time-dependent stochastic process
Optimal investment of a time dependent renewal risk model with stochastic return
... finite- and infinite-time ruin probabilities. Cossette et al. [] assumed a generalized Farlie- Gumbel-Morgenstern (FGM) copula for (X, ξ ), and they derived the Laplace transform of the Gerber-Shiu discounted ...
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Global Uniqueness Result for Functional Differential Equations Driven by a Wiener Process and Fractional Brownian Motion
... the stochastic differential equations driven simultaneously by a fractional Brownian motion and standard Brownian motion have been studied by several ...multidimensional, time dependent, ...
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Time-dependent mean-field investigations of the quasifission process
... proach gives rise to Langevin description for nucleon ex- change between projectile-like and target-like nuclei char- acterized by diffusion and drift coefficients [77]. It is well known that the Langevin description is ...
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Wavelet Based Estimation of the Derivatives of a Density for a Discrete-Time Stochastic Process: Lp-Losses
... Chaubey et al. [5,6] extended results of [24] for a sequence of associated and negatively associated random variables. Doosti and Nezakati [15] and Chaubey and Doosti [7] obtained upper bounds for the L p -losses for a ...
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Modelling stochastic mortality for dependent lives
... continuous-time stochastic process for the instan- taneous mortality intensity, which can be interpreted as a stochastic force of ...between time to default and remaining lifetime and – ...
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BUASCSDSEC — Uncertainty Assessment of Coupled Classification and Statistical Downscaling Using Gaussian Process Error Coupling
... unidentifiable, stochastic simulation of samples from the posterior PDF can be used to encapsulate its probabilistic information and to solve the multi-dimensional ...for stochastic sample simulation to ...
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Modelling stochastic mortality for dependent lives
... over time, and di¤erent generations have di¤erent mortality patterns: according to the standard terminology, we will call this phenomenon mortality ...continuous time stochastic process for ...
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Time randomized stopping problems for a family of utility functions
... where M T stands for the maximum of Z over the entire time interval [0 , T ]. The use of probabilistic techniques in [7] enabled the authors to extend work in [18] and derive so-called bang-bang strategies in ...
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Stochastic formalism-based seafloor feature discrimination using multifractality of time-dependent acoustic backscatter
... of stochastic-based “universal multifrac- tals” (Schertzer and Lovejoy, 1987, 1991, 1997; Lovejoy and Schertzer, 1990), the statistics of the underlying cas- cade process are completely characterized by the ...
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A Dynamic Traffic Analysis Model for the Korean Expressway System Using FTMS Data
... the time-dependent O-D trip tables is accomplished through time zone of every 15 minutes Stochastic Shortest Path Algorithm instead of traffic assignment process that utilize ...
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New delay dependent observer based control for uncertain stochastic time delay systems
... for stochastic nonlinear sys- tems with time delay by using a high-gain observer-based ...a stochastic system with process noises and sensor noises, and they gave a design method of observer ...
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Time dependent stick breaking processes
... and time series contexts ...stochastic process. In this paper we will work exclusively on the time series problem, which often allows simpler ...
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Speed of convergence for laws of rare events and escape rates
... on dependent processes is much less extensive (for one case, see ...our stochastic process as coming from a Markov chain or, more generally, a dynamical system, then there is an equivalence between ...
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An EOQ model for time dependent deteriorating item with imprecise seasonal time
... with time at the beginning of the production season due to availability in the market and reaches to a minimum ...with time or demand increases with ...
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Existence of mild solutions for impulsive fractional stochastic equations with infinite delay
... On the other hand, the theory of impulsive differential equations is emerging as an active area of investigation due to the application in area such as mechanics, electrical engineering, medicine biology, and ecology, ...
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Stochastic monotonicity and continuity properties of functions defined on Crump Mode Jagers branching processes, with application to vaccination in epidemic modelling
... Our first task is to determine the behaviour of mumps outbreak durations in Bulgaria from 2005 to 2008, since our optimal vaccination level is based on outbreak duration. However, outbreak durations have not been ...
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Infinite Horizon LQ Zero Sum Stochastic Differential Games with Markovian Jumps
... the stochastic zero-sum games for linear quadratic systems governed by Itô’s differential equa- tions with state-dependent noise and Markovian jumps are addressed, Such class of systems has important ap- ...
6
Sensitivity of liquid clouds to homogenous freezing parameterizations
... temperature dependent, and therefore, it has been commonly assumed that homogeneous freezing in cloud simulations may be approximated by a step function at a threshold ...
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New Results on Passivity Criteria for a Class of Neural Networks with Interval and Distributed Time-Varying Delays
... In this paper, we focused on new results on passivity criteria for a class of neural networks with interval and distributed time-varying delays. Based on refined Jensen’s inequalities, and by constructing the ...
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Some Computational Aspects of Martingale Processes in ruling the Arbitrage from Binomial asset Pricing Model
... It is observed that when the value of p assigned by the random number generator “Random ]” = p > p` the stock price process is super martingale and when p < p` the stock price process is sub ...
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