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Some Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent driftSome Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent drift
(Universidad de Costa Rica, Centro de Investigación en Matemática Pura y Aplicada (CIMPA), 2002)
Option pricing from Ornstein Uhlenbeck process : explicit valuation formula and numerical approximation
(Universidad EAFITMaestría en Matemáticas AplicadasEscuela de Ciencias. Departamento de Ciencias BásicasMedellín, 2021)
Fractional iterated Ornstein-Uhlenbeck Processes
(Institute of Mathematical Statistics, 2019)
We present a Gaussian process that arises from the iteration of p fractional Ornstein–Uhlenbeck processes generated by the same fractional Brownian motion. When the values of the parameters defining the iteration are ...
Valorización de opciones reales: modelo Ornstein-Uhlenbeck
(Universidad ESAN. ESAN EdicionesPE, 2016-12-01)
This study has as its main objective to develop an analysis of decision making under uncertainty using the real options application in the evaluation of investments in mining projects. It is also proposed to study the ...
Valorización de opciones reales: modelo Ornstein-Uhlenbeck
(Universidad ESAN. ESAN EdicionesPE, 2016-12-01)
This study has as its main objective to develop an analysis of decision making under uncertainty using the real options application in the evaluation of investments in mining projects. It is also proposed to study the ...
Some Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent driftSome Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent drift
(2009-02-20)
Se considera el operador de Schr¨odinger en el c´?rculo unitario, con un potencial detipo Ornstein – Uhlenbeck, cuyo factor tendencial depende de la posici´on. Se describela distribuci´on del primer valor propio peri´odico, ...
Some Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent driftSome Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent drift
(2009-02-20)
Se considera el operador de Schr¨odinger en el c´?rculo unitario, con un potencial detipo Ornstein – Uhlenbeck, cuyo factor tendencial depende de la posici´on. Se describela distribuci´on del primer valor propio peri´odico, ...
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models
(Springer-Verlag Italia s.r.l., 2014)
We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, 2006), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth ...
D-Optimal Designs For Complex Ornstein-Uhlenbeck Processes
(2018)
Complex Ornstein-Uhlenbeck (OU) processes have various applications in statistical modelling. They play role e.g. in the description of the motion of a charged test particle in a constant magnetic field or in the study of ...