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
A Fuzzy Framework for Realized Volatility Prediction: Empirical Evidence From Equity Markets
Journal of Forecasting, EarlyView.ABSTRACT This study introduces a realized volatility fuzzy time series (RV‐FTS) model that applies a fuzzy c‐means clustering algorithm to estimate time‐varying c$$ c $$ latent volatility states and their corresponding membership degrees. These memberships are used to construct a fuzzified volatility estimate as a weighted average of cluster centroids.
Shafqat Iqbal, Štefan Lyócsa
wiley +1 more source
Entropic Approach to the Detection of Crucial Events
Entropy, 2019 In this paper, we establish a clear distinction between two processes yielding anomalous diffusion and 1 / f noise. The first process is called Stationary Fractional Brownian Motion (SFBM) and is characterized by the use of stationary correlation
Garland Culbreth +2 more
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Stability of a Class of Impulsive Neutral Stochastic Functional Partial Differential Equations
Discrete Dynamics in Nature and Society, 2020 In this paper, a class of impulsive neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion is investigated.
Yue Liu, Dehao Ruan
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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.
core
Dynamic Debt With Intensity‐Based Models
Journal of Futures Markets, EarlyView.ABSTRACT This article proposes a dynamic debt model where the face value of debt can change. In particular, our dynamic debt setting allows debt changes ruled by intensity processes that are linked to the firm value through the correlation between the stochastic processes. Analytical solutions are obtained, and we extend the proposed dynamic debt model
João Miguel Reis, José Carlos Dias
wiley +1 more source
Averaged Systems of Stochastic Differential Equations with Lévy Noise and Fractional Brownian Motion
Fractal and FractionalIn some problems, partial differential equations are reduced to ordinary differential equations. In special cases, when incorporating randomness, equations can be reduced to systems of stochastic differential Equations (SDEs).
Tayeb Blouhi +6 more
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Perturbative expansion for the maximum of fractional Brownian motion [PDF]
, 2016 Mathieu Delorme, Kay Jörg Wiese
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Alternative Price Dynamics and Valuation of Flexible Strategies
International Journal of Finance &Economics, EarlyView.ABSTRACT In this article, we study the optimal operational strategy of production projects. We investigate different underlying price models and determine the optimal barriers of transition to suspension, recovery, or irreversible abandonment of productive activity.
Cristina Bertolosi +2 more
wiley +1 more source
Describing and Modeling Rough Composites Surfaces by Using Topological Data Analysis and Fractional Brownian Motion. [PDF]
Polymers (Basel), 2023 Runacher A +6 more
europepmc +1 more source