Results 11 to 20 of about 257,172 (325)
Using a geometric Brownian motion to control a Brownian motion and vice versa [PDF]
Stochastic Processes and their Applications, 1997 Let x(t) be a one-dimensional Brownian motion. The homing problem for a controlled x(t) process is solved by using a mathematical expectation for an uncontrolled geometric Brownian motion.
Lefebvre, Mario
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Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion [PDF]
Mathematics, 2021 In this article, we propose a test of the dynamics of stock market indexes typical of the US and EU capital markets in order to determine which of the two fundamental hypotheses, efficient market hypothesis (EMH) or fractal market hypothesis (FMH), best ...
Vasile Brătian +4 more
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Revisiting integral functionals of geometric Brownian motion [PDF]
arXiv, 2020 In this paper we revisit the integral functional of geometric Brownian motion $I_t= \int_0^t e^{-(\mu s +\sigma W_s)}ds$, where $\mu\in\mathbb{R}$, $\sigma > 0$, and $(W_s )_s>0$ is a standard Brownian motion. Specifically, we calculate the Laplace transform in $t$ of the cumulative distribution function and of the probability density function of this ...
Boguslavskaya, E, Vostrikova, L
arxiv +7 more sources
On the integral of geometric Brownian motion [PDF]
Advances in Applied Probability, 2002 This paper studies the law of any real powers of the integral of geometric Brownian motion over finite time intervals. As its main results, an apparently new integral representation is derived and its interrelations with the integral representations for these laws originating by Yor and by Dufresne are established.
Michael Schröder
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Hitting distributions of geometric Brownian motion [PDF]
Studia Mathematica, 2006 Let $ $ be the first hitting time of the point 1 by the geometric Brownian motion $X(t)= x \exp(B(t)-2 t)$ with drift $ \geq 0$ starting from $x>1$. Here $B(t)$ is the Brownian motion starting from 0 with $E^0 B^2(t) = 2t$. We provide an integral formula for the density function of the stopped exponential functional $A( )=\int_0^ X^2(t) dt$ and
T. Byczkowski, Michał Ryznar
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Journal of Computing Research and Innovation, 2018 In Malaysia, Financial Times Stock Exchange (FTSE) of Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI) provides charts, companies’ profile and other market data to help the local and foreign investors to make decisions involving their investments ...
Teoh Yeong Kin +2 more
doaj +3 more sources
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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On oscillations of the geometric Brownian motion with time-delayed drift [PDF]
Statistics & Probability Letters, 2004 The geometric Brownian motion is the solution of a linear stochastic differential equation in the Ito sense. If one adds to the drift term a possible nonlinear time-delayed term and starts with a non-negative initial process then the process generated in this way, may hit zero and may oscillate around zero infinitely many times depending on properties ...
A. A. Gushchin, Uwe Küchler
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Estimation of geometric Brownian motion model with a t-distribution–based particle filter
Journal of Economic and Financial Sciences, 2019 Orientation: Geometric Brownian motion (GBM) model basically suggests whether the distribution of asset returns is normal or lognormal. However, many empirical studies have revealed that return distributions are usually not normal.
Bridget Nkemnole, Olaide Abass
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An Empirical Analysis of Price Jump and Asymmetric Information in Tehran Stock Exchange [PDF]
راهبرد مدیریت مالی, 2016 Deep understanding aboutthe impact of news and information on stock market is vital for analyzing and forecasting stock return. For this purpose, stochastic differential equations, such as geometric Brownian motion, geometric Brownian motion with jump ...
Saber Molaei +2 more
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