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Stability of linear stochastic systems via Lyapunov exponents and applications to power systems
(ELSEVIER SCIENCE INC, 2012)
This paper studies linear systems under sustained random perturbations. The stochastic perturbation model is given by a bounded Markov diffusion process, as it appears, e. g., in the description of load or generation ...
QUENCHED INVARIANCE PRINCIPLE FOR THE KNUDSEN STOCHASTIC BILLIARD IN A RANDOM TUBE
(Inst Mathematical StatisticsClevelandEUA, 2010)
Quadrinomial trees with stochastic volatility to value real options
(Universidad ESAN. ESAN EdicionesPE, 2021-12-19)
Purpose. The purpose of this article is to propose a detailed methodology to estimate, model and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real option, using a quadrinomial ...
Estimation of a Stochastic-Volatility Jump-Diffusion Model
(ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2014)
Dynamical symmetries of Markov processes with multiplicative white noise
(IOP Publishing, 2016-05-19)
We analyse various properties of stochastic Markov processes with multiplicative white noise. We take a single-variable problem as a simple example, and we later extend the analysis to the Landau-Lifshitz-Gilbert equation ...
Effects of the Exchange Rate on the Fiscal Deficit: A Stochastic Mean-Reverting Jump-Diffusion Model for the Colombian Case
The most used methods to assess the impact of the exchange rate on the fiscal deficit are deterministic and are based on the elasticities of each of the variables affecting the deficit. This provides a very limited idea ...
Understanding the Lévy Ratchets in Terms of Lévy Jumps
(Iop Publishing, 2013-02)
We investigate the overdamped dynamics of a particle in a spatially periodic potential with broken reflection symmetry and subject to the action of a symmetric white Lévy noise. The system (referred to as the Lévy ratchet) ...
DECOMPOSITION OF STOCHASTIC FLOWS IN MANIFOLDS WITH COMPLEMENTARY DISTRIBUTIONS
(World Scientific Publ Co Pte LtdSingaporeSingapura, 2013)
Stochastic motion of an open bosonic string
(Elsevier Science BvAmsterdamHolanda, 1999)
On SDE associated with continuous-state branching processes conditioned to never be extinct
(2012)
We study the pathwise description of a (sub-)critical continuous-state branching process (CSBP)
conditioned to be never extinct, as the solution to a stochastic differential equation driven by Brownian
motion and Poisson ...