Modelling the Chinese crude oil futures returns through a skew‐geometric Brownian motion correlated with the market volatility index process for pricing financial options
Sign Up to like & getrecommendations! Published in 2024 at "Applied Stochastic Models in Business and Industry"
DOI: 10.1002/asmb.2882
Abstract: In this paper we model the dynamics of the Chinese crude oil futures returns by using a skew‐geometric Brownian motion correlated with the market volatility, which is taken as a square‐root stochastic process. We use… read more here.
Keywords: brownian motion; skew geometric; market volatility; geometric brownian ... See more keywords
Approximation of skew Brownian motion by snapping‐out Brownian motions
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DOI: 10.1002/mana.202400179
Abstract: We elaborate on the theorem saying that as permeability coefficients of snapping‐out Brownian motions tend to infinity in such a way that their ratio remains constant, these processes converge to a skew Brownian motion. In… read more here.
Keywords: skew brownian; snapping brownian; brownian motions; brownian motion ... See more keywords
The filtering problem for stochastic systems driven by G‐Brownian motion
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DOI: 10.1002/mma.10547
Abstract: This paper studies quasi‐sure exponential of triangular stochastic differential equations driven by G$$ G $$ ‐Brownian motion ( G$$ G $$ ‐SDEs, in short) with the help of the stability of each diagonal subsystems by… read more here.
Keywords: problem stochastic; filtering problem; driven brownian; stochastic systems ... See more keywords
The Solvability and Sensitivity of Nonautonomous Fractional Differential Inclusions Steered by Mixed Brownian Motion
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DOI: 10.1002/mma.10712
Abstract: The qualitative study of stochastic fractional nonautonomous systems in infinite‐dimensional spaces is rarely available in the literature. Our aim in this article is to examine the existence and sensitivity of a mild solution for a… read more here.
Keywords: fractional differential; differential inclusions; brownian motion; solvability sensitivity ... See more keywords
Multi‐valued backward stochastic differential equations driven by G‐Brownian motion and its applications
Sign Up to like & getrecommendations! Published in 2017 at "Mathematical Methods in The Applied Sciences"
DOI: 10.1002/mma.4335
Abstract: In this paper, we prove the existence and uniqueness of a solution for a class of backward stochastic differential equations driven by G-Brownian motion with subdifferential operator by means of the Moreau–Yosida approximation method. Moreover,… read more here.
Keywords: stochastic differential; backward stochastic; brownian motion; equations driven ... See more keywords
Mean square exponential stabilization of uncertain time‐delay stochastic systems with fractional Brownian motion
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DOI: 10.1002/rnc.5764
Abstract: This article is concerned with exponential mean square stabilization of stochastic systems driven by fractional Brownian motion subject to state‐delay and uncertainties by sliding mode control. By applying the proposed method, the states of the… read more here.
Keywords: square exponential; fractional brownian; stochastic systems; mean square ... See more keywords
The Zero Set of Fractional Brownian Motion Is a Salem Set
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Fourier Analysis and Applications"
DOI: 10.1007/s00041-017-9551-9
Abstract: The existence of sets supporting a Borel measure such that its Fourier transform tends to zero at infinity can be traced back to the problem of uniqueness of trigonometric series, studied extensively by Cantor. Given… read more here.
Keywords: brownian motion; salem sets; fractional brownian; motion salem ... See more keywords
Sample Paths Estimates for Stochastic Fast-Slow Systems Driven by Fractional Brownian Motion
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Statistical Physics"
DOI: 10.1007/s10955-020-02485-4
Abstract: We analyze the effect of additive fractional noise with Hurst parameter $$H > {1}/{2}$$ H > 1 / 2 on fast-slow systems. Our strategy is based on sample paths estimates, similar to the approach by… read more here.
Keywords: fast slow; sample paths; paths estimates; slow systems ... See more keywords
Memory Effect by Coupling Between Translational and Rotational Brownian Motion in Water–Ethanol Mixtures
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DOI: 10.1007/s10955-025-03501-1
Abstract: The Brownian motion in water–ethanol mixtures exhibits abnormally large displacements. Using falling-ball viscometry applied to colloidal particles, we experimentally verified that no anomaly exists in the viscosity coefficient of the solution. We concluded that the… read more here.
Keywords: rotational brownian; brownian motion; ethanol mixtures; water ethanol ... See more keywords
A New Model of Campi Flegrei Inflation and Deflation Episodes Based on Brownian Motion Driven by the Telegraph Process
Sign Up to like & getrecommendations! Published in 2018 at "Mathematical Geosciences"
DOI: 10.1007/s11004-018-9756-8
Abstract: A stochastic model to describe the vertical motions in the Campi Flegrei volcanic region is proposed herein, consisting of a Brownian motion process driven by a generalized telegraph process. Knowledge on the probability law of… read more here.
Keywords: campi flegrei; process; brownian motion; model ... See more keywords
An Efficient Algorithm for Simulating the Drawdown Stopping Time and the Running Maximum of a Brownian Motion
Sign Up to like & getrecommendations! Published in 2017 at "Methodology and Computing in Applied Probability"
DOI: 10.1007/s11009-017-9542-y
Abstract: We define the drawdown stopping time of a Brownian motion as the first time its drawdown reaches a duration of length 1. In this paper, we propose an efficient algorithm to efficiently simulate the drawdown… read more here.
Keywords: drawdown stopping; time; brownian motion; efficient algorithm ... See more keywords