Results 41 to 50 of about 24,371 (146)

The Heston stochastic volatility model in Hilbert space

, 2017
We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process is then defined
Benth, Fred Espen, Simonsen, Iben Cathrine   +1 more
core   +1 more source

Alternative Price Dynamics and Valuation of Flexible Strategies

International Journal of Finance &Economics, EarlyView.
ABSTRACT In this article, we study the optimal operational strategy of production projects. We investigate different underlying price models and determine the optimal barriers of transition to suspension, recovery, or irreversible abandonment of productive activity.
Cristina Bertolosi, Gianluca Fusai, Ioannis Kyriakou   +2 more
wiley   +1 more source

Analysis of a stochastic two-species Schoener's competitive model with Lévy jumps and Ornstein–Uhlenbeck process

AIMS Mathematics
This paper studies a stochastic two-species Schoener's competitive model with Lévy jumps by the mean-reverting Ornstein–Uhlenbeck process. First, the biological implication of introducing the Ornstein–Uhlenbeck process is illustrated. After that, we show
Yajun Song, Ruyue Hu, Yifan Wu, Xiaohui Ai   +3 more
doaj   +1 more source

Crossover to the stochastic Burgers equation for the WASEP with a slow bond

, 2016
We consider the weakly asymmetric simple exclusion process in the presence of a slow bond and starting from the invariant state, namely the Bernoulli product measure of parameter $\rho\in(0,1)$. The rate of passage of particles to the right (resp.
Franco, Tertuliano, Gonçalves, Patricia, Simon, Marielle   +2 more
core   +3 more sources

Deep Reinforcement Learning‐Based Control for Real‐Time Hybrid Simulation of Civil Structures

International Journal of Robust and Nonlinear Control, EarlyView.
ABSTRACT Real‐time Hybrid Simulation (RTHS) is a cyber‐physical technique that studies the dynamic behavior of a system by combining physical and numerical components that are coupled through a boundary condition enforcer. In structural engineering, the numerical components are subjected to environmental loads that become dynamic displacements of the ...
Andrés Felipe Niño, Alejandro Palacio‐Betancur, Piedad Miranda‐Chiquito, Juan David Amaya, Christian E. Silva, Mariantonieta Gutierrez Soto, Luis Felipe Giraldo   +6 more
wiley   +1 more source

The ecology of attraction: Fruit traits and frugivore diversity in neotropical Piper

Functional Ecology, EarlyView.
Read the free Plain Language Summary for this article on the Journal blog. Abstract Fruit traits can benefit plant reproduction by enhancing seed dispersal by mutualistic frugivores (e.g. seed dispersal syndromes), but identifying the role of specific fruit traits in mediating frugivory is challenging because these traits can serve multiple functions ...
Sharlene E. Santana, Anusha Aggarwal, Sneha Sil, Gloriana Chaverri   +3 more
wiley   +1 more source

The phylogenetic effective sample size and jumps

, 2018
The phylogenetic effective sample size is a parameter that has as its goal the quantification of the amount of independent signal in a phylogenetically correlated sample. It was studied for Brownian motion and Ornstein-Uhlenbeck models of trait evolution.
Bartoszek, Krzysztof
core   +1 more source

The persistent advantage of model‐based phylogenetic methods for single‐trait prediction

Methods in Ecology and Evolution, EarlyView.
Abstract Reliable predictions of biological traits support a wide range of applications, from bioprospecting to informing conservation priorities. Given the complexity and diversity of trait evolution, robust methods for trait prediction are essential for drawing meaningful evolutionary inferences from phylogenetic data.
Adam Richard‐Bollans, Daniele Silvestro   +1 more
wiley   +1 more source

Optimal Investment and Consumption for Multidimensional Spread Financial Markets with Logarithmic Utility

Stats, 2021
We consider a spread financial market defined by the multidimensional Ornstein–Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions using a stochastic dynamical programming method.
Sahar Albosaily, Serguei Pergamenchtchikov   +1 more
doaj   +1 more source

Detecting Critical Change in Dynamics Through Outlier Detection with Time‐Varying Parameters

British Journal of Mathematical and Statistical Psychology, EarlyView.
Abstract Intensive longitudinal data are often found to be non‐stationary, namely, showing changes in statistical properties, such as means and variance‐covariance structures, over time. One way to accommodate non‐stationarity is to specify key parameters that show over‐time changes as time‐varying parameters (TVPs). However, the nature and dynamics of
Meng Chen, Michael D. Hunter, Sy‐Miin Chow   +2 more
wiley   +1 more source