Results 21 to 30 of about 637 (132)
DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE [PDF]
Mathematical Finance, 2016 AbstractWe derive the joint density of a Skew Brownian motion, its last visit to the origin, its local and occupation times. The result enables us to obtain explicit analytical formulas for pricing European options under both a two‐valued local volatility model and a displaced diffusion model with constrained volatility.
Alexander Gairat, Vadim Shcherbakov
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Regularity properties of the stochastic flow of a skew fractional Brownian motion [PDF]
Infinite Dimensional Analysis, Quantum Probability and Related Topics, 2020 In this paper we prove, for small Hurst parameters, the higher-order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive multi-dimensional fractional Brownian noise, where the bounded variation part is given by the local time of the unknown solution process. The proof of this result relies on
Amine, Oussama +2 more
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On the time inhomogeneous skew Brownian motion
Bulletin des Sciences Mathématiques, 2013 This paper is devoted to the construction of a solution for the "Inhomogenous skew Brownian motion" equation, which first appeared in a seminal paper by Sophie Weinryb, and recently, studied by Étoré and Martinez. Our method is based on the use of the Balayage formula. At the end of this paper we study a limit theorem of solutions.
Bouhadou, S., Ouknine, Y.
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On the multi-dimensional skew Brownian motion
Stochastic Processes and their Applications, 2015 We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic collisions.
Atar, Rami, Budhiraja, Amarjit
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On the local time process of a skew Brownian motion [PDF]
Transactions of the American Mathematical Society, 2019 We derive a Ray–Knight type theorem for the local time process (in the space variable) of a skew Brownian motion up to an independent exponential time. It is known that the local time seen as a density of the occupation measure and taken with respect to the Lebesgue measure has a discontinuity at the skew point (in our case at zero), but the local time
Borodin, Andrei, Salminen, Paavo
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Tracing the evolutionary history of the morpho‐anatomy of baculum in primates
The Anatomical Record, EarlyView.Abstract Animal morphology reflects both evolutionary history and present‐day adaptation. Male mammal copulatory structures such as the baculum (penile bone) are ideal for studying these processes because of their complexity and high interspecific variability. In primates, however, research has focused mostly on baculum length.
Federica Spani +3 more
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Maximum likelihood estimator for skew Brownian motion: The convergence rate
Scandinavian Journal of Statistics, 2023 AbstractWe give a thorough description of the asymptotic property of the maximum likelihood estimator (MLE) of the skewness parameter of a Skew Brownian Motion (SBM). Thanks to recent results on the Central Limit Theorem of the rate of convergence of estimators for the SBM, we prove a conjecture left open that the MLE has asymptotically a mixed normal ...
Lejay, Antoine, Mazzonetto, Sara
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Alternative Data for Realised Volatility Forecasting: Limit Order Book and News Stories
International Journal of Finance &Economics, EarlyView.ABSTRACT We examine whether two major alternative data sources, limit order book information and firm‐specific news, provide incremental predictive information for daily realised volatility forecasting within the HAR‐family, using a parsimonious framework to ensure practical implementation and comparability. The framework is designed for practical real‐
Eghbal Rahimikia, Ser‐Huang Poon
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Approximation of skew Brownian motion by snapping‐out Brownian motions
Mathematische NachrichtenAbstractWe elaborate on the theorem saying that as permeability coefficients of snapping‐out Brownian motions tend to infinity in such a way that their ratio remains constant, these processes converge to a skew Brownian motion. In particular, convergence of the related semigroups, cosine families, and projections is discussed.
Adam Bobrowski, Elżbieta Ratajczyk
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Economic Record, EarlyView.We study the effects of heat and high temperature shocks on inflation in Australia using monthly, state‐level temperature anomaly data via two stages. In the first stage, we decompose temperature anomalies into orthogonal components using a structural vector autoregression with long‐run restrictions.
Tan Dat Huynh, Mengheng Li
wiley +1 more source