Results 11 to 20 of about 1,362,476 (292)

MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS [PDF]

Mathematical Finance, 2013
The aim of this work is to advocate the use of multifractional Brownian motion (mBm) as a relevant model in financial mathematics. mBm is an extension of fractional Brownian motion where the Hurst parameter is allowed to vary in time. This enables the possibility to accommodate for varying local regularity, and to decouple it from long‐range dependence
Corlay, Sylvain, Lebovits, Joachim, Lévy Véhel, Jacques   +2 more
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THE APPLICATION OF A STOCKPILE STOCHASTIC MODEL INTO LONG-TERM OPEN PIT MINE PRODUCTION SCHEDULING TO IMPROVE THE FEED GRADE FOR THE PROCESSING PLANT

Rudarsko-geološko-naftni Zbornik, 2020
This paper presents a chance-constrained integer programming approach based on the linear method to solve the longterm open pit mine production scheduling problem.
Javad Gholamnejad, Ali Azimi, Reza Lotfian, Sara Kasmaeeyazdi, Francesco Tinti   +4 more
doaj   +1 more source

Why Is Aedes aegypti Moving South in South America?

Mathematics, 2022
Colonies of Aedes aegypti have been reported at increasingly southern locations. Is this feature a manifestation of climate change or the result of the mosquito’s adaptation?
Lucas Ernesto Alonso, Victoria Romeo Aznar, Hernán Gustavo Solari   +2 more
doaj   +1 more source

Bisimulation Relations Between Automata, Stochastic Differential Equations and Petri Nets [PDF]

, 2010
Two formal stochastic models are said to be bisimilar if their solutions as a stochastic process are probabilistically equivalent. Bisimilarity between two stochastic model formalisms means that the strengths of one stochastic model formalism can be used
Henk A.P. Blom, Manuela Bujorianu, Mariken H.C. Everdij, Michael Fisher   +3 more
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Stochastic six-vertex model [PDF]

, 2014
We study the asymmetric six-vertex model in the quadrant with parameters on the stochastic line. We show that the random height function of the model converges to an explicit deterministic limit shape as the mesh size tends to 0.
Borodin, Alexei, Corwin, Ivan, Gorin, Vadim   +2 more
core   +1 more source

Wind energy production by means of diffusion stochastic process. Parameters estimation [PDF]

EPJ Web of Conferences
In this work, we attempt to model wind energy production via a stochastic diffusion process. We consider an Ito-type stochastic differential * equation (SDE) and determine the probabilistic characteristics of the stochastic process solution, particularly
Oubamou Zian, El Kettani Moummou
doaj   +1 more source

Data assimilation in slow-fast systems using homogenized climate models [PDF]

, 2011
A deterministic multiscale toy model is studied in which a chaotic fast subsystem triggers rare transitions between slow regimes, akin to weather or climate regimes.
Ambaum, Anderson, Anderson, Anderson, Anderson, Anderson, Bergemann, Berner, Berner, Branstator, Buizza, Cheng, Cornick, Corti, Crommelin, Crommelin, Crommelin, Crommelin, Ditlevsen, Egger, Ehrendorfer, Evensen, Evensen, Franzke, Franzke, Franzke, Franzke, Frederiksen, Gardiner, Georg A. Gottwald, Givon, Golub, Hamill, Hamill, Harlim, Harlim, Hasselmann, Hsu, Imkeller, Kalnay, Khasminsky, Kimoto, Kleeman, Kondrashov, Kramers, Kurtz, Kwasniok, Legras, Leith, Lewis Mitchell, Li, Lin, Lin, Lorenz, Lorenz, Luzzatto, Majda, Majda, Majda, Majda, Majda, Melbourne, Palmer, Palmer, Papanicolaou, Pavliotis, Pavliotis, Plant, Shutts, Siegert, Simon, Stemler, Stephenson, Sura, Sura, Talagrand, Tippett, Tucker, Wang, Wilks, Wilks, Wirth, Zwanzig   +82 more
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Stochastic spatial models [PDF]

SIAM Review, 1999
The author considers a spatial model with the space represented as a grid of sites that can be in one of a finite number of states. The site changes its state with a rate that depends on states of a finite number of sites. Assuming that sites are independent, the behaviour of such models can be studied with the help of mean field ordinary differential ...
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Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact [PDF]

, 2015
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution.
Ishitani, Kensuke, Kato, Takashi
core   +3 more sources

Stochastic Bifurcation Models

The Annals of Probability, 1999
We study an ordinary differential equation controlled by a stochastic process. We present results on existence and uniqueness of solutions, on associated local times (Trotter and Ray-Knight theorems), and on time and direction of bifurcation. A relationship with Lipschitz approximations to Brownian paths is also discussed.
Burdzy, Krzysztof, Bass, Richard F.
openaire   +3 more sources