Results 51 to 60 of about 278,010 (203)
Handling Process Safety and Stochastic Uncertainty in Economic Model Predictive Control
IFAC-PapersOnLine, 2018 Abstract Process operational safety plays an important role in designing control systems for chemical processes. Motivated by this, in this work, we develop a process Safeness Index-based economic model predictive control system for a broad class of stochastic nonlinear systems with input constraints.
Zhe Wu +2 more
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"Stochastic Volatility with Leverage: Fast Likelihood Inference" [PDF]
Kim, Shephard, and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a fast and reliable Markov chain Monte Carlo (MCMC) algorithm. Their method ruled out the leverage effect, which is known to be important in applications.
Jouchi Nakajima +3 more
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Stochastic integration for uncoupled continuous-time random walks [PDF]
Continuous-time random walks are pure-jump processes with several applications in physics, but also in insurance, finance and economics. Based on heuristic considerations, a definition is given for the stochastic integral driven by continuous-time random
Germano, Guido +3 more
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A Discrete Model of Replenishable Resource Management Under Uncertainty [PDF]
This paper examines issues in the management of replenishable resources under uncertainty. The stochastic resource dynamics are given by the discrete-time counterpart of the classic logistic growth model.
Smith, J. Barry
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Switching to Perennial Energy Crops under Uncertainty and Costly Reversibility [PDF]
We study a farmer’s decision to convert traditional crop land into growing dedicated energy crops, taking in account sunk conversion costs, uncertainties in traditional and energy crop returns, and learning.
Song, Feng +2 more
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Chaotic Process in The Tehran Stock Price Index [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2006 The very complex movements in the stock prices are usually taken as random or stochastic, but they may be produced by a deterministic data generating process.
Saeed Moshiri, Habib Morovat
doaj
What Belongs Where? Variable Selection for Zero-Inflated Count Models with an Application to the Demand for Health Care [PDF]
This paper develops stochastic search variable selection (SSVS) for zero-inflated count models which are commonly used in health economics. This allows for either model averaging or model selection in situations with many potential regressors.
Markus Jochmann
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BarekengPremium reserves play a vital role in ensuring that insurance firms can meet their future obligations to policyholders. Traditional fixed-rate approaches often fail to reflect market volatility, leading to potential misestimations.
Krishna Prafidya Romantica +3 more
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In this paper we study the detailed distributional properties of integrated non-Gaussian OU (intOU) processes. Both exact results and approximate results are given. We emphasise the study of the tail behaviour of the intOU process.
Neil Shephard, Ole E. Barndorff-Nielsen
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An estimated DSGE model for the United Kingdom [PDF]
We estimate the dynamic stochastic general equilibrium model of Christiano, Eichenbaum, and Evans (2005) on United Kingdom data. Our estimates suggest that price stickiness is a more important source of nominal rigidity in the U.K.
Edward Nelson, Riccardo DiCecio
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