Results 231 to 240 of about 52,895 (269)
Transitioning towards hydrogen powered seaport yard cranes for low carbon transformation based on a multiple factor real option model. [PDF]
Sci RepYang A, Zhang Y, He R, Wang Q, Gao J.
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Long-fuse evolution of carnivoran skeletal phenomes through the Cenozoic
Law C, Hlusko L, Tseng J.
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Processes That Can Be Embedded in a Geometric Brownian Motion [PDF]
Theory of Probability and Its Applications, 2016 The main result is a counterpart of the theorem of Monroe [\emph{Ann. Probability} \textbf{6} (1978) 42--56] for a geometric Brownian motion: A process is equivalent to a time change of a geometric Brownian motion if and only if it is a nonnegative supermartingale. We also provide a link between our main result and Monroe [\emph{Ann. Math.
Alexander A Gushchin
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2021
This chapter initiates discussion with the history and definition of the Geometric Brownian Motion (GBM). Why is Brownian Motion not appropriate for modelling stock prices but GBM is covered in details? Theoretical discussion made on the Geometric Brownian Motion with special consideration to the drift and volatility parameters of the Geometric ...
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This chapter initiates discussion with the history and definition of the Geometric Brownian Motion (GBM). Why is Brownian Motion not appropriate for modelling stock prices but GBM is covered in details? Theoretical discussion made on the Geometric Brownian Motion with special consideration to the drift and volatility parameters of the Geometric ...
exaly +2 more sources
ON BOUNCING GEOMETRIC BROWNIAN MOTIONS
Probability in the Engineering and Informational Sciences, 2018A pair of bouncing geometric Brownian motions (GBMs) is studied. The bouncing GBMs behave like GBMs except that, when they meet, they bounce off away from each other. The object of interest is the position process, which is defined as the position of the latest meeting point at each time.
Xin Liu, Vidyadhar G. Kulkarni, Qi Gong
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2002
1.0.5 \({P_x}\left( {{V_\tau } \in dz} \right) = \left\{ \begin{gathered} \frac{\lambda }{{z{\sigma ^2}\sqrt {{v^2} + 2\lambda /{\sigma ^2}} }}{\left( {\frac{x}{z}} \right)^{\sqrt {{v^2} + 2\lambda /{\sigma ^2}} - v}}dz, x \leqslant z \hfill \\ \frac{\lambda }{{z{\sigma ^2}\sqrt {{v^2} + 2\lambda /{\sigma ^2}} }}{\left( {\frac{z}{x}} \right)^{\sqrt {{v^
Andrei N. Borodin, Paavo Salminen
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1.0.5 \({P_x}\left( {{V_\tau } \in dz} \right) = \left\{ \begin{gathered} \frac{\lambda }{{z{\sigma ^2}\sqrt {{v^2} + 2\lambda /{\sigma ^2}} }}{\left( {\frac{x}{z}} \right)^{\sqrt {{v^2} + 2\lambda /{\sigma ^2}} - v}}dz, x \leqslant z \hfill \\ \frac{\lambda }{{z{\sigma ^2}\sqrt {{v^2} + 2\lambda /{\sigma ^2}} }}{\left( {\frac{z}{x}} \right)^{\sqrt {{v^
Andrei N. Borodin, Paavo Salminen
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On the Reflected Geometric Brownian Motion with Two Barriers
Intelligent Information Management, 2010 In this paper, we are concerned with Re?ected Geometric Brownian Motion (RGBM) with two barriers. And the stationary distribution of RGBM is derived by Markovian in?nitesimal Generator method. Consequently the ?rst passage time of RGBM is also discussed.
Lidong Zhang, Ziping Du
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A Generalization of Geometric Brownian Motion with Applications
Communications in Statistics - Theory and Methods, 2011Although geometric Brownian motion has a great variety of applications, it can not cover all the random phenomena. The purpose of this article is to propose a model that generalizes geometric Brownian motion. We present some interesting applications of this model in financial engineering and statistical inferences for the unknown parameters.
Yu-Sheng Hsu
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On the moments of the integrated geometric Brownian motion
Journal of Computational and Applied Mathematics, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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On the Geometric Brownian Motion with Alternating Trend
2014A basic model in mathematical finance theory is the celebrated geometric Brownian motion. Moreover, the geometric telegraph process is a simpler model to describe the alternating dynamics of the price of risky assets. In this note we consider a more general stochastic process that combines the characteristics of such two models. Precisely, we deal with
DI CRESCENZO, Antonio +2 more
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