Continuous data dependence for an abstract Volterra integro-differential equation in Hilbert space with applications to viscoelasticity
Frederick Bloom (1977)
Annali della Scuola Normale Superiore di Pisa - Classe di Scienze
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Displaying similar documents to “Existence, uniqueness and regularity for Kruzkov's solutions of the Burger-Carleman's system”
Continuous data dependence for an abstract Volterra integro-differential equation in Hilbert space with applications to viscoelasticity
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This paper continues the research started in [J. Štěpán and P. Dostál: The equation and financial mathematics I. Kybernetika 39 (2003)]. Considering a stock price born by the above semilinear SDE with we suggest two methods how to compute the price of a general option . The first, a more universal one, is based on a Monte Carlo procedure while the second one provides explicit formulas. We in this case need an information on the two dimensional distributions of for where ...
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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...
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Principal Components Analysis deals mainly with the analysis of large data sets with multivariate structure in an observational context for exploraty purposes. The factorial planes produced will show the main oppositions between variables and individuals. However, we may be interested in going further by controlling the effect of some latent or third variable which expresses some well-defined phenomenon. We go through this by means of a graph among individuals, following the same idea...