Results 101 to 110 of about 1,438,380 (264)

A Framework for Derivative Pricing in the Fractional Black-Scholes Market [PDF]

The aim of this paper is to develop a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
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MHD Maxwell Hybrid Nanofluid Transport Featuring Solar Radiation and Thermo‐Diffusive Impacts Over a Permeable Slanted Stretching Sheet

Asia-Pacific Journal of Chemical Engineering, EarlyView.
ABSTRACT Hybrid nanofluids have emerged as next‐generation working fluids for advanced engineering application due to their superior heat transport capability in relation to the conventional nanofluids. Motivated by the rising demand for accurate prediction of transport phenomena under realistic operating situations, the present study examines the ...
B. Prabhakar Reddy, Swatmaram, Jumanne Mng'ang'a, Jason M. Mkenyeleye   +3 more
wiley   +1 more source

Asymptotic Controllability of Coupled Fractional Stochastic Sobolev-Type Systems with a Nonlocal Condition

Fractal and Fractional
This paper discusses the asymptotic controllability of fractional-order Sobolev-type perturbed stochastic control systems with Brownian motion and nonlocal fractional-order Sobolev stochastic conditions.
Tayeb Blouhi, Hussien Albala, Fatima Zohra Ladrani, Amin Benaissa Cherif, Abdelkader Moumen, Khaled Zennir, Keltoum Bouhali   +6 more
doaj   +1 more source

Type I and Type II Fractional Brownian Motions: a Reconsideration [PDF]

The so-called type I and type II fractional Brownian motions are limit distributions associated with the fractional integration model in which pre-sample shocks are either included in the lag structure, or suppressed. There can be substantial differences
James Davidson, Nigar Hashimzade
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Parameter values used for 2D and 3D Brownian motion and fractional Brownian motion.

, 2013
Parameter values used for 2D and 3D Brownian motion and fractional Brownian motion.
Conor Hennessy (348479), Wei Lin (6475), Peter Fraser (32141), Jing Kang (251503), Jianfeng Feng (48703), Ye Yao (348477), Bing Xu (69508)   +6 more
core   +1 more source

Tracing the evolutionary history of the morpho‐anatomy of baculum in primates

The Anatomical Record, EarlyView.
Abstract Animal morphology reflects both evolutionary history and present‐day adaptation. Male mammal copulatory structures such as the baculum (penile bone) are ideal for studying these processes because of their complexity and high interspecific variability. In primates, however, research has focused mostly on baculum length.
Federica Spani, Maria Pia Morigi, Matteo Bettuzzi, Monica Carosi   +3 more
wiley   +1 more source

Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model

Abstract and Applied Analysis, 2014
Fractional Brownian motion with Hurst exponent H∈(1/2,1) is a good candidate for modeling financial time series with long-range dependence and self-similarity.
Lin Xu, Guangjun Shen, Dingjun Yao
doaj   +1 more source

Derivative of the expected supremum of fractional Brownian motion at H = 1. [PDF]

Queueing Syst, 2022
Bisewski K, Dȩbicki K, Rolski T.
europepmc   +1 more source

Results on the Supremum of Fractional Brownian Motion

, 2009
We show that the distribution of the square of the supremum of reflected fractional Brownian motion up to time a, with Hurst parameter-H greater than 1/2, is related to the distribution of its hitting time to level 1, using the self similarity property of fractional Brownian motion.
openaire   +5 more sources

The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application [PDF]

The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Frederiksen, Per H., Høg, Espen P.
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