Displaying similar documents to “Strong innovation and its applications to information diffusion modelling in finance.”

Strong and weak solutions to stochastic inclusions

Michał Kisielewicz (1995)

Banach Center Publications

Similarity:

Existence of strong and weak solutions to stochastic inclusions x t - x s ∈ ∫ s t F τ ( x τ ) d τ + ∫ s t G τ ( x τ ) d w τ + ∫ s t ∫ ℝ n H τ , z ( x τ ) q ( d τ , d z ) and x t - x s ∈ ∫ s t F τ ( x τ ) d τ + ∫ s t G τ ( x τ ) d w τ + ∫ s t ∫ | z | ≤ 1 H τ , z ( x τ ) q ( d τ , d z ) + ∫ s t ∫ | z | > 1 H τ , z ( x τ ) p ( d τ , d z ) , where p and q are certain random measures, is considered.

On the extremal behavior of a Pareto process: an alternative for ARMAX modeling

Marta Ferreira (2012)

Kybernetika

Similarity:

In what concerns extreme values modeling, heavy tailed autoregressive processes defined with the minimum or maximum operator have proved to be good alternatives to classical linear ARMA with heavy tailed marginals (Davis and Resnick [8], Ferreira and Canto e Castro [13]). In this paper we present a complete characterization of the tail behavior of the autoregressive Pareto process known as Yeh-Arnold-Robertson Pareto(III) (Yeh et al. [32]). We shall see that it is quite similar to the...