Results 11 to 20 of about 52,895 (269)
The Confidence Limits of a Geometric Brownian Motion [PDF]
, 2006 This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied. Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are ...
Power, Gabriel J., Turvey, Calum G.
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Arbitrage problems with reflected geometric Brownian motion [PDF]
Finance and Stochastics, 2022 AbstractContrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage condition considered in the literature. Consequently, they do not admit numéraire portfolios or equivalent
Buckner, Dean +2 more
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Ergodicity Breaking in Geometric Brownian Motion [PDF]
Physical Review Letters, 2013 5 pages, 3 ...
Ole Peters, William Klein
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Nonergodicity of reset geometric Brownian motion
Physical Review E, 2022 Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe ...
Vinod, Deepak +4 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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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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Large deviations for rough paths of the fractional Brownian motion [PDF]
, 2004 Starting from the construction of a geometric rough path associated with a fractional Brownian motion with Hurst parameter $H\in]{1/4}, {1/2}[$ given by Coutin and Qian (2002), we prove a large deviation principle in the space of geometric rough paths ...
Millet, Annie, Sanz-Solé, Marta
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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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