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Forecasting portfolio returns with skew‐geometric Brownian motions
Applied Stochastic Models in Business and Industry, 2022 AbstractThe gist of this work is to propose a minimum tracking error portfolio that could be adopted not only as an automated alternative to ETFs but, it could also be potentially used to anticipate market changes in the target index. This goal has been achieved by adopting skew Brownian motion as a general framework.
Bufalo M., Liseo B., Orlando G.
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A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility
Fractal and Fractional, 2017 In the option pricing literature, it is well known that (i) the decrease in the smile amplitude is much slower than the standard stochastic volatility models and (ii) the term structure of the at-the-money volatility skew is approximated by a power-law ...
Hideharu Funahashi, Masaaki Kijima
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Maximum of Dyson Brownian motion and non-colliding systems with a boundary [PDF]
, 2009 We prove an equality-in-law relating the maximum of GUE Dyson's Brownian motion and the non-colliding systems with a wall. This generalizes the well known relation between the maximum of a Brownian motion and a reflected Brownian ...
Warren, Jon +4 more
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An Ideal Class to Construct Solutions for Skew Brownian Motion Equations [PDF]
Journal of Theoretical Probability, 2021 17 ...
Fulgence Eyi Obiang +2 more
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On Tightness of the Skew Random Walks
Journal of Probability and Statistics, 2012 The primary purpose of this paper is to prove a tightness of 𝛼-skew random walks. The tightness result implies, in particular, that the 𝛼-skew Brownian motion can be constructed as the scaling limit of such random walks.
Youngsoo Seol
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Variably Skewed Brownian Motion
Electronic Communications in Probability, 2000 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Burdzy, Krzysztof +3 more
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Skew-product decomposition of Brownian motion on an ellipsoid
Statistics & Probability Letters, 2023 In this article we obtain a skew-product decomposition of a Brownian motion on an ellipsoid of dimension $n$ in a Euclidean space of dimension $n+1$. We only consider such ellipsoid whose restriction to first $n$ dimensions is a sphere and its last coordinate depends on a variable parameter.
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Hausdorff measure of arcs and Brownian motion on Brownian spatial trees [PDF]
, 2009 A Brownian spatial tree is defined to be a pair $(\mathcal{T},\phi)$, where $\mathcal{T}$ is the rooted real tree naturally associated with a Brownian excursion and φ is a random continuous function from $\mathcal{T}$ into ℝd such that, conditional on ...
Croydon, David A.
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Bi-Directional Grid Constrained Stochastic Processes' Link to Multi-Skew Brownian Motion
, 2022 Bi-directional grid constrained (BGC) stochastic processes (BGCSPs) are identified as a variant rather than a special case of the multi-skew Brownian motion (M-SBM). This is because they have their own complexities, such as the barriers being hidden (not
Taranto, Aldo +2 more
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Linear filtering with fractional Brownian motion in the signal and observation processes [PDF]
, 1999 Integral equations for the mean-square estimate are obtained for the linear filtering problem, in which the noise generating the signal is a fractional Brownian motion with Hurst index h∈(3/4,1) and the noise in the observation process includes a ...
Kloeden, Peter E. +2 more
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