stochastic time-discrete process
Wavelet Based Estimation of the Derivatives of a Density for a Discrete-Time Stochastic Process: Lp-Losses
... a stochastic process to attain the same result as for the associated, negatively associated and m-dependent cases, we have to impose certain weak dependence conditions on the considered process { X n ...
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Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference
... mixing process depending on the (unobservable) information arrival ...mixing process is positively autocorrelated, the resulting return process reveals volatility clustering which is a well-known and ...
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Asymptotic Properties of the Discrete Stability Time Series with Missed Observations Between Two Vector Valued Stochastic Process
... continuous time stationary processes''; ...the discrete expanded finite Fourier transform with missed observations''; ...continuous time series'' and ''Asymptotic Properties of spectral Estimates of ...
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Synchronization of a class of uncertain stochastic discrete time delayed neural networks
... same time, most of the papers mentioned above are concerned with continuous- time neural ...use, discrete-time types of models should be ...investigating discrete-time neural ...
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Discrete stochastic optimal control and direct digital control of a process
... In this scenario, one can opt (i) to reduce the controller gain (CG) and to apportion a part of the dead time (time delay); or (ii) reduce the control action by accounting fo[r] ...
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Hedging of long term zero-coupon bonds in a market model with reinvestment risk
... curve process appropriately. Classical stochastic term structure models, which assume that bonds with unlimited times to maturity are traded at each point in time, do not provide the right framework ...
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Robust stabilization of hybrid uncertain stochastic systems by discrete-time feedback control
... the discrete-time feedback controls in [29, 33, 34] are based on the discrete- time observations of the state but they still depend on the continuous-time observations of the ...on ...
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RLS Wiener Predictor with Uncertain Observations in Linear Discrete Time Stochastic Systems
... The current paper’s main contribution is the derivation of a recursive least-squares algorithm for the predictor and filter design in systems with non-independent uncer- tain observations, using covariance information. ...
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Robust stabilization of hybrid uncertain stochastic systems with time varying delay by discrete time feedback control
... chemical process systems and electrical networks systems, fre- quently encounter time ...uncertain time-delay systems has developed into a hot topic, and a huge number of pa- pers have ...
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Optimal premium pricing strategies for nonlife products in competitive insurance markets
... a stochastic demand function for the volume of business of an insurance company into a discrete-time extending further Taylor’s ideas [71, ...wealth process of the company, as Emms et ...
116
On behavioral Arrow Pratt risk process with applications to risk pricing, stochastic cash flows, and risk control
... behavioural stochastic Arrow-Pratt risk process, decomposed into discrete asymmetric risk seeking and risk averse components that run on different local times in ϵ-disks centered at risk free ...and ...
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Discrete Time Nonlinear Stochastic Optimal Control Problem Based on Stochastic Approximation Approach
... In this paper, a computational approach is proposed for solving the dis- crete-time nonlinear optimal control problem, which is disturbed by a se- quence of random noises. Because of the exact solution of such ...
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Power-law vs exponential queueing in a network traffic model
... popular stochastic model, namely the infinite capacity discrete-time queue with deterministic service rate and M | G |∞ arrival ...dependent stochastic model bears little impact on queueing ...
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Discrete-time option pricing with stochastic liquidity
... introduce stochastic liquidity in the conic finance ...specific stochastic liquidity model using multidimensional binomial trees to the S&P 500 index option ...separate process that can be ...
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Identification and Modeling of Outliers in a Discrete - Time Stochastic Series
... in discrete-stochastic series are to identify the locations and types of outliers and estimating the effects of ...the process until no significant perturbation is ...
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Reinforcement learning and the power law of practice: some analytical results
... the stochastic process is well described by a system of discrete time difference equation of the replicator type (Lemma 1) and b) if the trajectories of the system of replicator equations ...
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Semi-discrete semi-linear parabolic spdes
... The stochastic heat equation, semi-discrete stochastic heat equation, dis- crete space, parabolic Anderson model, Lyapunov exponents, dissipative behavior, comparison prin- ciple, interacting ...
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On properties of the American put option under several models
... Similar results exist if the optimal stopping problem is a finite time horizon one or the underlying process has jumps. As a consequence, the definitions of the subsolution and supersolution need to be ...
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Approximate analysis of a discrete-time polling system with bursty arrivals
... have dealt with finite buffer polling systems in discrete-time or in continuous-time.. analyzed a discrete-time polling system with finite buffer capacity under bursty arrival process. T[r] ...
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Inventory Management Models With Return Flows
... another process. In case of direct reuse the recovery process may vanish completely, with returned products directly entering serviceable ...Recovery process as already stated is an alternative to ...
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