Results 51 to 60 of about 24,371 (146)
British Journal of Mathematical and Statistical Psychology, EarlyView.Abstract In the present study, we extend a stochastic differential equation (SDE) model, the Ornstein–Uhlenbeck (OU) process, to the simultaneous analysis of time series of multiple variables by means of random effects for individuals and variables using a Bayesian framework.
José Ángel Martínez‐Huertas +1 more
wiley +1 more source
Epidemic Waves in a Stochastic SIRVI Epidemic Model Incorporating the Ornstein–Uhlenbeck Process
Mathematics, 2023 The worldwide data for COVID-19 for active, infected individuals in multiple waves show that traditional epidemic models with constant parameters are not able to capture this kind of disease behavior.
Fehaid Salem Alshammari +1 more
doaj +1 more source
On weak uniqueness for some degenerate SDEs by global $L^p$ estimates
, 2014 We prove uniqueness in law for possibly degenerate SDEs having a linear part in the drift term. Diffusion coefficients corresponding to non-degenerate directions of the noise are assumed to be continuous.
Priola, Enrico
core +1 more source
Life Cycle Consumption and Portfolio Choice Under Real Interest Rate Risk
Financial Management, EarlyView.ABSTRACT We set up a life cycle model with real interest rate risk to demonstrate that real interest rates have implications for optimal household consumption and investments. Lower interest rates lead to higher optimal stock investments and lower consumption.
Marcel Fischer, Natascha Jankowski
wiley +1 more source
AIMS MathematicsIn this paper, we investigated a food chain model driven by the Ornstein-Uhlenbeck process, incorporating the Holling type Ⅱ functional response, nonlinear prey refuge, and the Allee effect in the top predator.
Shujie Yang, Binghui Zhao, Xiaohui Ai
doaj +1 more source
On the Integral of the Fractional Brownian Motion and Some Pseudo-Fractional Gaussian Processes
Mathematics, 2019 We investigate the main statistical parameters of the integral over time of the fractional Brownian motion and of a kind of pseudo-fractional Gaussian process, obtained as a classical Gauss−Markov process from Doob representation by replacing ...
Mario Abundo, Enrica Pirozzi
doaj +1 more source
Intervention in Ornstein-Uhlenbeck SDEs [PDF]
, 2013 We introduce a notion of intervention for stochastic differential equations and a corresponding causal interpretation. For the case of the Ornstein-Uhlenbeck SDE, we show that the SDE resulting from a simple type of intervention again is an Ornstein ...
Sokol, Alexander
core
A Comparative Review of Specification Tests for Diffusion Models
International Statistical Review, EarlyView.Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez +3 more
wiley +1 more source
Journal of Integrative Plant Biology, EarlyView.Some African Cyphostemma species evolved much larger genomes as they adapted to dry, rocky habitats. These expansions are linked to succulent traits and specialization on nutrient‐rich limestone outcrops. The findings show how climate‐driven aridification shaped plant evolution and highlight broader genome‐environment patterns across flowering plants ...
Rindra M. Ranaivoson +18 more
wiley +1 more source
Maximum Likelihood Estimators for a Supercritical Branching Diffusion Process
International Journal of Mathematics and Mathematical Sciences, 2012 The log-likelihood of a nonhomogeneous Branching Diffusion Process under several conditions assuring existence and uniqueness of the diffusion part and nonexplosion of the branching process.
Pablo Olivares, Janko Hernandez
doaj +1 more source