Results 41 to 50 of about 141,036 (295)
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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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
core +8 more sources
Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion
Journal of Applied Mathematics, 2013 Geometric-average Asian option pricing model with monotonous transaction cost rate under fractional Brownian motion was established. The method of partial differential equations was used to solve this model and the analytical expressions of the Asian ...
Di Pan +3 more
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Mathematics, 2023 In this paper, we propose an enhanced model for pricing vulnerable options. Specifically, our model assumes that parameters such as interest rates, jump intensity, and asset value volatility are governed by an observable continuous-time finite-state ...
Xiangdong Liu, Zanbin Zhang
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G-Brownian Motion as Rough Paths and Differential Equations Driven by G-Brownian Motion
, 2013 The present paper is devoted to the study of sample paths of G-Brownian motion and stochastic differential equations (SDEs) driven by G-Brownian motion from the view of rough path theory.
B.M. Hambly +24 more
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Daily and Weekly Geometric Brownian Motion Stock Index Forecasts
Journal of Risk and Financial ManagementIn this manuscript, daily and weekly geometric Brownian motion forecasts are obtained and tested for reliability for three indexes, DJIA, NASDAQ and S&P 500. A twenty-year rolling window is used to estimate the drift and diffusion components, and applied
Amit K. Sinha
semanticscholar +1 more source
Number of paths versus number of basis functions in American option pricing
, 2003 An American option grants the holder the right to select the time at which to exercise the option, so pricing an American option entails solving an optimal stopping problem.
Glasserman, Paul, Yu, Bin
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Geometric brownian motion: an alternative to high-frequency trading for small investors
Independent Journal of Management & Production, 2020 High-frequency trading (HFT) involves short-term, high-volume market operations to capture profits. To a large extent, these operations take advantage of early access to information using fast and sophisticated technological tools running on ...
E. Abensur +2 more
semanticscholar +1 more source
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.
Viktor Stojkoski +3 more
semanticscholar +1 more source
Large Deviation Principle for Enhanced Gaussian Processes [PDF]
, 2006 We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N. We apply this to a large class of Gaussian processes lifted to geometric rough paths.
Friz, Peter, Victoir, Nicolas
core +3 more sources