Results 131 to 140 of about 141,036 (295)
A Comparative Predicting Stock Prices using Heston and Geometric Brownian Motion Models [PDF]
, 2023 H. T. Shehzad, M. A. Anwar, M. Razzaq
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Advances in Triboelectric Nanogenerators With Rotating Structure
Carbon Energy, EarlyView.The rotating TENG has been widely studied for its superiorities of simple structure, high efficiency, and stable output. This review introduced the four different principles of rotating TENG and offered a thorough summary for performance and application research through three‐level classification. Importantly, the current existing problems, challenges,
Chuguo Zhang +4 more
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Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon [PDF]
We present a solution to some discounted optimal stopping problem for the maximum of a geometric Brownian motion on a finite time interval. The method of proof is based on reducing the initial optimal stopping problem with the continuation region ...
Pavel V. Gapeev
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Dipolar Molecular Motor Candidates with Planar Chirality
Chemistry – A European Journal, EarlyView.Two prototypes of molecular motors with simultaneous implementation of planar chirality and a permanent dipole have been designed and synthesized in 7 steps with overall yields of 2.8 to 5.5%. Abstract Two molecular motor candidates built around ruthenium(II) centers featuring both planar chirality and a permanent dipole have been synthesized in seven ...
Thomas A. Hector +5 more
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The Impacts of Fees and Taxes on Choices of Development Timing and Capital Intensity [PDF]
This article compares the effects of various fiscal policies on choices of development timing and capital intensity when rents on housing follow geometric Brownian motion with those when rents follow arithmetic Brownian motion.
Jou, Jyh-Bang, Lee, Tan
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A Markov approach to credit rating migration conditional on economic states
Canadian Journal of Statistics, EarlyView.Abstract We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time‐homogeneous Markov chain. While the rating process itself possesses the Markov property only under restrictive conditions, methods ...
Michael Kalkbrener, Natalie Packham
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E-Jurnal Matematika, 2015 The aim of this research was to measure the risk of the IHSG stock data using the Value at Risk (VaR). IHSG stock index data typically indicates a jump. However, Geometric Brownian Motion (GBM) model can not catch any of the jumps.
I GEDE ARYA DUTA PRATAMA +2 more
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A priori bounds for the generalised parabolic Anderson model
Communications on Pure and Applied Mathematics, EarlyView.Abstract We show a priori bounds for solutions to (∂t−Δ)u=σ(u)ξ$(\partial _t - \Delta) u = \sigma (u) \xi$ in finite volume in the framework of Hairer's Regularity Structures [Invent Math 198:269–504, 2014]. We assume σ∈Cb2(R)$\sigma \in C_b^2 (\mathbb {R})$ and that ξ$\xi$ is of negative Hölder regularity of order −1−κ$- 1 - \kappa$ where κ<κ¯$\kappa <
Ajay Chandra +2 more
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AIMS MathematicsConsidering the characteristics of long-range correlations in financial markets, the issue of valuing geometric average Asian options is examined, assuming that the variations of the underlying asset follow the mixed sub-fractional Brownian motion, and ...
Xinyi Wang, Chunyu Wang
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Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations
, 2015 The simulation of the expectation of a stochastic quantity E[Y] by Monte Carlo methods is known to be computationally expensive especially if the stochastic quantity or its approximation Y_n is expensive to simulate, e.g., the solution of a stochastic ...
Lang, Annika, Petersson, Andreas
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