Results 21 to 30 of about 141,036 (295)

Stochastic perturbation of the Lighthill–Whitham–Richards model via the method of stochastic characteristics

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
doaj   +1 more source

Aplikasi Geometric Brownian Motion dengan Jump Diffusion dalam Memprediksi Harga Saham Liquid Quality 45

Euler : Jurnal Ilmiah Matematika, Sains dan Teknologi, 2022
At the beginning of 2021, stock LQ45 experienced a significant spike in stock prices, making the stock price difficult to predict and the profits obtained by investors uncertain.
Prilia Ditasari, Embay Rohaeti, Isti Kamila   +2 more
semanticscholar   +1 more source

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
doaj   +1 more source

Stock Prediction Model Based on Mixed Fractional Brownian Motion and Improved Fractional-Order Particle Swarm Optimization Algorithm

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, Chunna Zhao, Jing Li, Yaqun Huang   +3 more
doaj   +1 more source

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, I. Ramadhani, M. A. Ndondo, S. D. Kumwimba   +3 more
doaj   +1 more source

Incorporating stochastic volatility and long memory into geometric Brownian motion model to forecast performance of Standard and Poor's 500 index

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
doaj   +1 more source

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, Vittoria Sposini, Ralf Metzler, Gleb Oshanin, Flavio Seno   +4 more
doaj   +1 more source

The effects of incorporating memory and stochastic volatility into GBM to forecast exchange rates of Euro

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
doaj   +1 more source

An optimal polynomial approximation of Brownian motion [PDF]

, 2020
In this paper, we will present a strong (or pathwise) approximation of standard Brownian motion by a class of orthogonal polynomials. The coefficients that are obtained from the expansion of Brownian motion in this polynomial basis are independent ...
Foster, James, Lyons, Terry, Oberhauser, Harald   +2 more
core   +3 more sources

Research on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian Motion

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
doaj   +1 more source