Results 61 to 70 of about 1,119,897 (215)

Bounding the Čebyšev Functional for the Riemann-Stieltjes Integral via a Beesack Inequality and Applications [PDF]

, 2008
Lower and upper bounds of the Čebyšev functional for the Riemann- Stieltjes integral are given. Applications for the three point quadrature rules of functions that are n-time differentiable are also ...
Cerone, Pietro, Dragomir, Sever S
core  

Rough PDEs for Local Stochastic Volatility Models

Mathematical Finance, Volume 35, Issue 3, Page 661-681, July 2025.
ABSTRACT In this work, we introduce a novel pricing methodology in general, possibly non‐Markovian local stochastic volatility (LSV) models. We observe that by conditioning the LSV dynamics on the Brownian motion that drives the volatility, one obtains a time‐inhomogeneous Markov process. Using tools from rough path theory, we describe how to precisely
Peter Bank, Christian Bayer, Peter K. Friz, Luca Pelizzari   +3 more
wiley   +1 more source

Sequential Detection of Three-Dimensional Signals under Dependent Noise

, 2017
We study detection methods for multivariable signals under dependent noise. The main focus is on three-dimensional signals, i.e. on signals in the space-time domain. Examples for such signals are multifaceted. They include geographic and climatic data as
Prause, Annabel, Steland, Ansgar
core   +1 more source

A Stratonovich integral for anticipating processes

Mathematical Methods in the Applied Sciences, Volume 48, Issue 7, Page 7695-7705, 15 May 2025.
A stochastic integral for anticipating integrands was introduced by Ayed and Kuo in 2008. Riemann–Stieltjes sums were considered, where the adapted part of the integrand was evaluated at the left endpoints of the subintervals, while the instantly independent part was evaluated at the right endpoints.
Marc Jornet
wiley   +1 more source

A NEW AND EFFICIENT SIMPSON’S 1/3-TYPE QUADRATURE RULE FOR RIEMANN-STIELTJES INTEGRAL

JOURNAL OF MECHANICS OF CONTINUA AND MATHEMATICAL SCIENCES, 2020
In this research paper, a new derivative-free Simpson 1/3-type quadrature scheme has been proposed for the approximation of the Riemann-Stieltjes integral (RSI).
K. Memon
semanticscholar   +1 more source

A Deterministic Model of the Gamma Radiation at the Soil Surface–Including Soil Moisture Correction for Better Radiation Data Exploitation in Soil Mapping

Journal of Plant Nutrition and Soil Science, Volume 188, Issue 2, Page 299-311, April 2025.
ABSTRACT Background During the last decades, gamma spectrometry data have increasingly been used in soil science, for example, for mapping. However, the full data potential could not be exploited due to certain constraints, among which the insufficient representation of attenuating materials (in particular, water) in correction algorithms is the most ...
Ludger Herrmann, Georg Zimmermann
wiley   +1 more source

Existence and Attractivity Results for Coupled Systems of Nonlinear Volterra–Stieltjes Multidelay Fractional Partial Integral Equations

Abstract and Applied Analysis, 2018
We are concerned with some existence and attractivity results of a coupled fractional Riemann–Liouville–Volterra–Stieltjes multidelay partial integral system. We prove the existence of solutions using Schauder’s fixed point theorem; then we show that the
Saïd Abbas, Mouffak Benchohra, Naima Hamidi, Gaston N’Guérékata   +3 more
doaj   +1 more source

Aturan Titik Tengah \textit{Double} untuk Mengaproksimasi Integral Riemann-Stieltjes

Jurnal Matematika Integratif, 2023
Aturan titik tengah double dimodifikasi untuk mengaproksimasi integral RiemannStieltjes. Koefisien dari metode ini didapat dengan menyelesaikannya sistem persamaan nonlinear yang didapat dari penerapan fungsi monomial sampai pangkat tertentu. Selanjutnya
Rike Marjulisa, Imran M
doaj   +1 more source

Generalized Caputo Fractional Proportional Differential Equations and Inclusion Involving Slit-Strips and Riemann-Stieltjes Integral Boundary Conditions

Contemporary Mathematics
The main purpose of this study is to investigate the existence and uniqueness of solutions to a nonlocal boundary value problem. This newly defined class involves nonlinear fractional differential equations of general proportional fractional derivative ...
W. Shammakh, Hanan A. Alyami, Hadeel Z. Alzumi   +2 more
semanticscholar   +1 more source

Option pricing in a stochastic delay volatility model

Mathematical Methods in the Applied Sciences, Volume 48, Issue 2, Page 1927-1951, 30 January 2025.
This work introduces a new stochastic volatility model with delay parameters in the volatility process, extending the Barndorff–Nielsen and Shephard model. It establishes an analytical expression for the log price characteristic function, which can be applied to price European options.
Álvaro Guinea Juliá, Raquel Caro‐Carretero   +1 more
wiley   +1 more source