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Optimized state estimation for nonlinear dynamical networks subject to fading measurements and stochastic coupling strength: An event-triggered communication mechanism

Chaoqing Jia, Jun Hu, Chongyang Lv, Yujing Shi (2020)

Kybernetika

This paper is concerned with the design of event-based state estimation algorithm for nonlinear complex networks with fading measurements and stochastic coupling strength. The event-based communication protocol is employed to save energy and enhance the network transmission efficiency, where the changeable event-triggered threshold is adopted to adjust the data transmission frequency. The phenomenon of fading measurements is described by a series of random variables obeying certain probability distribution....

Option pricing in a CEV model with liquidity costs

Krzysztof Turek (2016)

Applicationes Mathematicae

The goal of this paper is to make an attempt to generalise the model of pricing European options with an illiquid underlying asset considered by Rogers and Singh (2010). We assume that an investor's decisions have only a temporary effect on the price, which is proportional to the square of the change of the number of asset units in the investor's portfolio. We also assume that the underlying asset price follows a CEV model. To prove existence and uniqueness of the solution, we use techniques similar...

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