Dynamics of a Duffing oscillator with the stiffness modeled as a stochastic process
Sign Up to like & getrecommendations! Published in 2019 at "International Journal of Non-Linear Mechanics"
DOI: 10.1016/j.ijnonlinmec.2019.07.012
Abstract: Abstract The Duffing equation has been extensively studied in the last decades, especially in systems of vibrating micro-beams subjected to electro-mechanical fluctuating fields. However, mechanical systems are often subjected to uncertainties coming from the excitation… read more here.
Keywords: stochastic processes; methodology; non stationary; stochastic process ... See more keywords
Hyper-positive definite functions I: scalar case, Branching-type stationary stochastic processes
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Functional Analysis"
DOI: 10.1016/j.jfa.2021.109266
Abstract: We propose a definition of branching-type stationary stochastic processes on rooted trees and related definitions of hyper-positivity for functions on the unit circle and functions on the set of non-negative integers. We then obtain (1)… read more here.
Keywords: type stationary; stochastic processes; branching type; stationary stochastic ... See more keywords
Online Kernel estimation of stationary stochastic diffusion models
Sign Up to like & getrecommendations! Published in 2017 at "Quantitative Finance"
DOI: 10.1080/14697688.2016.1262054
Abstract: Nonparametric regression has recently become important in quantitative finance due to its distribution-free property. However, this advantage does not come without any cost. As large sample sizes are always required to adequately estimate local structures,… read more here.
Keywords: diffusion models; nonparametric regression; finance; stationary stochastic ... See more keywords