Results 61 to 70 of about 1,268 (179)

Adaptive Estimation for Weakly Dependent Functional Times Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose adaptive mean and autocovariance function estimators for stationary functional time series under 𝕃p−m‐approximability assumptions. These estimators are designed to adapt to the regularity of the curves and to accommodate both sparse and dense data designs.
Hassan Maissoro, Valentin Patilea, Myriam Vimond   +2 more
wiley   +1 more source

Solving Stochastic Climate‐Economy Models: A Deep Least‐Squares Monte Carlo Approach

Mathematical Finance, EarlyView.
ABSTRACT Stochastic versions of recursive integrated climate‐economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number of state variables and stochastic shocks increases, solving these models via deterministic grid‐based dynamic programming (e.g., value‐function iteration/projection ...
Aleksandar Arandjelović, Pavel V. Shevchenko, Tomoko Matsui, Daisuke Murakami, Tor A. Myrvoll   +4 more
wiley   +1 more source

Limit theorems for a quadratic variation of Gaussian processes

Nonlinear Analysis, 2011
In the paper a weighted quadratic variation based on a sequence of partitions for a class of Gaussian processes is considered. Conditions on the sequence of partitions and the process are established for the quadratic variation to converge almost surely ...
Raimondas Malukas
doaj  

European option pricing under a MSBfBM-Vasicek model: Empirical analysis from the SSE 300ETF and 50ETF of China

International Review of Economics & Finance
As a core instrument in China’s financial derivatives market, the scientific pricing of SSE 50ETF options is crucial for market stability and investment decision-making.
Yanni Zhang, Guitian He, Yinyan Gan, Juncong Lai   +3 more
doaj   +1 more source

The pricing formulas of compound option based on the sub-fractional Brownian motion model

Journal of Physics: Conference Series, 2018
Based on the underlying asset driven by a sub-fractional Brownian motion, the formulas of pricing call option on a call option and other three kinds of compound options are derived by risk neutral valuation method. They are similar to the results based on the standard Brownian motion model and the fractional Brownian motion model.
Feng Xu, Runze Li
openaire   +1 more source

Market Making With Fads, Informed, and Uninformed Traders

Mathematical Finance, EarlyView.
ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci, Adrien Mathieu, Leandro Sánchez‐Betancourt   +2 more
wiley   +1 more source

Divergent trajectories of genome architecture and chromosome evolution in ferns and angiosperms

New Phytologist, EarlyView.
Variation in key fern genomic traits across families, mapped onto a summary phylogenetic tree. Summary Ferns and angiosperms represent the two largest vascular plant lineages but exhibit striking genomic and ecological contrasts. We investigated whether differences in genome size, chromosome architecture, GC content, and stomatal traits reveal ...
Petr Bureš, Kateřina Vejvodová, František Zedek, Tammy L. Elliott, Pavel Veselý, Michaela Fajkusová, Lenka Holubářová, Jana Schwarzová, Petr Šmarda, Jakub Šmerda, Klára Panda, Vlastik Rybka, Harald Schneider, Ilia J. Leitch, Libor Ekrt   +14 more
wiley   +1 more source

Variance Ratio Tests for Panels With Cross‐Section Dependence

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT This paper develops panel variance ratio statistics to examine serial dependence in time series with cross‐sectional dependence. We derive asymptotic properties for panels where the cross‐section dimension N$$ N $$ is fixed or grows with T. Using a factor structure to explain cross‐sectional dependence, we propose a common correlation effects ...
Seongman Moon, Carlos Velasco
wiley   +1 more source

Understanding extracellular vesicle biology, isolation, and characterization: The theory of EV‐erything

Periodontology 2000, EarlyView.
Abstract Background Extracellular vesicles (EVs), especially exosomes, are nanoparticles increasingly recognized as key regulators of intercellular communication in both physiological and pathological aspects. Despite rapid progress, inconsistencies in nomenclature, isolation, and characterization continue to restrict translational advancement.
Paras Ahmad, Nima Farshidfar, Nathan E. Estrin, Yulan Wang, Yufeng Zhang, Anton Sculean, Richard J. Miron   +6 more
wiley   +1 more source

The new stochastic solutions for the fractional stochastic (3+1)-model of fluid with gas bubbles

Journal of Low Frequency Noise, Vibration and Active Control
This study investigates the fractional (3 + 1)-dimensional equation for fluids with gas bubbles through conformable fractional operator, incorporating a noise term through the modified Sardar sub-equation method.
Mahmoud A. E. Abdelrahman, Mohammed B. Almatrafi   +1 more
doaj   +1 more source