Results 11 to 20 of about 1,147,771 (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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Asymmetric Dipole Trends in Geodynamo Models and the Paleomagnetic Field
Geochemistry, Geophysics, Geosystems, 2023 Temporal trends in the paleomagnetic dipole moment exhibit the property of positive skewness. On average, positive trends are larger and occur less frequently than negative trends over timescales of several tens of kyr.
B. A. Buffett
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Croatian Operational Research Review, 2019 This paper concerns the cost optimisation analysis of a discrete-time finite-capacity multiserver queueing system with Bernoulli feedback, synchronous multiple and single working vacations, balking, and reneging during both busy and working vacation ...
Lahcene Yahiaoui +2 more
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Spatial stochastic predator-prey models [PDF]
, 2006 We consider a broad class of stochastic lattice predator-prey models, whose main features are overviewed. In particular, this article aims at drawing a picture of the influence of spatial fluctuations, which are not accounted for by the deterministic ...
Georgiev, Ivan T. +2 more
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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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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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Hidden Symmetries of Stochastic Models [PDF]
, 2007 In the matrix product states approach to $n$ species diffusion processes the stationary probability distribution is expressed as a matrix product state with respect to a quadratic algebra determined by the dynamics of the process.
Aneva, Boyka
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