Results 11 to 20 of about 5,214 (240)
Journal of Mathematics in Industry, 2021 In this paper we apply the method of stochastic characteristics to a Lighthill–Whitham–Richards model. The stochastic perturbation can be seen as errors in measurement of the traffic density.
Nora Müller, Wolfgang Bock
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PERSAMAAN DIFERENSIAL ORNSTEIN-UHLENBECK DALAM PERAMALAN HARGA SAHAM
Media Statistika, 2020 Geometric Brownian motion is one of the most widely used stock price model. One of the assumptions that is filled with stock return volatility is constant. Gamma Ornstein-Uhlenbeck process a model to describe volatility in finance.
Amam Taufiq Hidayat, Subanar Subanar
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Fractal and Fractional, 2022 As one of the main areas of value investing, the stock market attracts the attention of many investors. Among investors, market index movements are a focus of attention.
Hongwen Hu +3 more
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Numerical Stabilities of Vasicek and Geometric Brownian Motion Models
European Journal of Mathematical Analysis, 2023 Stochastic differential equations (SDEs) are very often used as models for a large number of phenomena in the physical, economic and management sciences.
O. C. Badibi +3 more
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AIMS Mathematics, 2023 It is known in the financial world that the index price reveals the performance of economic progress and financial stability. Therefore, the future direction of index prices is a priority of investors.
Mohammed Alhagyan, Mansour F. Yassen
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Exact distributions of the maximum and range of random diffusivity processes
New Journal of Physics, 2021 We study the extremal properties of a stochastic process x _t defined by the Langevin equation ${\dot {x}}_{t}=\sqrt{2{D}_{t}}\enspace {\xi }_{t}$ , in which ξ _t is a Gaussian white noise with zero mean and D _t is a stochastic ‘diffusivity’, defined as
Denis S Grebenkov +4 more
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Alexandria Engineering Journal, 2022 The performance of financial trading in any country depends significantly on the role of exchange rate, specifically the activity of international trading.
Mohammed Alhagyan
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Discrete Dynamics in Nature and Society, 2021 Since the 2008 financial crisis, it is an important issue to assess the systemic risk of banks, but there is a lack of research on the assessment of the systemic risk of Turkey’s financial system. In addition, geometric Brownian motion is used in most of
Hong Fan, Lingli Feng, Ruoyu Zhou
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Journal of Modern Science, 2022 Objectives The Covid-19 coronavirus pandemic created many doubts and unknowns in all areas of the activity of enterprises, not only for those smaller and more turbulent-prone entities but also for seemingly stronger players on the market. The fundamental
Adam Oleksiuk, Rafał Łochowski
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Applying the IR statistic to estimate the Hurst index of the fractional geometric Brownian motion
Lietuvos Matematikos Rinkinys, 2010 In 2010 J.M. Bardet and D. Surgailis [1] have introduced the increment ratio (IR) statistic which measures the roughness of random paths. It was shown that this statistic was applicable in the cases of diffusion processes driven by the standard Brownian ...
Dimitrij Melichov
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