continuous-time stochastic processes
Rare event simulation for stochastic dynamics in continuous time
... for continuous time processes, in order to study rare events of dynamic observables of interacting lattice ...discrete time [9], with limited and mostly numerical results in continuous ...
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A construction of continuous-time ARMA models by iterations of Ornstein-Uhlenbeck processes
... of processes, the Ornstein-Uhlenbeck processes of order p, denoted ...stationary continuous-time processes or the series obtained by observing these continuous processes ...
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Variance Optimization for Continuous Time Markov Decision Processes
... than stochastic differential equations, so Markowitz’s mean-variance port- folio problem should be extended to ...For continuous-time, the variance of the average expected re- turn has been defined ...
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Identification of Continuous-Time Hammerstein Systems by Simultaneous Perturbation Stochastic Approximation
... The modelling of real-world plants and processes, which are non- linear in nature, remains a challenging problem. Both an expert and intelligent systems are therefore required to model accurately such plants and ...
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Stochastic integration for uncoupled continuous time random walks
... renewal processes and discrete-time random ...waiting time distribution is exponential, meaning that ψ(τ) = λ exp( − λτ ) [10, ...semi-Markov processes [11, 12], ...
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Piecewise deterministic Markov processes for continuous time Monte Carlo
... a stochastic process that has π(x) as its stationary ...a continuous-time SMC version) then after a suit- able burn-in period this will give us weighted sam- ples from ...
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Parameter Estimation for the Continuous Time Stochastic Logistic Diffusion Model
... the stochastic differential equation with to describe the real systems disturbed by random ...the stochastic logistic diffusion model has been widely used in the field of social life, application of ...
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Bandwidth selection for continuous time Markov processes
... for continuous-time Markov ...nonstationary processes of the recurrent ...di¤usion processes, jump-di¤usion processes, as well as processes measured with error as is the case, ...
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DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
... discrete time representations of stochastic differ- ential equation systems were eloquently conveyed in Bergstrom (1990), and the algorithms currently available are able to deal with most of the features ...
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Piecewise Deterministic Markov Processes for Continuous Time Monte Carlo
... on continuous-time versions of these Monte Carlo ...example, continuous-time MCMC algorithms have been proposed (Peters and de With, 2012; Bouchard-Cˆ ot´ e et ...a ...
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Continuous time stochastic analysis of optimal experimentation and of derivative asset pricing
... C hapter 2 of the thesis critically reviews the so-called direct approach to debt option pricing which attem pts to extend the Black-Scholes framework to the valuation of options on bonds. In fact, the valuation of these ...
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Applications of Dynamic Equilibrium Continuous Markov Stochastic Processes to Elements of Survival Analysis
... a time interval sufficiently far away from the birth of the ...their stochastic counter- parts, which are often associated with multi-dimensional non-homogeneous continuous Markov stochastic ...
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Stochastic Economic Dynamics
... a stochastic context in continuous time, using Wiener processes for the description of various sources of uncertainty in the growth rate of the labor force, the rate of capital depreciation, ...
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Low-frequency estimation of continuous-time moving average Lévy processes
... stochastic processes including semimartingales and non-semimartingales, ...defined. Continuous-time Lévy-driven moving average processes provide a unifying approach to many popular ...
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Analysis of stochastic fluid queues driven by local time processes
... continuous then it is not difficult to attach a physical meaning to it as a cumulative input process to a secondary queue. For mathematical completeness, we shall also consider the case where L is a.s. ...
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Recursive Estimation for Continuous Time Stochastic Volatility Models Using the Milstein Approximation
... nonlinear stochastic processes ...sampled continuous time stochastic volatility models using the Milstein ...proposed stochastic volatility ...
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On the excursions of reflected local time processes and stochastic fluid queues
... not continuous, that is to say if 0 is an irregular point for X, then this Lemma is taken as an additional requirement to the definition of ...local time on an interval I to be the sum of all the weights of ...
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Analytical Valuation of Contingent Claims by Stochastic Interacting Systems for Stock Market
... of stochastic processes and interacting particle systems and models, including stopping time theory and stochastic voter model, we model a financial stock price model that contains two types ...
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Detectability of Granger causality for subsampled continuous-time neurophysiological processes
... discrete time—for performing Granger-causal infer- ence (Solo, 2007; Valdes-Sosa et ...state-space processes—unlike VAR processes—are closed un- der subsampling, the addition of additive noise, ...
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Randomized and Relaxed Strategies in Continuous-Time Markov Decision Processes
... Abstract. One of the goals of this article is to describe a wide class of control strategies, which includes the traditional relaxed strategies, as well as the so called randomized strategies which appeared earlier only ...
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