Results 21 to 30 of about 91,741 (276)
A stochastic corrosion model for structural steels subject to sea waters [PDF]
مجله مدل سازی در مهندسی, 2018 In order to perform reliability analysis of steel structures subject to sea waters and thus to corroding marine environments, it is necessary to use: a) a model describing physical behavior of corrosion in structures placed in these circumstances and b ...
Mohammad Reza Moarefzadeh
doaj +1 more source
NeuroImage, 2022 Anxiety influences how the brain estimates and responds to uncertainty. The consequences of these processes on behaviour have been described in theoretical and empirical studies, yet the associated neural correlates remain unclear.
Thomas P Hein, Maria Herrojo Ruiz
doaj +1 more source
Source regions of some persistent organic pollutants measured in the atmosphere at Birkenes, Norway [PDF]
Atmospheric Chemistry and Physics, 2009 A key feature of POPs (Persistent Organic Pollutants) is their potential for long-range atmospheric transport. In order to better understand and predict atmospheric source-receptor relationships of POPs, we have modified an existing Lagrangian transport ...
S. Eckhardt +4 more
doaj +1 more source
Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions [PDF]
Bernoulli, 2019 Subordinating a multivariate Lévy process, the subordinate, with a univariate subordinator gives rise to a pathwise construction of a new Lévy process, provided the subordinator and the subordinate are independent processes. The variance-gamma model in finance was generated accordingly from a Brownian motion and a gamma process.
Buchmann, Boris +2 more
openaire +5 more sources
Prediction of PM2.5 pollution in Tehran air based on temperature and pressure using Markovian regime-switching non-parametric additive transitive regression model [PDF]
ریاضی و جامعه, 2023 In this paper, we introduce the Markovian regime-switching regression model, which is a graphical model based on the hidden Markov model. This model can be viewed as a clustered regression model, in which a Markov process models the transition from one ...
Morteza Amini
doaj +1 more source
Option Pricing under the Variance Gamma Process [PDF]
SSRN Electronic Journal, 2004 In this dissertation we price European and American vanilla and barrier options assuming that the underlying follows the variance gamma process. We solve numerically the problem implementing a finite difference algorithm and we present numerical experiments on the option pricing.
openaire +1 more source
Closed-form approximations for spread options in Lévy markets [PDF]
, 2019 We provide new closed-form approximations for the pricing of spread options in three specific instances of exponential Lévy markets, ie, when log-returns are modeled as Brownian motions (Black-Scholes model), variance gamma processes (VG model), or ...
Steven Vanduffel +5 more
core +1 more source
Efficient Option Pricing under Levy Processes, with CVA and FVA
Frontiers in Applied Mathematics and Statistics, 2015 We generalize the Piterbarg (2010) model to include 1) bilateral default risk as in Burgard and Kjaer (2012), and 2) jumps in the dynamics of the underlying asset using general classes of L'evy processes of exponential type.
Jimmy eLaw +2 more
doaj +1 more source
eLife, 2023 Previous research has highlighted the role of glutamate and gamma-aminobutyric acid (GABA) in perceptual, cognitive, and motor tasks. However, the exact involvement of these neurochemical mechanisms in the chain of information processing, and across ...
George Zacharopoulos +3 more
doaj +1 more source
Reliability Engineering & System Safety, 2022 This paper considers the degradation modelling of a non-monotonous health indicator. A Variance Gamma process is proposed for the degradation modelling and its calibration in presence of data is discussed. The remaining useful lifetime estimation based on this model is considered and its sensitivity to parameters estimates is analysed.
Salem, Marwa Belhaj +2 more
openaire +3 more sources