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Modifying the stochastic model to mitigate GPS systematic errors in relative positioning
(2007-12-01)
The GPS observables are subject to several errors. Among them, the systematic ones have great impact, because they degrade the accuracy of the accomplished positioning. These errors are those related, mainly, to GPS ...
The Random Projection Method in Goodness of Fit for Functional Data
(Universidad de San Andrés. Departamento de Matemáticas y Ciencias, 2006-06)
Effect of Crack Patterns on the Stress Distribution of Hard Chromium Coatings under Sliding Contact: Stochastic Modeling Approach
(American Society of Mechanical Engineers, 2017-06)
In this work, the influence of different crack arrangements in the stress distribution of hard chromium (HC) coatings was determined. Three parameters for position and length of the cracks for two different types of coatings ...
Stochastic quantization of a self-interacting nonminimal scalar field in semiclassical gravity
(Elsevier B.V., 2019-11-10)
We employ stochastic quantization for a self-interacting nonminimal massive scalar field in curved spacetime. The covariant background field method and local momentum space representation are used to obtain the Euclidean ...
Numerical solution for linear-quadratic control problems of Markov jump linear systems and weak detectability concept
(Kluwer Academic/plenum PublNew YorkEUA, 2002)
Stochastic parameterization identification using ensemble Kalman filtering combined with maximum likelihood methods
(Taylor & Francis, 2018-01)
For modelling geophysical systems, large-scale processes are described through a set of coarse-grained dynamical equations while small-scale processes are represented via parameterizations. This work proposes a method for ...
Option pricing under multiscale stochastic volatility
(2015)
The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ...
Missing observations in stochastic difference equation with arma errorsMissing observations in stochastic difference equation with arma errors
(Sociedade Brasileira de Econometria, 1987)
Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility ModelExact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model
(Sociedade Brasileira de Econometria, 2003)
On the numerical methods for the Heston model
(2017-09-29)
In this thesis we revisit numerical methods for the simulation of the Heston model’sEuropean call. Specifically, we study the Euler, the Kahl-Jackel an two versions of theexact algorithm schemes. To perform this task, ...