Results 21 to 30 of about 9,750 (263)

Reliability Analysis Based on a Jump Diffusion Model with Two Wiener Processes for Cloud Computing with Big Data

Entropy, 2015
At present, many cloud services are managed by using open source software, such as OpenStack and Eucalyptus, because of the unification management of data, cost reduction, quick delivery and work savings.
Yoshinobu Tamura, Shigeru Yamada
doaj   +1 more source

Multifractality of jump diffusion processes [PDF]

Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 2018
33 pages, accepted by Annales de l'Institut Henri Poincar ...
openaire   +7 more sources

Adaptively Setting the Path Length for Separable Shadow Hamiltonian Hybrid Monte Carlo

IEEE Access, 2021
Hybrid Monte Carlo (HMC) has been widely applied to numerous posterior inference problems in machine learning and statistics. HMC has two main practical issues, the first is the deterioration in acceptance rates as the system size increases and the ...
Wilson Tsakane Mongwe, Rendani Mbuvha, Tshilidzi Marwala   +2 more
doaj   +1 more source

Convergence rate of Euler–Maruyama scheme for SDDEs of neutral type

Journal of Inequalities and Applications, 2021
In this paper, we are concerned with the convergence rate of Euler–Maruyama (EM) scheme for stochastic differential delay equations (SDDEs) of neutral type, where the neutral, drift, and diffusion terms are allowed to be of polynomial growth.
Yanting Ji
doaj   +1 more source

Density estimates for jump diffusion processes

Applied Mathematics and Computation, 2022
We consider a real-valued diffusion process with a linear jump term driven by a Poisson point process and we assume that the jump amplitudes have a centered density with finite moments. We show upper and lower estimates for the density of the solution in the case that the jump amplitudes follow a Gaussian or Laplacian law.
Kohatsu-Higa, Arturo, Nualart, Eulàlia, Tran, Ngoc Khue   +2 more
openaire   +4 more sources

Pricing vulnerable options with variable default boundary under jump-diffusion processes

Advances in Difference Equations, 2018
For the pricing of vulnerable options, we improve the results of Klein and Inglis [Journal of Banking and Finance] and Tian et al. [The Journal of Futures and Markets], considering the circumstances in which the writers of options face financial crisis ...
Qing Zhou, Qian Wang, Weixing Wu
doaj   +1 more source

Pricing vulnerable European options with dynamic correlation between market risk and credit risk

Journal of Management Science and Engineering, 2020
In this paper, we study the valuation of vulnerable European options incorporating the reduced-form approach, which models the credit default of the counterparty.
Huawei Niu, Yu Xing, Yonggan Zhao
doaj   +1 more source

A hybrid continuous-discrete method for stochastic reaction–diffusion processes [PDF]

Royal Society Open Science, 2016
Stochastic fluctuations in reaction–diffusion processes often have substantial effect on spatial and temporal dynamics of signal transductions in complex biological systems. One popular approach for simulating these processes is to divide the system into
Wing-Cheong Lo, Likun Zheng, Qing Nie
doaj   +1 more source

Convergence of Limiting Cases of Continuous-Time, Discrete-Space Jump Processes to Diffusion Processes for Bayesian Inference

Mathematics
Jump-diffusion algorithms are applied to sampling from Bayesian posterior distributions. We consider a class of random sampling algorithms based on continuous-time jump processes.
Aaron Lanterman
doaj   +1 more source

Option Pricing under the Jump Diffusion and Multifactor Stochastic Processes

Journal of Function Spaces, 2019
In financial markets, there exists long-observed feature of the implied volatility surface such as volatility smile and skew. Stochastic volatility models are commonly used to model this financial phenomenon more accurately compared with the conventional
Shican Liu, Yanli Zhou, Yonghong Wu, Xiangyu Ge   +3 more
doaj   +1 more source