Exponential stability of stochastic evolution equations driven by small fractional Brownian motion with Hurst parameter in (1/2,1) [PDF]
, 2017 Luu Hoang Duc +3 more
openalex +1 more source
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka +4 more
wiley +1 more source
The fundamental theorem of asset pricing with and without transaction costs
Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley +1 more source
Monitoring Ongoing Clinical Trials under Fractional Brownian Motion with Drift. [PDF]
Stat Biopharm ResZhang P +4 more
europepmc +1 more source
STOCHASTIC INTEGRATION FOR TEMPERED FRACTIONAL BROWNIAN MOTION. [PDF]
Stoch Process Their Appl, 2014 Meerschaert MM, Sabzikar F.
europepmc +1 more source
Agents' Behavior and Interest Rate Model Optimization in DeFi Lending
Mathematical Finance, EarlyView.ABSTRACT Contrasting sharply with traditional money, bond, and bond futures markets, where interest rates emerge organically from participant interactions, DeFi lending platforms employ rule‐based interest rates that are algorithmically set. Thus, the selection of an effective interest rate model (IRM) is paramount for the success of a lending protocol.
Charles Bertucci +4 more
wiley +1 more source
Visual information and expert's idea in Hurst index estimation of the fractional Brownian motion using a diffusion type approximation. [PDF]
Sci Rep, 2017 Taheriyoun AR, Moghimbeygi M.
europepmc +1 more source
Order Routing and Market Quality: Who Benefits From Internalization?
Mathematical Finance, EarlyView.ABSTRACT Does retail order internalization benefit (via price improvement) or harm (via reduced liquidity) retail traders? To answer this question, we compare two market designs that differ in their mode of liquidity provision: In the setting capturing retail order internalization, liquidity is provided by market makers (wholesalers) competing for the ...
Umut Çeti̇n, Albina Danilova
wiley +1 more source
Bayesian two-stage modeling of longitudinal and time-to-event data with an integrated fractional Brownian motion covariance structure. [PDF]
BiometricsPalipana A +3 more
europepmc +1 more source
Fractional Brownian motion and multivariate-t models for longitudinal biomedical data, with application to CD4 counts in HIV-positive patients. [PDF]
Stat Med, 2016 Stirrup OT +3 more
europepmc +1 more source