Results 11 to 20 of about 48,055 (245)
Symmetric Stochastic Integrals with Respect to a Class of Self-similar Gaussian Processes [PDF]
Journal of Theoretical Probability, 2018 We study the asymptotic behavior of the $ν$-symmetric Riemman sums for functionals of a self-similar centered Gaussian process $X$ with increment exponent $0(2\ell+1)^{-1}$, we prove that the convergence holds in probability.
Daniel Harnett +2 more
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Methods for analysis of functionals on Gaussian self similar processes [PDF]
, 2018 Many engineering and scientific applications necessitate the estimation of statistics of various functionals on stochastic processes. In Chapter 2, Norros et al’s Girsanov theorem for fBm is reviewed and extended to allow for non-unit volatility. We then
Bhatia, Hirdyesh
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Invariance properties of the negative binomial Levy process and stochastic self-similarity [PDF]
International Mathematical Forum, 2007 We study the concept of self-similarity with respect to stochastic time change. The negative binomial process (NBP) is an example of a family of random time transformations with respect to which stochastic self-similarity holds for certain stochastic processes.
T. J. Kozubowski, K. Podgorski
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Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models [PDF]
, 2005 We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stochastic volatility model of Barndorff-Nielsen and Shephard (2001) with those of the COGARCH process.
Ross Maller +6 more
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Journal of Statistical Mechanics: Theory and Experiment, 2022 Abstract We study the fluctuations of the area A ( t
Smith, Naftali R., Majumdar, Satya N.
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Self-dual continuous processes [PDF]
, 2013 The important application of semi-static hedging in financial markets naturally leads to the notion of conditionally quasi self-dual processes which is, for continuous semimartingales, related to conditional symmetry properties of both their ordinary as ...
Rheinländer, Thorsten, Schmutz, Michael
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Structural preferential attachment: Stochastic process for the growth of scale-free, modular, and self-similar systems [PDF]
Physical Review E, 2012 Many complex systems have been shown to share universal properties of organization, such as scale independence, modularity and self-similarity. We borrow tools from statistical physics in order to study structural preferential attachment (SPA), a recently proposed growth principle for the emergence of the aforementioned properties.
Hébert-Dufresne, Laurent +4 more
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Extremal behavior of stochastic volatility models [PDF]
, 2005 Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has - sometimes quite substantial - upwards jumps and clusters on high levels.
Lindner, Alexander M. +7 more
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What Do Large Language Models Know About Materials?
Advanced Engineering Materials, EarlyView.If large language models (LLMs) are to be used inside the material discovery and engineering process, they must be benchmarked for the accurateness of intrinsic material knowledge. The current work introduces 1) a reasoning process through the processing–structure–property–performance chain and 2) a tool for benchmarking knowledge of LLMs concerning ...
Adrian Ehrenhofer +2 more
wiley +1 more source
A study of self-similar traffic generation for ATM networks [PDF]
, 1997 This thesis discusses the efficient and accurate generation of self-similar traffic for ATM networks. ATM networks have been developed to carry multiple service categories.
Chen, Hung-Ming, Chen, H.
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