Results 11 to 20 of about 3,154 (151)
Modeling Financial Markets Using Combined Ornstein-uhlenbeck Process with Levy Noise [PDF]
تحقیقات مالی, 2021 Objective: The main purpose of this paper is to investigate a developed stochastic algorithm for modeling financial markets using the Ornstein-uhlenbeck process combined with Levy noise. Using the closing prices of stock markets, it can be concluded that
Mina Mohammadi, Parisa Nabati
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Introducing a novel mean-reverting Ornstein-Uhlenbeck process based stochastic epidemic model. [PDF]
Sci RepThe major objective of this paper is to examine a novel mean-reverting Ornstein–Uhlenbeck process-based stochastic SIRD model for transmission the epidemic disease that is a great crisis in numerous societies. For this purpose, the deterministic model is
Nabati P.
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European Journal of Mathematical Analysis, 2023 The paper shows that the distribution of the normalized least squares estimator of the drift parameter in the fractional Ornstein-Uhlenbeck process observed over [0, T] converges to the standard normal distribution with an uniform optimal error bound of ...
Jaya P. N. Bishwal
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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
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Gamma mixed fractional Lévy Ornstein–Uhlenbeck process
Modern Stochastics: Theory and Applications, 2023 In this article, a non-Gaussian long memory process is constructed by the aggregation of independent copies of a fractional Lévy Ornstein–Uhlenbeck process with random coefficients. Several properties and a limit theorem are studied for this new process.
Héctor Araya +2 more
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Data Analysis Using a Coupled System of Ornstein–Uhlenbeck Equations Driven by Lévy Processes
Axioms, 2022 In this work, we have analyzed data sets from various fields using a coupled Ornstein–Uhlenbeck (OU) system of equations driven by Lévy processes. The Ornstein–Uhlenbeck model is well known for its ability to capture stochastic behaviors when used as a ...
Maria C. Mariani +3 more
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Ornstein–Uhlenbeck Process on Three-Dimensional Comb under Stochastic Resetting
Mathematics, 2023 The Ornstein–Uhlenbeck (O-U) process with resetting is considered as the anomalous transport taking place on a three-dimensional comb. The three-dimensional comb is a comb inside a comb structure, consisting of backbones and fingers in the following ...
Pece Trajanovski +3 more
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Risks, 2022 In this study, we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY-driven Ornstein–Uhlenbeck process.
Piergiacomo Sabino
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European Journal of Mathematical Analysis, 2023 The paper estimates the Kolmogorov distance between the distribution of the normalized maximum likelihood estimator of the positive drift parameter in the nonergodic Ornstein-Uhlenbeck process and the standard Cauchy distribution and shows exponential ...
Jaya P. N. Bishwal
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Spurious ergodicity breaking in normal and fractional Ornstein–Uhlenbeck process
New Journal of Physics, 2020 The Ornstein–Uhlenbeck process is a stationary and ergodic Gaussian process, that is fully determined by its covariance function and mean. We show here that the generic definitions of the ensemble- and time-averaged mean squared displacements fail to ...
Yousof Mardoukhi +2 more
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