Results 111 to 120 of about 7,656 (241)
FracSim: An R Package to Simulate Multifractional Lévy Motions
In this article a procedure is proposed to simulate fractional fields, which are non Gaussian counterpart of the fractional Brownian motion. These fields, called real harmonizable (multi)fractional Lévy motions, allow fixing the Hölder exponent at ...
Sébastien Déjean, Serge Cohen
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A set-indexed fractional Brownian motion
, 2006 24 pagesInternational audienceWe define and prove the existence of a fractional Brownian motion indexed by a collection of closed subsets of a measure space.
Merzbach, E., Herbin, Erick
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Random Carbon Tax Policy and Investment Into Emission Abatement Technologies
Mathematical Finance, EarlyView.ABSTRACT We analyze the problem of a profit‐maximizing electricity producer, subject to carbon taxes, who decides on investments into CO2$\rm CO_2$ abatement technologies. We assume that the carbon tax policy is random and that the investment in the abatement technology is divisible, irreversible, and subject to transaction costs.
Katia Colaneri +2 more
wiley +1 more source
A Model of Strategic Sustainable Investment
Mathematical Finance, EarlyView.ABSTRACT We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero‐sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous‐time on an infinite‐time horizon.
Tiziano De Angelis +2 more
wiley +1 more source
The Distance between Rival Nonstationary Fractional Processes [PDF]
Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes.
Peter M Robinson
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Solving Stochastic Climate‐Economy Models: A Deep Least‐Squares Monte Carlo Approach
Mathematical Finance, EarlyView.ABSTRACT Stochastic versions of recursive integrated climate‐economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number of state variables and stochastic shocks increases, solving these models via deterministic grid‐based dynamic programming (e.g., value‐function iteration/projection ...
Aleksandar Arandjelović +4 more
wiley +1 more source
New Phytologist, EarlyView.Summary Herbarium specimens are widely distributed in space and time, thereby capturing diverse conditions. We reconstructed specimen ‘lived’ climate from knowledge of germination cues and collection dates for 14 annual species in the Streptanthus (s.l.) clade (Brassicaceae) to ask: which climate attributes best explain specimen phenological stage and ...
Megan Bontrager +6 more
wiley +1 more source
RANDOM WALKS AND FRACTAL STRUCTURES IN AGRICULTURAL COMMODITY FUTURES PRICES
This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied. Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are ...
Turvey, Calum G.
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, 2014 International audienceWe consider stochastic equations of the prototype du(t, x) = delta u(t, x) + c*u(t, x) + u(t, x)^(1+ beta)) dt + k*u(t, x) dB^(H)_t on a smooth domain D in IR^d , with Dirichlet boundary condition, where beta > 0, c and k are ...
Kolkovska, E. T., Dozzi, M, Lopez, J. A.
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Combined phylogenetic and geographic data can predict plant–pest interactions with high accuracy
New Phytologist, EarlyView.Schematic overview of the study pipeline. Summary Non‐native plant pests can pose major threats to biodiversity, with destructive ecological and economic consequences. The ability to predict future threats would allow limited resources to be concentrated on managing the most serious risks. We built a Bayesian model to predict hosts at risk from Agrilus,
Elvira Hernández‐Gutiérrez +2 more
wiley +1 more source