Results 21 to 30 of about 52,895 (269)
Cooperation dynamics in networked geometric Brownian motion [PDF]
Physical Review E, 2019 Recent works suggest that pooling and sharing may constitute a fundamental mechanism for the evolution of cooperation in well-mixed fluctuating environments. The rationale is that, by reducing the amplitude of fluctuations, pooling and sharing increases the steady-state growth rate at which the individuals self-reproduce.
Viktor Stojkoski +3 more
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Pricing Multidimensional American Options
International Journal of Financial Studies, 2023 A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There are
Elettra Agliardi, Rossella Agliardi
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Linear drift and entropy for regular covers [PDF]
, 2009 We consider a regular Riemannian cover $\M$ of a compact Riemannian manifold. The linear drift $\ell$ and the Kaimanovich entropy $h$ are geometric invariants defined by asymptotic properties of the Brownian motion on $\M$. We show that $\ell^2 \leq h$
Ledrappier, François
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On the distribution of the time-integral of the geometric Brownian motion
Journal of Computational and Applied Mathematics, 2022 We study the numerical evaluation of several functions appearing in the small time expansion of the distribution of the time-integral of the geometric Brownian motion as well as its joint distribution with the terminal value of the underlying Brownian motion.
Péter Nándori, Dan Pirjol
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Unraveling trajectories of diffusive particles on networks
Physical Review Research, 2022 The analysis of single-particle trajectories plays an important role in elucidating dynamics within complex environments such as those found in living cells.
Yunhao Sun +5 more
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Unravelling intermittent features in single particle trajectories by a local convex hull method [PDF]
, 2017 We propose a new model-free method to detect change points between distinct phases in a single random trajectory of an intermittent stochastic process. The local convex hull (LCH) is constructed for each trajectory point, while its geometric properties ...
Grebenkov, D. S., Lanoiselée, Y.
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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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Central Limit Theorems for the Brownian motion on large unitary groups [PDF]
, 2009 In this paper, we are concerned with the large N limit of linear combinations of the entries of a Brownian motion on the group of N by N unitary matrices. We prove that the process of such a linear combination converges to a Gaussian one.
De France +3 more
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Which is the right option for Indian market: Gaussian, normal inverse Gaussian, or Tsallis?
IIMB Management Review, 2019 This paper models Nifty spot prices using frameworks based on Gaussian distribution (geometric Brownian motion) and non-Gaussian distributions, viz. normal inverse Gaussian (NIG), and Tsallis distributions, to investigate which model best captures the ...
Prasenjit Chakrabarti +1 more
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Discrete Dynamics in Nature and Society, 2020 In this paper, we first investigate the stochastic representation of the modified advection-dispersion equation, which is proved to be a subordinated stochastic process.
Longjin Lv, Luna Wang
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