Displaying similar documents to “Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities.”

On certain Markov processes attached to exponential functionals of Brownian motion: application to Asian options.

Catherine Donati-Martin, Raouf Ghomrasni, Marc Yor (2001)

Revista Matemática Iberoamericana

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We obtain a closed formula for the Laplace transform of the first moment of certain exponential functionals of Brownian motion with drift, which gives the price of Asian options. The proof relies on an identity in law between the average on [0,t] of a geometric Brownian motion and the value at time t of a Markov process, for which we can compute explicitly the resolvent.

Modelling stock returns with AR-GARCH processes.

Elzbieta Ferenstein, Miroslaw Gasowski (2004)

SORT

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Financial returns are often modelled as autoregressive time series with random disturbances having conditional heteroscedastic variances, especially with GARCH type processes. GARCH processes have been intensely studied in financial and econometric literature as risk models of many financial time series. Analyzing two data sets of stock prices we try to fit AR(1) processes with GARCH or EGARCH errors to the log returns. Moreover, hyperbolic or generalized error distributions occur to...

Differential equations on the plane with given solutions.

R. Ramírez, N. Sadovskaia (1996)

Collectanea Mathematica

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The aim of this paper is to construct the analytic vector fields with given as trajectories or solutions. In particular we construct the polynomial vector field from given conics (ellipses, hyperbola, parabola, straight lines) and determine the differential equations from a finite number of solutions.

Calculating the variance in Markov-processes with random reward.

Francisco Benito (1982)

Trabajos de Estadística e Investigación Operativa

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In this article we present a generalization of Markov Decision Processes with discreet time where the immediate rewards in every period are not deterministic but random, with the two first moments of the distribution given. Formulas are developed to calculate the expected value and the variance of the reward of the process, formulas which generalize and partially correct other results. We make some observations about the distribution of rewards for processes with limited...

Simple large sample estimators of scale and location parameters based on blocks of order statistics.

Peter Kubat (1982)

Trabajos de Estadística e Investigación Operativa

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In this paper quite efficient large sample estimation procedures are derived for jointly estimating the parameters of the location-scale family of distributions. These estimators are linear combinations of the means of suitably chosen blocks of order statistics. For specific distributions, such as the extreme-value, normal, and logistic, little is to be gained by using more than three blocks. For these distributions we can obtain joint relative asymptotic efficiencies of 97-98% using...

CAPS in Z(2,n)

Kurz, Sascha (2009)

Serdica Journal of Computing

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We consider point sets in (Z^2,n) where no three points are on a line – also called caps or arcs. For the determination of caps with maximum cardinality and complete caps with minimum cardinality we provide integer linear programming formulations and identify some values for small n.