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High-speed video recordings of metal powder pneumatic conveying in thin capillary pipes. [PDF]
Sci DataPedrolli L +3 more
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Persistent and responsive collective motion with adaptive time delay. [PDF]
Sci AdvChen Z, Zheng Y.
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Nonergodicity of reset geometric Brownian motion
Physical Review E, 2022Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe ...
Vinod, Deepak +4 more
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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^
Paavo Salminen, Andrei N. Borodin
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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^
Paavo Salminen, Andrei N. Borodin
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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 ...
openaire +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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The integral of geometric Brownian motion
Advances in Applied Probability, 2001This paper is about the probability law of the integral of geometric Brownian motion over a finite time interval. A partial differential equation is derived for the Laplace transform of the law of the reciprocal integral, and is shown to yield an expression for the density of the distribution.
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Inhomogeneous Geometric Brownian Motion
SSRN Electronic Journal, 2009In this paper, we study analytical and probability aspects with special emphasis on the Laplace transform of first-passage time and mean first-passage time of inhomogeneous geometric Brownian motion. Perpetual American put options and perpetual American call options when the value of a project or a project cash flow stream is characterized by an IGBM ...
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The randomly stopped geometric Brownian motion
Statistics & Probability Letters, 2014Abstract In this short note we compute the probability density function of the random variable X T , where X t is a geometric Brownian motion, and where T is a random variable independent of X t and has either a Gamma distribution or it is uniformly distributed.
Rosalva Mendoza Ramírez +2 more
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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, Cheng Hsun Wu
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