Results 1 to 10 of about 24,420 (193)
Comparing Information Metrics for a Coupled Ornstein–Uhlenbeck Process [PDF]
Entropy, 2019 It is often the case when studying complex dynamical systems that a statistical formulation can provide the greatest insight into the underlying dynamics.
James Heseltine, Eun-jin Kim
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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
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Introducing a novel mean-reverting Ornstein–Uhlenbeck process based stochastic epidemic model [PDF]
Scientific ReportsThe major objective of this paper is to examine a novel mean-reverting Ornstein–Uhlenbeck process-based stochastic SIRD model for transmission the epidemic disease that is a great crisis in numerous societies. For this purpose, the deterministic model is
Parisa Nabati
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Gamma mixed fractional Lévy Ornstein–Uhlenbeck process
Modern Stochastics: Theory and Applications, 2023 In this article, a non-Gaussian long memory process is constructed by the aggregation of independent copies of a fractional Lévy Ornstein–Uhlenbeck process with random coefficients. Several properties and a limit theorem are studied for this new process.
Héctor Araya +2 more
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Levy Noise Affects Ornstein–Uhlenbeck Memory [PDF]
EntropyThis paper investigates the memory of the Ornstein–Uhlenbeck process (OUP) via three ratios of the OUP increments: signal-to-noise, noise-to-noise, and tail-to-tail. Intuition suggests the following points: (1) changing the noise that drives the OUP from
Iddo Eliazar
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Red noise in continuous-time stochastic modelling [PDF]
Royal Society Open ScienceThe 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
Andreas Morr +2 more
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Modeling Financial Markets Using Combined Ornstein-uhlenbeck Process with Levy Noise [PDF]
تحقیقات مالی, 2021 Objective: The main purpose of this paper is to investigate a developed stochastic algorithm for modeling financial markets using the Ornstein-uhlenbeck process combined with Levy noise. Using the closing prices of stock markets, it can be concluded that
Mina Mohammadi, Parisa Nabati
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PERSAMAAN DIFERENSIAL ORNSTEIN-UHLENBECK DALAM PERAMALAN HARGA SAHAM
Media Statistika, 2020 Geometric Brownian motion is one of the most widely used stock price model. One of the assumptions that is filled with stock return volatility is constant. Gamma Ornstein-Uhlenbeck process a model to describe volatility in finance.
Amam Taufiq Hidayat, Subanar Subanar
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European Journal of Mathematical Analysis, 2023 The paper shows that the distribution of the normalized least squares estimator of the drift parameter in the fractional Ornstein-Uhlenbeck process observed over [0, T] converges to the standard normal distribution with an uniform optimal error bound of ...
Jaya P. N. Bishwal
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A construction of continuous-time ARMA models by iterations of Ornstein-Uhlenbeck processes [PDF]
, 2016 We present a construction of a family of continuous-time ARMA processes based on p iterations of the linear operator that maps a Lévy process onto an Ornstein-Uhlenbeck process. The construction resembles the procedure to build an AR(p) from an AR(1). We
Arratia Quesada, Argimiro Alejandro +2 more
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