Results 21 to 30 of about 3,154 (151)

European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process

Modern Stochastics: Theory and Applications, 2014
European call option issued on a bond governed by a modified geometric Ornstein-Uhlenbeck process, is investigated. Objective price of such option as a function of the mean and the variance of a geometric Ornstein-Uhlenbeck process is studied.
Yu. Mishura, G. Rizhniak, V. Zubchenko
doaj   +1 more source

Symmetry of the isotropic Ornstein-Uhlenbeck process in a force field [PDF]

Open Communications in Nonlinear Mathematical Physics, 2021
We classify simple symmetries for an Ornstein-Uhlenbeck process, describing a particle in an external force field $f(x)$. It turns out that for sufficiently regular (in a sense to be defined) forces there are nontrivial symmetries only if $f(x)$ is at ...
Giuseppe Gaeta
doaj   +1 more source

Modeling Wind Speed Based on Fractional Ornstein-Uhlenbeck Process

Energies, 2021
The primary task of the design and feasibility study for the use of wind power plants is to predict changes in wind speeds at the site of power system installation.
Sergey Obukhov, Emad M. Ahmed, Denis Y. Davydov, Talal Alharbi, Ahmed Ibrahim, Ziad M. Ali   +5 more
doaj   +1 more source

European option pricing model with generalized Ornstein–Uhlenbeck process under stochastic earning yield and stochastic dividend yield

Advances in Difference Equations, 2019
This paper aims to examine and establish the models for European option pricing which include parameters of stochastic dividend yield and stochastic earning yield.
N. Phewchean, Y. Wu
doaj   +1 more source

Some Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent drift

Revista de Matemática: Teoría y Aplicaciones, 2009
We consider the Schr¨odinger operator on the unit circle, whose potential is an Ornstein – Uhlenbeck type process, with drift depending on its position.
Santiago Cambronero
doaj   +1 more source

The Local Time of the Fractional Ornstein-Uhlenbeck Process

Abstract and Applied Analysis, 2013
We investigate the Hölder regularity of the local time of the fractional Ornstein-Uhlenbeck process . As a related problem, we study the collision local time of two independent fractional Ornstein-Uhlenbeck , with respective indices .
Guangjun Shen, Dongjin Zhu, Yong Ren, Xueping Ding   +3 more
doaj   +1 more source

Pricing the European call option in the model with stochastic volatility driven by Ornstein–Uhlenbeck process. Exact formulas

Modern Stochastics: Theory and Applications, 2015
We consider the Black–Scholes model of financial market modified to capture the stochastic nature of volatility observed at real financial markets.
Sergii Kuchuk-Iatsenko, Yuliya Mishura
doaj   +1 more source

Introducing Randomness into First-Order and Second-Order Deterministic Differential Equations

Advances in Mathematical Physics, 2010
We incorporate randomness into deterministic theories and compare analytically and numerically some well-known stochastic theories: the Liouville process, the Ornstein-Uhlenbeck process, and a process that is Gaussian and exponentially time correlated ...
John F. Moxnes, Kjell Hausken
doaj   +1 more source

Large deviations for drift parameter estimator of mixed fractional Ornstein–Uhlenbeck process

Modern Stochastics: Theory and Applications, 2016
We investigate large deviation properties of the maximum likelihood drift parameter estimator for Ornstein–Uhlenbeck process driven by mixed fractional Brownian motion.
Dmytro Marushkevych
doaj   +1 more source

Red noise in continuous-time stochastic modelling. [PDF]

R Soc Open Sci
The concept of time-correlated noise is important to applied stochastic modelling. Nevertheless, there is no generally agreed-upon definition of the term red noise in continuous-time stochastic modelling settings. We present here a rigorous argumentation
Morr A, Kreher D, Boers N.
europepmc   +2 more sources