Results 71 to 80 of about 24,371 (146)
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
Parameter estimation for Ornstein–Uhlenbeck processes driven by fractional Lévy process
Journal of Inequalities and Applications, 2018 We study the minimum Skorohod distance estimation θε∗ $\theta _{\varepsilon}^{\ast }$ and minimum L1 $L_{1}$-norm estimation θε˜ $\widetilde {\theta _{\varepsilon}}$ of the drift parameter θ of a stochastic differential equation dXt=θXtdt+εdLtd $dX_{t ...
Guangjun Shen, Yunmeng Li, Zhenlong Gao
doaj +1 more source
Measures of dependence for Ornstein-Uhlenbeck processes with tempered stable distribution [PDF]
In this paper we investigate the dependence structure for Ornstein-Uhlenbeck processes with totally skewed tempered stable structure. They are natural extension of Ornstein-Uhlenbeck processes with stable (and Gaussian) distribution.
Wylomanska-, Agnieszka
core +1 more source
Order Routing and Market Quality: Who Benefits From Internalization?
Mathematical Finance, EarlyView.ABSTRACT Does retail order internalization benefit (via price improvement) or harm (via reduced liquidity) retail traders? To answer this question, we compare two market designs that differ in their mode of liquidity provision: In the setting capturing retail order internalization, liquidity is provided by market makers (wholesalers) competing for the ...
Umut Çeti̇n, Albina Danilova
wiley +1 more source
$q-$Wiener ($\alpha,q)-$ Ornstein-Uhlenbeck processes. A generalization of known processes
, 2011 We collect, scattered through literature, as well as we prove some new properties of two Markov processes that in many ways resemble Wiener and Ornstein--Uhlenbeck processes.
Anshelevich +3 more
core +1 more source
Evolutionary legacies structure the geography of seagrass traits across the world's oceans
New Phytologist, EarlyView.Summary Traits modulate species' ability to track shifts in climate, yet the extent to which traits have been shaped by the contemporary environment and/or historical processes remains poorly understood. Here, we fill this gap for the world's seagrasses, habitat‐forming species that provide critical ecosystem services.
Nestor E. Bosch +2 more
wiley +1 more source
A note on the central limit theorem for a one-sided reflected Ornstein-Uhlenbeck process
, 2016 In this short communication we present a (functional) central limit theorem for the idle process of a one-sided reflected Ornstein-Uhlenbeck ...
Giorno +10 more
core +1 more source
Stochastic Simulation Model for Forecasting Index‐Linked Public Expenditure
Public Budgeting &Finance, EarlyView.Abstract This paper introduces a system dynamics (SD) model for analyzing public sector cost growth, where costs are tied to indices. The SD model isolates the effects of automatic indexation, providing probabilistic projections of expenditure growth. It enables testing of alternative indexation strategies and cost‐reduction measures. Findings show how
Miia Rissanen +2 more
wiley +1 more source
On a flow of transformations of a Wiener space
, 2011 In this paper, we define, via Fourier transform, an ergodic flow of transformations of a Wiener space which preserves the law of the Ornstein-Uhlenbeck process and which interpolates the iterations of a transformation previously defined by Jeulin and Yor.
Najnudel, J., Stroock, D., Yor, M.
core
Degenerate self-similar measures, spectral asymptotics and small deviations of Gaussian processes
, 2010 We find the logarithmic small ball asymptotics for the $L_2$-norm with respect to a degenerate self-similar measures of a certain class of Gaussian processes including Brownian motion, Ornstein - Uhlenbeck process and their integrated counterparts ...
Nazarov, A. I., Sheipak, I. A.
core +1 more source