Results 11 to 20 of about 1,139,330 (298)
Linear Stochastic Dyadic Model [PDF]
Journal of Statistical Physics, 2021 AbstractWe discuss a stochastic interacting particles’ system connected to dyadic models of turbulence, defining suitable classes of solutions and proving their existence and uniqueness. We investigate the regularity of a particular family of solutions, called moderate, and we conclude with existence and uniqueness of invariant measures associated with
Luigi Amedeo Bianchi, Francesco Morandin
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Modelling stochastic correlation [PDF]
Journal of Mathematics in Industry, 2016 This work deals with the stochastic modelling of correlation in finance. It is well known that the correlation between financial products, financial institutions, e.g., plays an essential role in pricing and evaluation of financial derivatives. Using simply a constant or deterministic correlation may lead to correlation risk, since market observations ...
Teng, Long +2 more
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Multivariate Stochastic Variance Models [PDF]
The Review of Economic Studies, 1994 Abstract Changes in variance, or volatility, over time can be modelled using the approach based on autoregressive conditional heteroscedasticity (ARCH). However, the generalizations to multivariate series can be difficult to estimate and interpret. Another approach is to model variance as an unobserved stochastic process.
Harvey, Andrew +2 more
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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 +2 more
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Stochastic models of kleptoparasitism [PDF]
, 2007 In this paper, we consider a model of kleptoparasitism amongst a small group of individuals, where the state of the population is described by the distribution of its individuals over three specific types of behaviour (handling, searching for or fighting
Auger +28 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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Combined Liouville–Caputo Fractional Differential Equation
Fractal and Fractional, 2023 This paper studies a fractional differential equation combined with a Liouville–Caputo fractional differential operator, namely, LCDηβ,γQ(t)=λϑ(t,Q(t)),t∈[c,d],β,γ∈(0,1],η∈[0,1], where Q(c)=qc is a bounded and non-negative initial value.
McSylvester Ejighikeme Omaba +4 more
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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.
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An Insight into the Potassium Currents of hERG and Their Simulation
Molecules, 2023 By assuming that a stepwise outward movement of the four S4 segments of the hERG potassium channel determines a concomitant progressive increase in the flow of the permeant potassium ions, the inward and outward potassium currents can be simulated by ...
Rolando Guidelli
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A Stochastic Approach for Product Costing in Manufacturing Processes
Mathematics, 2021 Nowadays, manufacturing companies are characterized by complex systems with multiple products being manufactured in multiple assembly lines. In such situations, traditional costing systems based on deterministic cost models cannot be used.
Paulo Afonso +4 more
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