Results 31 to 40 of about 114,748 (228)
A Continuous Time GARCH Process Driven by a Lévy Process: Stationarity and Second Order Behaviour [PDF]
, 2005 We use a discrete time analysis, giving necessary and sufficient conditions for the almost sure convergence of ARCH(1) and GARCH(1,1) discrete time models, tosuggest an extension of the (G)ARCH concept to continuous time processes.
Klüppelberg, Claudia +2 more
core +2 more sources
Continuous Time Autoregressive Moving Average Processes Driven by Semi-Levy Process
پژوهشهای ریاضی, 2020 Introduction A flexible and tractable class of linear models is Autoregressive moving average (ARMA) process that are in effect of discrete noises. The continuous time ARMA (CARMA) processes have wide applications in many data modeling where are more ...
Navideh Modarresi +2 more
doaj
Transportation distance between the Lévy measures and stochastic equations for Lévy-type processes
Modern Stochastics: Theory and Applications, 2014 The notion of the transportation distance on the set of the Lévy measures on $\mathbb{R}$ is introduced. A Lévy-type process with a given symbol (state dependent analogue of the characteristic triplet) is proved to be well defined as a strong solution to
T. Kosenkova, A. Kulik
doaj +1 more source
Voltage drop across Josephson junctions for Lévy noise detection
Physical Review Research, 2020 We propose to characterize Lévy-distributed stochastic fluctuations through the measurement of the average voltage drop across a current-biased Josephson junction.
Claudio Guarcello +4 more
doaj +1 more source
A Continuous Time GARCH Process of Higher Order [PDF]
, 2005 A continuous time GARCH model of order (p,q) is introduced, which is driven by a single Lévy process. It extends many of the features of discrete time GARCH(p,q) processes to a continuous time setting.
Brockwell, Peter J. +2 more
core +2 more sources
Cognitive Behavioral Therapy for Youth with Childhood‐Onset Lupus: A Randomized Clinical Trial
Arthritis Care &Research, Accepted Article.Objective Our objective was to determine the feasibility and acceptability of the Treatment and Education Approach for Childhood‐onset Lupus (TEACH), a six‐session cognitive behavioral intervention addressing depressive, fatigue, and pain symptoms, delivered remotely to individual youth with lupus by a trained interventionist.
Natoshia R. Cunningham +29 more
wiley +1 more source
Advanced Functional Materials, EarlyView.Permanent magnets derive their extraordinary strength from deep, universal electronic‐structure principles that control magnetization, anisotropy, and intrinsic performance. This work uncovers those governing rules, examines modern modeling and AI‐driven discovery methods, identifies critical bottlenecks, and reveals electronic fingerprints shared ...
Prashant Singh
wiley +1 more source
New stochastic processes to model interest rates : LIBOR additive processes [PDF]
, 2008 In this paper, a new kind of additive process is proposed. Our main goal is to define, characterize and prove the existence of the LIBOR additive process as a new stochastic process.
Colino, Jesús P.
core +5 more sources
Almost automorphic solutions for mean-field SDEs driven by Lévy noise
AIMS MathematicsThe paper is dedicated to studying the almost automorphic solutions for mean-field SDEs with Lévy noise. It is proven that if the coefficients satisfy the Lipschitz conditions, the equation admits a unique bounded solution, and the solution can inherit ...
Xin Liu, Yongqi Hou
doaj +1 more source
Mathematics, 2023 We introduce a novel option pricing model that features stochastic interest rates along with an underlying price process driven by stochastic string shocks combined with pure jump Lévy processes.
Alberto Bueno-Guerrero, Steven P. Clark
doaj +1 more source