Results 91 to 100 of about 10,498,711 (191)

A general methodology for the simulation of Ornstein-Uhlenbeck-Lévy and Lévy-Ornstein-Uhlenbeck processes applied to option pricing

, 2023
LAUREA MAGISTRALEI processi Lévy-Ornstein-Uhlenbeck e Ornstein-Uhlenbeck-Lévy sono una classe generale di processi utilizzata per una varietà di applicazioni finanziarie.
CASTELLANO, SEBASTIAN
core  

Application of Kalman Filter to Stochastic Volatility Models of the Orstein‑Uhlenbeck Type

Acta Universitatis Lodziensis. Folia Oeconomica, 2018
Barndorff‑Nielsen and Shephard (2001) proposed a class of stochastic volatility models in which the volatility process is the Ornstein‑Uhlenbeck process driven by a Levy process without gaussian component.
Piotr Szczepocki
doaj   +1 more source

Using the Ornstein-Uhlenbeck Process for Random Exploration

Proceedings of the 4th International Conference on Complexity, Future Information Systems and Risk, 2019
In model-based Reinforcement Learning, an agent aims to learn a transition model between attainable states. Since the agent initially has zero knowledge of the transition model, it needs to resort to random exploration in order to learn the model.
Johannes Nauta, Yara Khaluf, Pieter Simoens   +2 more
openaire   +3 more sources

Modeling crude oil spot price as an Ornstein - Uhlenbeck process

, 2018
Unexpected downturn in crude oil price in recent years has led to recession in economies of countries like Nigeria, and Venezuela. Search for a stochastic model that could give a good description of the movement of crude oil price led to the use of ...
Ogbogbo, Chisara Peace
core   +1 more source

Random attractors for stochastic lattice reversible Gray-Scott systems with additive noise

Electronic Journal of Differential Equations, 2015
In this article, we prove the existence of a random attractor of the stochastic three-component reversible Gray-Scott system on infinite lattice with additive noise.
Hongyan Li, Junyi Tu
doaj  

Time Scale Transformation in Bivariate Pearson Diffusions: A Shift from Light to Heavy Tails

Axioms
Heavy-tailed Pearson diffusions provide a natural alternative to well-known Ornstein–Uhlenbeck and Cox–Ingersoll–Ross processes in applications that require addressing heavy-tailed behavior.
Nenad Šuvak
doaj   +1 more source

Asymptotic Exponential Arbitrage in the Schwartz Commodity Futures Model

International Journal of Mathematics and Mathematical Sciences, 2019
In this paper, we consider the Schwartz’s one-factor model for a storable commodity and a futures contract on that commodity. We introduce the analysis of asymptotic arbitrage in storable commodity models by proving that the futures prices process allows
Tesfamariam Tadesse Welemical, Jane Akinyi Aduda, Martin Le Doux Mbele Bidima   +2 more
doaj   +1 more source

Estimating continuous-time income models [PDF]

While earning processes are commonly unobservable income flows which evolve in continuous time, observable income data are usually discrete, having been aggregated over time.
Schluter, Christian, Trede, Mark
core  

Stochastic Modeling of Adaptive Trait Evolution in Phylogenetics: A Polynomial Regression and Approximate Bayesian Computation Approach

Mathematics
In nature, closely related species often exhibit diverse characteristics, challenging simplistic line interpretations of trait evolution. For these species, the evolutionary dynamics of one trait may differ markedly from another, with some traits ...
Dwueng-Chwuan Jhwueng, Chia-Hua Chang
doaj   +1 more source

Modeling Dynamic Regime Shifts in Diffusion Processes: Approximate Maximum Likelihood Estimation for Two-Threshold Ornstein–Uhlenbeck Models

Mathematics
This study addresses the problem of estimating parameters in a two-threshold Ornstein–Uhlenbeck diffusion process, a model suitable for describing systems that exhibit changes in dynamics when crossing specific boundaries. Such behavior is often observed
Svajone Bekesiene, Anatolii Nikitin, Serhii Nechyporuk   +2 more
doaj   +1 more source