Results 31 to 40 of about 36,754 (262)
The flashing Brownian ratchet and Parrondo’s paradox [PDF]
Royal Society Open Science, 2018 A Brownian ratchet is a one-dimensional diffusion process that drifts towards a minimum of a periodic asymmetric sawtooth potential. A flashing Brownian ratchet is a process that alternates between two regimes, a one-dimensional Brownian motion and a ...
S. N. Ethier, Jiyeon Lee
doaj +1 more source
Multiscale Volatility Analysis for Noisy High-Frequency Prices
Risks, 2023 We present a multiscale analysis of the volatility of intraday prices from high-frequency data. Our multiscale framework includes a fractional Brownian motion and microstructure noise as the building blocks.
Tim Leung, Theodore Zhao
doaj +1 more source
, 2019 This open access textbook is the first to provide Business and Economics Ph.D. students with a precise and intuitive introduction to the formal backgrounds of modern financial theory. It explains Brownian motion, random processes, measures, and Lebesgue integrals intuitively, but without sacrificing the necessary mathematical formalism, making them ...
Löffler, Andreas, Kruschwitz, Lutz
openaire +4 more sources
Physical Review Letters, 2010 We derive the generalized Markovian description for the non-equilibrium Brownian motion of a heated particle in a simple solvent with a temperature-dependent viscosity. Our analytical results for the generalized fluctuation-dissipation and Stokes-Einstein relations compare favorably with measurements of laser-heated gold nano-particles and provide a ...
Rings, Daniel +4 more
openaire +3 more sources
A promising new energy source: The Brownian motion of nanoresonator arrays
EPJ Web of Conferences, 2014 It is proposed a device designed to extract the Brownian motion energy. Since Brownian motion is usually a whoolly disordered motion, the first step consists in putting it in order with resonators, the Brownian motion of which is organized.
Rattinacannou Jean-Selva
doaj +1 more source
Journal of Mathematics, 2022 In this paper, we consider the fractional-stochastic Boussinesq-Burger system (FSBBS) generated by the multiplicative Brownian motion. The Jacobi elliptic function techniques are used to create creative elliptic, hyperbolic, and rational fractional ...
Wael W. Mohammed +2 more
doaj +1 more source
重分数布朗运动的列维连续模(Lévy's moduli of continuity of multifractional Brownian motion)
Zhejiang Daxue xuebao. Lixue ban, 2000 This paper proposed Lévy's moduli of continuity of multifractional Brownian motion,which is a generalization of the fractional Brownian motion.
LINZheng-yan(林正炎)
doaj +1 more source
Pricing European Options under a Fuzzy Mixed Weighted Fractional Brownian Motion Model with Jumps
Fractal and Fractional, 2023 This study investigates the pricing formula for European options when the underlying asset follows a fuzzy mixed weighted fractional Brownian motion within a jump environment.
Feng Xu, Xiao-Jun Yang
doaj +1 more source
ON THE QHASI CLASS AND ITS EXTENSION TO SOME GAUSSIAN SHEETS
International Journal for Computational Civil and Structural Engineering, 2022 Introduced in 2018 the generalized bifractional Brownian motion is considered as an element of the quasi-helix with approximately stationary increment class of real centered Gaussian processes conditioning by parameters.
Charles El-Nouty, Darya Filatova
doaj +1 more source
Exact distributions of the maximum and range of random diffusivity processes
New Journal of Physics, 2021 We study the extremal properties of a stochastic process x _t defined by the Langevin equation ${\dot {x}}_{t}=\sqrt{2{D}_{t}}\enspace {\xi }_{t}$ , in which ξ _t is a Gaussian white noise with zero mean and D _t is a stochastic ‘diffusivity’, defined as
Denis S Grebenkov +4 more
doaj +1 more source