Results 101 to 110 of about 15,808 (165)

The Evaluation Of Barrier Option Prices Under Stochastic Volatility [PDF]

This paperc onsiders the problem o fnumerically evaluating barrier option prices when the dynamics of the underlying are driven by stochastic volatility following the square root process of Heston (1993). We develop a method of lines approach to evaluate
Boda Kang, Gunter H. Meyer, Carl Chiarella   +2 more
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tail behavior of a threshold autoregressive stochastic volatility model [PDF]

We consider a threshold autoregressive stochastic volatility model where the driving noises are sequences of iid regurlarly random vatiables. We prove that both the right and the left tails of the marginal distribution of the log-volatility process are ...
Dominique Guegan, Aliou Diop
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Existence and uniqueness theorem of associated solutions of the stochastic differential system with measures

Журнал Белорусского государственного университета: Математика, информатика, 2018
The Cauchy problem for stochastic differential system with measures is considered in the paper. Finite-difference with averaging system of stochastic differential equations with correspondence to Cauchy problem is investigated.
Artsiom Y. Rusetski
doaj  

Mittag–Leffler Fractional Stochastic Integrals and Processes with Applications

Mathematics
We study Mittag–Leffler (ML) fractional integrals involved in the solution processes of a system of coupled fractional stochastic differential equations.
Enrica Pirozzi
doaj   +1 more source

Finite dimensional Markovian realizations for stochastic volatility forward rate models [PDF]

We consider forward rate rate models of HJM type, as well as more general infinite dimensional SDEs, where the volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process.
Björk, Tomas, Svensson, Lars, Landén, Camilla   +2 more
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Copula Modeling and Uncertainty Propagation in Field‐Scale Simulation of CO2 Fault Leakage

Water Resources Research
Subsurface storage of CO2 is an important means to mitigate climate change, and the North Sea hosts considerable potential storage resources. To investigate the fate of CO2 over decades in vast reservoirs, numerical simulation based on realistic models ...
Per Pettersson, Eirik Keilegavlen, Tor Harald Sandve, Sarah E. Gasda, Sebastian Krumscheid   +4 more
doaj   +1 more source

Extracting a Common Stochastic Trend:Theories with Some Applications [PDF]

This paper investigates the statistical properties of the Kalman filter for state space models including integrated time series. In particular, we derive the full asymptotics of maximum likelihood estimation for some prototypical class of such models, i ...
Joon Y. Park, J. Isaac Miller, Yoosoon Chang   +2 more
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Optimal control of stochastic partial differential equations in Banach spaces [PDF]

, 2010
In this thesis we study optimal control problems in Banach spaces for stochastic partial differential equations. We investigate two different approaches.
Serrano Perdomo, Rafael Antonio, o Perdomo, Rafael Antonio   +1 more
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Classical Stochastic Representation of Quantum Mechanics

Brazilian Journal of Physics
We show that the dynamics of a quantum system can be represented by the dynamics of an underlying classical systems obeying the Hamilton equations of motion. This is achieved by transforming the phase space of dimension $2n$ into a Hilbert space of dimension $n$ which is obtained by a peculiar canonical transformation that changes a pair of real ...
openaire   +2 more sources

A Stochastic Integral Representation for Random Evolutions

The Annals of Probability, 1985
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +3 more sources