Results 81 to 90 of about 1,204,996 (162)

Brownian confidence bands on Monte Carlo output [PDF]

, 2005
When considering a Monte Carlo estimation procedure, the path produced by successive partial estimates is often used as a guide for informal convergence diagnostics. However the confidence region associated with that path cannot be derived simplistically
Marin, Jean-Michel, Robert, Christian P., Kendall, W. S.   +2 more
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Canonical decompositions of certain generalized Brownian bridges [PDF]

, 2002
We define a generalized Brownian bridge and we provide some information about its filtration. Two decompositions of this process as a semi-martingale are given.
Alili, Larbi
core   +1 more source

The Confidence Limits of a Geometric Brownian Motion [PDF]

This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied. Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are ...
Power, Gabriel J., Turvey, Calum G.
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Skew Brownian motion with dry friction: Pugachev-Sveshnikov approach

, 2017
The Caughey-Dieness process, also known as the Brownian motion with two valued drift, is used in theoretical physics as an advanced model of the Brownian particle velocity if the resistant force is assumed to be dry friction. This process also appears in many other fields, such as applied physics, mechanics, astrophysics, and pure mathematics.
Berezin, Sergey, Zayats, Oleg
openaire   +2 more sources

A note on Refracted Skew Brownian Motion with an application

For refracted skew Brownian motion (skew Brownian motion with two-valued drift), adopting a perturbation approach we find expressions of its potential densities. As applications, we recover its transition density and study its long-time asymptotic behaviors.
Ahmadi, Zaniar, Zhou, Xiaowen
openaire   +2 more sources

Risk preference based option pricing in a fractional Brownian market [PDF]

We focus on a preference based approach when pricing options in a market driven by fractional Brownian motion. Within this framework we derive formulae for fractional European options using the traditional idea of conditional expectation.
Rostek, Stefan, Schöbel, Rainer
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Type I and Type II Fractional Brownian Motions: a Reconsideration [PDF]

The so-called type I and type II fractional Brownian motions are limit distributions associated with the fractional integration model in which pre-sample shocks are either included in the lag structure, or suppressed. There can be substantial differences
James Davidson, Nigar Hashimzade
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Non-local skew and non-local skew sticky Brownian motions

Journal of Evolution Equations
Abstract In this paper, we present a comprehensive study on the generalizations of skew Brownian motion and skew sticky Brownian motion by considering non-local operators at the origin for the heat equations on the real line. To begin, we introduce Marchaud-type operators and Caputo–Dzherbashian-type operators, providing an in-depth ...
openaire   +2 more sources

Pricing European and Barrier Options in the Fractional Black-Scholes Market [PDF]

The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
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Rates of convergence to the local time of oscillating and skew Brownian motion

Bernoulli
In this paper, a class of statistics based on high frequency observations of oscillating and skew Brownian motion is considered. Their convergence rate towards the local time of the underlying process is obtained in form of a functional limit theorem. Oscillating and skew Brownian motion are solutions to stochastic differential equations with singular ...
openaire   +3 more sources