Stochastic Improvement of Cyclic Railway Timetables [PDF]
Real-time railway operations are subject to stochastic disturbances. However, a railway timetable is a deterministic plan. Thus a timetable should be designed in such a way that it can cope with the stochastic disturbances as well as possible.
Dekker, R. +4 more
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A physically based analytical model of flood frequency curves
Geophysical Research Letters, 2016 Predicting magnitude and frequency of floods is a key issue in hydrology, with implications in many fields ranging from river science and geomorphology to the insurance industry.
S. Basso, M. Schirmer, G. Botter
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A statistically predictive model for future monsoon failure in India
Environmental Research Letters, 2012 Indian monsoon rainfall is vital for a large share of the world’s population. Both reliably projecting India’s future precipitation and unraveling abrupt cessations of monsoon rainfall found in paleorecords require improved understanding of its stability
Jacob Schewe, Anders Levermann
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Estimating fixed-effect panel stochastic frontier models by model transformation [PDF]
Traditional panel stochastic frontier models do not distinguish between unobserved individual heterogeneity and inefficiency. They thus force all time-invariant individual heterogeneity into the estimated inefficiency. Greene (2005) proposes a true fixed-
Ho, Chia-Wen, Wang, Hung-Jen
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Robust Utility Maximization in a Stochastic Factor Model [PDF]
We give an explicit PDE characterization for the solution of a robust utility maximization problem in an incomplete market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor process. The robust
Daniel Hernandez–Hernandez +1 more
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Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution [PDF]
Bayesian analysis of a stochastic volatility model with a generalized hyperbolic (GH) skew Student's t-error distribution is described where we first consider an asymmetric heavy-tailness as well as leverage effects. An efficient Markov chain Monte Carlo
Jouchi Nakajima, Yasuhiro Omori
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Environmental Carcinogenesis as a Stochastic Evolutionary Failure of Senescence-Control Systems
CellsEnvironmental carcinogenesis is traditionally explained by the accumulation of genetic alterations induced by exogenous carcinogens. However, most exposed cells do not undergo malignant transformation because intrinsic tumor-suppressive mechanisms limit ...
Jose-Ramon Blanco, Amancio Carnero
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Regret and Conservatism of Constrained Stochastic Model Predictive Control
We analyse conservatism and regret of stochastic model predictive control (SMPC) when using moment-based ambiguity sets for modeling unknown uncertainties.
Findeisen, Rolf, +3 more
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"Leverage, heavy-tails and correlated jumps in stochastic volatility models" [PDF]
This paper proposes the efficient and fast Markov chain Monte Carlo estimation methods for the stochastic volatility model with leverage effects, heavy-tailed errors and jump components, and for the stochastic volatility model with correlated jumps.
Jouchi Nakajima, Yasuhiro Omori
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An application of the nonselfadjoint operators theory in the study of stochastic processes
, 2004 The theory of operator colligations in Hilbert spaces gives rise to certain models for nonselfadjoint operators, called triangular models. These models generalize the spectral decomposition of selfadjoint operators.
Debbi, Latifa, Abbaoui, Lyazid
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