis of a coupled non-linear dynamical system. The state equations are modelled as an additional food-provided prey–predator system with Holling type III functional response for
Prakash Daliparthi Bhanu +1 more
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Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model [PDF]
, 2021 Eisenberg J, Fabrykowski L, Schmeck MD. Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model. Center for Mathematical Economics Working Papers. Vol 648. Bielefeld: Center for Mathematical Economics; 2021.In this paper, we
Maren Diane Schmeck +5 more
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Perturbed Brownian motion and its application to Parisian option pricing [PDF]
, 2010 Excursion time, Two-state semi-Markov model, Path-dependent options, Parisian options, Laplace transform, 91B28, 60J65, 60K15, 60J27, G13,
Dassios, Angelos +3 more
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American Parisian options [PDF]
, 2006 Parisian options, American options, Excursions, G12, G13, C61, C65, 60G40, 62L15, 60J65,
Marc Chesney +3 more
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A jump to default extended CEV model: an application of Bessel processes [PDF]
, 2006 Default, Credit spread, Corporate bonds, Equity derivatives, Credit derivatives, Implied volatility skew, CEV model, Bessel processes, 60J35, 60J60, 60J65, 60G70, G12, G13,
Vadim Linetsky, Peter Carr
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A generalized clark-ocone formula [PDF]
, 2000 60H25 (60H07 60H40 60J55 60J65)We extend the Clark-Ocone formula to a suitable class of generalized Brownian functionals.
Oliveira, Maria João +2 more
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On the time of the maximum of Brownian motion with drift
International Journal of Stochastic Analysis, Volume 16, Issue 3, Page 201-207, 2003., 2003 The distribution of the time at which Brownian motion with drift attains its maximum on a given interval is obtained by elementary methods. The proof depends on a remarkable integral identity involving Gaussian distribution functions.
Emannuel Buffet
wiley +1 more source
The moments of the area under reflected Brownian bridge conditional on its local time at zero
International Journal of Stochastic Analysis, Volume 13, Issue 2, Page 99-124, 2000., 2000 This paper develops a recursion formula for the conditional moments of the area under the absolute value of Brownian bridge given the local time at 0. The method of power series leads to a Hermite equation for the generating function of the coefficients which is solved in terms of the parabolic cylinder functions.
Frank B. Knight
wiley +1 more source
Sojourn times for the Brownian motion
International Journal of Stochastic Analysis, Volume 11, Issue 3, Page 231-246, 1998., 1998 In this paper explicit formulas are given for the distribution function, the density function and the moments of the sojourn time for the reflecting Brownian motion process.
Lajos Takács
wiley +1 more source