Results 141 to 150 of about 92,103 (370)

A Comparison of Realized Measures of Integrated Volatility: Price Duration‐ vs. Return‐Based Approaches

Journal of Forecasting, EarlyView.
ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann, Mawuli Segnon, Timo Wiedemann   +2 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

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

Describing and Modeling Rough Composites Surfaces by Using Topological Data Analysis and Fractional Brownian Motion. [PDF]

Polymers (Basel), 2023
Runacher A, Kazemzadeh-Parsi MJ, Di Lorenzo D, Champaney V, Hascoet N, Ammar A, Chinesta F.   +6 more
europepmc   +1 more source

Integral representation with adapted continuous integrand with respect to fractional Brownian motion [PDF]

, 2014
Georgiy Shevchenko, Lauri Viitasaari
openalex   +1 more source

Hydrogen Halide Gas Sensors: Active Materials, Operation Principles, and Emerging Technologies

Interdisciplinary Materials, EarlyView.
This review considers hydrogen halide (HX) gas sensors across functional materials and principles: acoustic, chemical, optical and nanophotonic. The strong acidity and reactivity of HX gases are discussed as constraints for stability and selectivity of these devices.
Xiuzhen Liu, Nikita Tukachev, Kehang Wang, Dmirty Zhirihin, Yaopeng Cheng, Pavel Krasnov, Mingzhao Song, Soslan Khubezhov, Wenping Yin, Emmanuel Stratakis, Sailing He, Andrey L. Rogach, Sergey Makarov   +12 more
wiley   +1 more source

The Fokker-Planck equation of the superstatistical fractional Brownian motion with application to passive tracers inside cytoplasm. [PDF]

R Soc Open Sci, 2022
Runfola C, Vitali S, Pagnini G.
europepmc   +1 more source

Dynamic mosaicking: combining A* algorithm with fractional Brownian motion for an optimal seamline detection [PDF]

, 2020
Saadeddine Laaroussi, Aziz Baataoui, Akram Halli, Khalid Satori   +3 more
openalex   +1 more source

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, Gianluca Fusai, Ioannis Kyriakou   +2 more
wiley   +1 more source

Approximations of fractional Brownian motion [PDF]

, 2011
Yuqiang Li, Hongshuai Dai
openalex   +1 more source