Results 11 to 20 of about 1,246,913 (311)
Risks, 2017 Diffusions are widely used in finance due to their tractability. Driftless diffusions are needed to describe ratios of asset prices under a martingale measure.
Peter Carr
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3D Active Brownian Motion of Single Dust Particles Induced by a Laser in a DC Glow Discharge [PDF]
Molecules, 2023 The active Brownian motion of single dust particles of various types in the 3D electrostatic DC discharge trap under the action of laser radiation is studied experimentally. Spherical dust particles with a homogeneous surface, as well as Janus particles,
Anton S. Svetlov +4 more
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Chapter 8: Brownian Motion [PDF]
Biophysics and Physicobiology, 2021 Editorial team for the Special Issue on Oosawa’s Lectures
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Numerical Solution of Vasicek Equation by Using Brownian Wavelets and Multiple Ito-Integral [PDF]
Control and Optimization in Applied Mathematics, 2020 In this paper, we present a new approach to solving stochastic differential equations and the Vasicek equation by using Brownian wavelets and multiple Ito-integral.
Mahmoud Mahmoudi +1 more
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SOME BASIC PROPERTIES OF THE NOISE REINFORCED BROWNIAN MOTION
Barekeng, 2022 Noise reinforced Brownian motion appears as the universal limit of the step reinforced random walk. This article aims to study some basic properties of the noise reinforced Brownian motion.
Herry Pribawanto Suryawan
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Mathematics, 2021 Based on the present studies about the application of approximative fractional Brownian motion in the European option pricing models, our goal in the article is that we adopt the creative model by adding approximative fractional stochastic volatility to ...
Ying Chang, Yiming Wang, Sumei Zhang
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An Empirical Analysis of Price Jump and Asymmetric Information in Tehran Stock Exchange [PDF]
راهبرد مدیریت مالی, 2016 Deep understanding aboutthe impact of news and information on stock market is vital for analyzing and forecasting stock return. For this purpose, stochastic differential equations, such as geometric Brownian motion, geometric Brownian motion with jump ...
Saber Molaei +2 more
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Weighted Local Times of a Sub-fractional Brownian Motion as Hida Distributions
Jurnal Matematika Integratif, 2020 The sub-fractional Brownian motion is a Gaussian extension of the Brownian motion. It has the properties of self-similarity, continuity of the sample paths, and short-range dependence, among others.
Herry Pribawanto Suryawan
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Is a Brownian Motion Skew? [PDF]
Scandinavian Journal of Statistics, 2013 ABSTRACTWe study the asymptotic behaviour of the maximum likelihood estimator corresponding to the observation of a trajectory of a skew Brownian motion, through a uniform time discretization. We characterize the speed of convergence and the limiting distribution when the step size goes to zero, which in this case are non‐classical, under the null ...
Lejay, Antoine +2 more
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Asymptotic Normality of Parameter Estimators for~Mixed Fractional Brownian Motion with Trend
Austrian Journal of Statistics, 2023 We investigate the mixed fractional Brownian motion of the form Xt = θt+σWt +κBtH , driven by a standard Brownian motion W and a fractional Brownian motion B H with Hurst parameter H.
Kostiantyn Ralchenko, Mykyta Yakovliev
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