Results from stochastic analysis
Sensitivity results in stochastic analysis
... a stochastic differential equation driven by fractional Brownian motion if the stochastic differential equation is one-dimensional or H > 1 2 ...rough stochastic differential equation driven by ...
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Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction
... • The expressions for the higher order moments are very lengthy and not reported here. However, they can be computed using symbolic calculus and the results are available using the implemented Matlab function ...
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Contributions to stochastic analysis
... in stochastic analysis introduced by Itˆ o is focused mainly on ...Starting from that, great efforts have been made to develop a stochastic calculus for fractional Brownian motion when H 6= 1 ...
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A stochastic analysis of scoring systems
... M orris (1977) defined th e im p o rtan c e of a p o in t an d estab lish ed an ap p ro x im ate relatio n sh ip betw een th e increased p ro b ab ility of w inning a p o in t or set of p o in ts a n d th e increased p ...
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Robust stochastic analysis with applications
... our results about RDEs accessible for these examples, we prove all the required sample path properties in Section ...certain stochastic differential equations. In Appendix A.6 some known results ...
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Dynamic stochastic analysis of the farm subsidy-efficiency link : evidence from France
... our results seem to be interesting since they suggest public subsidies have only a small negative marginal effect on farm technical ...the stochastic and dynamic nature of the agricultural production ...
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Stochastic analysis of multivariate point processes
... limiting Poisson process are independent. We shall show how these results fit into a more general pattern and finally deduce £inlar’s result from ours. In the next section, using results about ...
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Stochastic techno-economic analysis of the production of aviation biofuel from oilseeds
... establishing stochastic models capable of evaluating the extent to which uncertainties can influence the financial metrics [3, 9, ...models, stochastic versions are considered to be more reliable, as they ...
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Spectral Analysis of Stochastic Processes
... deviation from a straight line is not easily visible ...the analysis to a straight line in the log-log plot forces F ( s ) in the procrustean bed of ...This results in attributing LRD to all pro- ...
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On the analysis of stochastic timed systems
... complication results from the fact that we verify unbounded reach- ability properties, yet we can only explore finite prefixes of ...files from a sender to a receiver: We could pick the transmission ...
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On the analysis of stochastic timed systems
... complication results from the fact that we verify unbounded reach- ability properties, yet we can only explore finite prefixes of ...files from a sender to a receiver: We could pick the transmission ...
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Analysis of Stochastic Matching Markets
... starting from an arbitrary matching of a solvable sr instance one can always find a sta- ble matching by successively satisfying blocking pairs; and that starting from an arbitrary matching of an instance of ...
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Exact Results for the Evolution of Stochastic Switching in Variable Asymmetric Environments
... matrix, from which we can compute the long-term growth rate for given parameter ...our results primarily for the case where there is asymmetry between the fitness of the two phenotypes but the environmental ...
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Markovian arrivals in stochastic modelling: a survey and some new results
... The variants and generalizations touched on in the review paper have been well chosen by the authors, as they also lead to matrix formulations for which analysis can be carried out in terms of matrix-analytic ...
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ANALYSIS OF HEURISTICS FOR STOCHASTIC PROGRAMMING: RESULTS FOR HIERARCHICAL SCHEDULING PROBLEMS*
... Before we discuss the asymptotic implications of Theorem 1, we note that there exist second stage heuristics with a better worst case performance than arbitrary list sc[r] ...
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Some Results on Stochastic Language Modelling
... SOME RESULTS ON STOCHASTIC LANGUAGE MODELLING S O M E R E S U L T S O N S T O C H A S T I C L A N G U A G E M O D E L L I N G Renato De Mori and Roland Kuhn S c h o o l o f C o m p u t e r S c i e n c[.] ...
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Stochastic processes crossing from ballistic to fractional diffusion with memory: exact results
... 1 Department of Chemical Physics, The Weizmann Institute of Science, Rehovot 76100, Israel 2 Bogolyubov Institute for Theoretical Physics, 252143 Kiev, Ukraine Received March 15, 2010 We address the now classical problem ...
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Research Article Generalisation of Hajek s Stochastic Comparison Results to Stochastic Sums
... univariate stochastic comparison result is generalised to multivariate stochastic sum processes with univariate convex data functions and for univariate monotonic nondecreasing convex data functions for ...
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Sensitivity analysis of drinking dynamics: From deterministic to stochastic formulations
... derived from the de- terministic model; stochastic simulations are used to quantify how histograms of the number of problem drinkers depend on the recovery and relapse rates, as these rates are gradually ...
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Approximation Results for Preemptive Stochastic Online Scheduling
... Our results are based on a new nontrivial lower bound for the preemptive stochastic schedul- ing ...relaxation from Chekuri et al. [3]. The crucial ingredient to our results is then the ...
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