Results 21 to 30 of about 13,838,869 (315)
SSRN Electronic Journal, 2022 70 pages, 4 figures, appended with an ...
Yanwei Jia, Xun Yu Zhou
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An exponential continuous time GARCH process [PDF]
, 2006 In this paper we introduce an exponential continuous time GARCH(p,q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p,q) process. We investigate stationarity and moment properties of the new model.
Haug, Stephan +3 more
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On equilibrium prices in continuous time [PDF]
Journal of Economic Theory, 2010 We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.
V. Filipe Martins-da-Rocha, Frank Riedel
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Continuous Uniform Finite Time Stabilization of Planar Controllable Systems [PDF]
, 2015 Continuous homogeneous controllers are utilized in a full state feedback setting for the uniform finite time stabilization of a perturbed double integrator in the presence of uniformly decaying piecewise continuous disturbances.
Oza, HB +5 more
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Constrained Dynamic Mean-Variance Portfolio Selection in Continuous-Time
Algorithms, 2021 This paper revisits the dynamic MV portfolio selection problem with cone constraints in continuous-time. We first reformulate our constrained MV portfolio selection model into a special constrained LQ optimal control model and develop the optimal ...
Weiping Wu +3 more
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Continuous-Time Identification of Continuous-Time Systems
IFAC Proceedings Volumes, 1997 Abstract In the paper a continuous-time approach to parameter estimation of continuous-time systems is addressed. A linear continuous-time single-input single-output system model described by means of a transfer function is taken into consideration.
Zdzisław Kowalczuk, Janusz Kozłowski
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A Continuous Time GARCH Process of Higher Order [PDF]
, 2005 A continuous time GARCH model of order (p,q) is introduced, which is driven by a single Lévy process. It extends many of the features of discrete time GARCH(p,q) processes to a continuous time setting.
Lindner, Alexander M. +2 more
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Theoretical Computer Science, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Tim French 0002 +2 more
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Positivity of Continuous-Time Descriptor Systems With Time Delays [PDF]
, 2014 This technical note is concerned with positivity characteristic of continuous-time descriptor systems with time delays. First, a set of necessary and sufficient conditions is presented to check the property.
Yan, Xinggang +3 more
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Positivity of fractional descriptor linear continuous-time systems [PDF]
Bulletin of the Polish Academy of Sciences: Technical Sciences, 2019 The positivity of fractional descriptor linear continuous-time systems is investigated. The solution to the state equation of the systems is derived. Necessary and sufficient conditions for the positivity of fractional descriptor linear continuous-time ...
T. Kaczorek
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