An application of the voter model–super-brownian motion invariance principle
J. Theodore Cox, Edwin A. Perkins (2004)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
J. Theodore Cox, Edwin A. Perkins (2004)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
A. V. Nagaev, S. A. Nagaev (2003)
Applicationes Mathematicae
Similarity:
A discrete time model of financial market is considered. In the focus of attention is the guaranteed profit of the investor which arises when the jumps of the stock price are bounded. The limit distribution of the profit as the model becomes closer to the classic model of geometrical Brownian motion is established. It is of interest that the approximating continuous time model does not assume any such profit.
Thomas Deschatre (2016)
Dependence Modeling
Similarity:
We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of correlation: one of comonotonicity with a positive correlation and one of countermonotonicity with a negative correlation. This model of dependence between two Brownian motions B1 and B2 allows for the value of [...] to be higher than 1/2 when x is close to 0, which is not the case when the dependence is modeled...
Cristian Coletti, Glauco Valle (2014)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
We introduce a system of one-dimensional coalescing nonsimple random walks with long range jumps allowing paths that can cross each other and are dependent even before coalescence. We show that under diffusive scaling this system converges in distribution to the Brownian Web.
Puckette, Emily E., Werner, Wendelin (1996)
Electronic Communications in Probability [electronic only]
Similarity:
Igor Melicherčik, Daniel Ševčovič (2010)
The Yugoslav Journal of Operations Research
Similarity:
Frank B. Knight (1993)
Séminaire de probabilités de Strasbourg
Similarity:
Takács, Lajos (1995)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
P.-L. Lions, J.-M. Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
Similarity:
Neil O'Connell (2002)
Séminaire de probabilités de Strasbourg
Similarity:
Marek Kałuszka, Alina Kondratiuk-Janyska (2004)
Applicationes Mathematicae
Similarity:
This paper presents new strategies for bond portfolio immunization which combine the time-honored duration with the M-Absolute measure defined by Nawalkha and Chambers (1996). The innovation consists in considering an average shock in a fixed time period as a random variable with mean μ or, alternatively, with normal distribution with mean μ and variance σ². Additionally, an extension to arbitrage free models of polynomial shocks is provided. Moreover, the Fisher and Weil model, the...
Sznitman, Alain-Sol (1998)
Documenta Mathematica
Similarity: