continuous-time stochastic model
SMART-SREC: A STOCHASTIC MODEL OF THE NEW JERSEY SOLAR RENEWABLE ENERGY CERTIFICATE MARKET
... build stochastic models which describe how market rules affect price ...structural model for REC prices, driven by a continuous-time stochastic model for generation of renewable ...
24
Recursive Estimation for Continuous Time Stochastic Volatility Models Using the Milstein Approximation
... over time as economic conditions ...CIR model presented in [18]. The model defines the short rate as a CIR process with long-run mean (also known as central tendency) being itself a CIR process: ...
9
How To Find Opimal Conracs In A Continuous Time Model
... the continuous-time framework is Holmstrom and Milgrom [13], which showed that if both the principal and the agent have exponential utilities, then the optimal contract is ...of Stochastic Control ...
48
Fraud Prevention using Automated Audit Systems: A Strategic Imperative
... simple model that probe at the expected behavior of a fraudster in an accounting or transaction processing ...a stochastic model to look at the behavior and of the system and used game theory for ...
10
Stochastic differential equation for two-phase growth model
... to model. In this study, advantages of each model had been used to manage their ...of continuous time Markov chain, where its state represents the current size of population, occurs in ...
31
CellLab-CTS 2015: continuous-time stochastic cellular automaton modeling using Landlab
... two-dimensional, continuous-time stochastic (CTS) cellular automaton ...The model do- main consists of a set of grid nodes, with each node assigned an integer state code that represents its ...
17
An Application of Yield Management for Internet Service Providers
... with stochastic and dynamic arrivals and depar- tures of customers attempting to log-on or log-off, ...a continuous time Markov Decision Process for which optimal policies can be readily derived ...
15
Time inconsistency and reputation in monetary policy: a strategic model in continuous time
... concept of sequentially rational equilibrium is not satisfactory as a predictor of long-run behavior when the game is subjected to persistent stochastic shocks. So, we introduce the concept of sequentially ...
15
Continuous-time Continuous Stochastic Process Models of Pine Stumpage Prices and Plantation Returns in the Southeast US
... the model is considered a continuous-time continuous stochastic process ...2005). Continuous-time continuous stochastic process models are commonly used in ...
29
Continuous time stochastic analysis of optimal experimentation and of derivative asset pricing
... In Section 1.4, we discuss scenarios in which there is one-sided experimenta tion, meaning th at the monopolist either produces always more than the myopic quantity, or always less. One-sided experimentation arises if ...
160
Stability analysis for continuous-time switched systems with stochastic switching signals
... Randomly switched systems are considered to be a class of switched systems, which consist of a family of distinct active subsystems under operation governed by a stochastic process. According to one randomly ...
8
Identification of Continuous-Time Hammerstein Systems by Simultaneous Perturbation Stochastic Approximation
... to model accurately such plants and ...Hammerstein model (a static nonlinear subsystem followed by a linear subsystem), a Wiener model (a linear subsystem followed by a static nonlinear subsystem), ...
8
Inventory Management Models With Return Flows
... propose continuous review model. The model assumes the demand and return processes to be stochastic variables and ...lead time or disposed of with zero disposal lead ...this ...
5
Estimation for Parameters in Partially Observed Linear Stochastic System
... Recently, stochastic differential equations have been applied to describe the dynamics of a financial asset, asset portfolio and term structure of interest rates, such as the popular Black-Scholes option pricing ...
5
Parameter Estimation for the Continuous Time Stochastic Logistic Diffusion Model
... nuous time stochastic logistic diffusion system. A new continuous process is built based on the likelihood ratio scheme, the Radon-Nikodym derivative and the explicit expressions of the error of ...
14
A Stochastic SIVS Epidemic Model Based on Birth and Death Process
... well-known stochastic epidemic models have been used to investigate questions regarding the dynamics of an epidemic ...using stochastic models [8] ...the stochastic epidemic model. The ...
12
Discretization Model of Instantaneous Availability for Continuous-time Systems
... availability model single- unit-reparable systems following exponential distribution are ...the continuous-time models are not better in accuracy and computation complexity when the numerical ...
5
Two Optimization Problems of a Continuous in Time Financial Model
... In Section 2, we enrich this continuous-in-time financial model to take into account the possibility of saving. Then we propose two new optimization prob- lems involving this model. The first ...
16
Discrete Time or Continuous Time, That is the Question: the Case of Samuelson’s Multiplier Accelerator Model
... in continuous time and difference equations in discrete ...using continuous-time ...the continuous-time model (Merton, ...use continuous-time model in ...
9
The Properties of Stochastic Mutualism Model with Time-lagged Delays
... [8] M. Liu, K. Wang, ”Persistence and extinction in stochastic non- autonomous logistic systems”, J. Math. Anal. Appl. 375, 443-457, 2011. [9] X. Li, X. Mao, ”Population dynamical behavior of nonautonomous ...
8