Results 61 to 70 of about 24,371 (146)

Financial Time Series Uncertainty: A Review of Probabilistic AI Applications

Journal of Economic Surveys, EarlyView.
ABSTRACT Probabilistic machine learning models offer a distinct advantage over traditional deterministic approaches by quantifying both epistemic uncertainty (stemming from limited data or model knowledge) and aleatoric uncertainty (due to inherent randomness in the data), along with full distributional forecasts.
Sivert Eggen, Tord Johan Espe, Kristoffer Grude, Morten Risstad, Rickard Sandberg   +4 more
wiley   +1 more source

Minimum Information Variability in Linear Langevin Systems via Model Predictive Control

Entropy
Controlling the time evolution of a probability distribution that describes the dynamics of a given complex system is a challenging problem. Achieving success in this endeavour will benefit multiple practical scenarios, e.g., controlling mesoscopic ...
Adrian-Josue Guel-Cortez, Eun-jin Kim, Mohamed W. Mehrez   +2 more
doaj   +1 more source

Stochastic Theories and Deterministic Differential Equations

Advances in Mathematical Physics, 2010
We discuss the concept of “hydrodynamic” stochastic theory, which is not based on the traditional Markovian concept. A Wigner function developed for friction is used for the study of operators in quantum physics, and for the construction of a quantum ...
John F. Moxnes, Kjell Hausken
doaj   +1 more source

An Exchange Rate Target Zone Model with a Terminal Condition and Mean-Reverting Fundamentals [PDF]

, 2015
This paper proposes a target zones exchange rate model with a terminal condition of entering a currency zone. It is assumed that the exchange rate is a function of the fundamental and time.
Ajevskis, Viktors
core   +1 more source

A set-indexed Ornstein-Uhlenbeck process

, 2012
The purpose of this article is a set-indexed extension of the well-known Ornstein-Uhlenbeck process. The first part is devoted to a stationary definition of the random field and ends up with the proof of a complete characterization by its $L^2 ...
Balança, Paul, Herbin, Erick
core   +3 more sources

Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice

The Journal of Finance, EarlyView.
ABSTRACT We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk‐averse investors (relative risk aversion γ>1$\gamma > 1$) fear return persistence, while risk‐tolerant investors (0<γ<1$0<\gamma <1$) fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID)
PASCAL J. MAENHOUT, HAO XING, ANNE G. BALTER   +2 more
wiley   +1 more source

Change Point Analysis for Functional Data Using Empirical Characteristic Functionals

Journal of Time Series Analysis, EarlyView.
ABSTRACT We develop a new method to detect change points in the distribution of functional data based on integrated CUSUM processes of empirical characteristic functionals. Asymptotic results are presented under conditions allowing for low‐order moments and serial dependence in the data establishing the limiting null‐distribution of the proposed test ...
Lajos Horváth, Gregory Rice, Jeremy VanderDoes   +2 more
wiley   +1 more source

Alternative way to derive the distribution of the multivariate Ornstein–Uhlenbeck process

Advances in Difference Equations, 2019
In this paper, we solve the Fokker–Planck equation of the multivariate Ornstein–Uhlenbeck process to obtain its probability density function. This approach allows us to ascertain the distribution without solving it analytically.
P. Vatiwutipong, N. Phewchean
doaj   +1 more source

Functional Vašiček Model

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka, Neda Mohammadi, Leonardo Santoro, Hong Miao, Haonan Wang   +4 more
wiley   +1 more source

Effects of Noise on Entropy Evolution

, 2005
We study the convergence properties of the conditional (Kullback-Leibler) entropy in stochastic systems. We have proved very general results showing that asymptotic stability is a necessary and sufficient condition for the monotone convergence of the ...
Abbondandolo, Andrey, Arnold, Arnold, Bhattacharya, Cover, Diaconis, Erickson, Evans, Feller, Feller, Gardiner, Horsthemke, Kitahara, Lasota, Loskot, Mackey, Markowich, Marta Tyran-Kamińska, Michael C. Mackey, Pichór, Qian, Qian, Risken, Steeb, Toscani, Voigt, Zakai   +27 more
core   +1 more source