Gamma process
Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options.
... Variance Gamma process, which requires generation of uniform variates ...the gamma bridge ...the gamma bridge, generalizes to a Dirichlet distribution of the increments at all time partition ...
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Model selection with application to gamma process and inverse Gaussian process
... the gamma process and the inverse Gaussian process are suitable for modeling gradual damage in- troduced by continuous ...degradation process is essentially to select a distribution for the ...
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Imperfect inspection characterization for gamma process structural deterioration model
... updated gamma process is applied with respect to the imperfect inspection outcomes for this bridge to identify the percentage loss of moment capacity over the lifetime of this ...tion process of ...
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Option Pricing Under the Variance Gamma Process
... jump process, because a self financing contin- uous trading strategy in the underlying asset and in the riskless bond that replicates the payoff does not ...density process is also iden- tified by Madan and ...
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Bivariate Degradation Modeling Based on Gamma Process
... Δ is denoted as (4). But from Fig.2, we can see that the ation increment is not a constant each 0.01 million cycles, it continues to increase along with cycles, that is, the cumulative degradation is not a linear ...
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Model selection with application to gamma process and inverse Gaussian process
... The gamma process and the inverse Gaussian process are widely used in condition-based main- ...a gamma process can be well approximated by an inverse Gaussian process or the ...
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Valuation of European and American Options under Variance Gamma Process
... Based on our analysis in modeling Indonesia Stock Indices we can conclude that the VG model performs very well compared to the GBM model. The VG model can match the first four moments, including skewnesss and excess ...
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Gamma process model for timber-concrete composite beam deterioration prediction
... This paper presents the application of the advanced probabilistic slope stability model with precipitation effects (APSMP) developed to assess the performance of small homogeneous earthfill embankment dam slopes, when ...
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Gaseous Reactions of Methane and Various Polyhalomethanes with Bromine and Iodine Activated by the (n, gamma) Process
... Preparation of Reaction Systems Neutron activated gaseous reactions of I128 and Br80 with CH and 4 various organic molecules were studied in the presence or absence of molecular and atom[r] ...
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Lévy processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics
... Variance Gamma (VG) process introduced by Madan and Seneta (1990) (see also Madan et ...Bilateral Gamma (BG) process considered recently by K¨ uchler and Tappe ...VG process of Madan et ...
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Efficient pricing of barrier options with the variance gamma model
... VARIANCE GAMMA Under the variance gamma model, the asset log-return dy- namics are characterized by a continuous-time stochas- tic process obtained as a subordinate to Brownian mo- tion, where the ...
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Stochastic modeling of forces on jacket-type offshore
... Gamma process provides individual shell length time series for blue mussels in the first year of 51.. colonization.[r] ...
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VASI CEK BEYOND THE NORMAL
... Ornstein-Uhlenbeck process are preserved if we replace the Brownian motion with some other process with independent and stationary increments— that is, a L´evy ...driving process is compound ...OU ...
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Monotonicity Results and Inequalities for the Gamma and Incomplete Gamma Functions
... the gamma and incomplete gamma functions with usual ...the gamma or incomplete gamma functions are deduced or extended, a unified proof of some known results for the gamma function is ...
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Preparation and Characterization of Silymarin Nanocrystals and Phytosomes with Investigation of their Stability using Gamma Irradiation
... The process of sterilization using gamma radiation should be used carefully with semi crystalline or amorphous drug formulations to enable control of undesirable effects on solubility due to changes in the ...
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Effect of Gamma Irradiation on Fatty Acid Composition of Rainbow Trout (Oncorhynchus mykiss) Fillets
... low-dose gamma irradiation (0, 1, 3 and 5 kGy) on fatty acid composition of Rainbow trout (Oncorhynchus mykiss) ...irradiation process and different doses of irradiation in this study (1, 3 and 5 kGy) had ...
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Bounds for triple gamma functions and their ratios
... double gamma functions and the triple gamma functions are obtained with the help of the series representation of di-double gamma and di-triple gamma ...
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Ocular Detection for Biometric Recognition Using Gamma Correction, Histogram Thresholding & PCA
... next process is to fix the dimensions of the segmented image in order to allow for ...normalization process will produce ocular regions, which have the same constant dimensions, so that two images of the ...
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Some Monotonicity Properties of the q-Gamma Function
... on gamma and q-gamma functions from properties of completely monotonic functions, by applying them to functions related to ψ 0 or ψ 0 q ...on gamma and q-gamma functions via this ...
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GAMMA CAMERA IMAGING OF WATER FLOODING PROCESS IN POROUS MEDIA USING RADIOTRACER
... which gamma camera has proved the clear visualization of water ...Nevertheless, gamma camera can be used to study the hydrodynamics of oil inside the Laboratory Porous Media provided the selection of oil ...
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