Variance reduction in a stochastic volatility scenario.
Guerra, Maria Letizia, Sorini, Laerte (2007)
APPS. Applied Sciences
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Guerra, Maria Letizia, Sorini, Laerte (2007)
APPS. Applied Sciences
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Jan Iwanik (2007)
Applicationes Mathematicae
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This paper is an attempt to present and analyse stochastic mortality models. We propose a couple of continuous-time stochastic models that are natural generalizations of the Gompertz law in the sense that they reduce to the Gompertz function when the volatility parameter is zero. We provide a statistical analysis of the available demographic data to show that the models fit historical data well. Finally, we give some practical examples for the multidimensional models.
Eliška Janouchová, Jan Sýkora, Anna Kučerová (2018)
Applications of Mathematics
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Recent developments in the field of stochastic mechanics and particularly regarding the stochastic finite element method allow to model uncertain behaviours for more complex engineering structures. In reliability analysis, polynomial chaos expansion is a useful tool because it helps to avoid thousands of time-consuming finite element model simulations for structures with uncertain parameters. The aim of this paper is to review and compare available techniques for both the construction...
Mohamed Kayid, Salman Izadkhah, Dalal ALmufarrej (2016)
Applications of Mathematics
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By considering a covariate random variable in the ordinary proportional mean residual life (PMRL) model, we introduce and study a general model, taking more situations into account with respect to the ordinary PMRL model. We investigate how stochastic structures of the proposed model are affected by the stochastic properties of the baseline and the mixing variables in the model. Several characterizations and preservation properties of the new model under different stochastic orders and...
P. Todorović (1967)
Matematički Vesnik
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Soize, C., Batou, A. (2008)
Mathematical Problems in Engineering
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Fischer, Cyril, Náprstek, Jiří
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The mathematical model of a ball-type vibration absorber represents a non-linear differential system which includes non-holonomic constraints. When a random ambient excitation is taken into account, the system has to be treated as a stochastic deferential equation. Depending on the level of simplification, an analytical solution is not practicable and numerical solution procedures have to be applied. The contribution presents a simple stochastic analysis of a particular resonance effect...
Béreš, Michal
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In this contribution, we present a solution to the stochastic Galerkin (SG) matrix equations coming from the Darcy flow problem with uncertain material coefficients in the separable form. The SG system of equations is kept in the compressed tensor form and its solution is a very challenging task. Here, we present the reduced basis (RB) method as a solver which looks for a low-rank representation of the solution. The construction of the RB consists of iterative expanding of the basis...
Beáta Stehlíková, Daniel Ševčovič (2009)
Kybernetika
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In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox–Ingersoll–Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of the bond price with respect to a singular parameter representing the fast scale for the stochastic volatility process. We derive the second order asymptotic expansion of...
Fabio Bagarello (2006)
Banach Center Publications
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