Search Results - subject:"DIFFUSION PROCESS"

The density of the ruin time for a renewal-reward process perturbed by a diffusion

Blanchet-Scalliet, Christophette; Dorobantu, Diana; … - HAL - 2013

Let $X$ be a mixed process, sum of a brownian motion and a renewal-reward process, and $\tau_{x}$ be the first passage time of a fixed level $x

Persistent link: https://www.econbiz.de/10010899280

Gaussian and Affine Approximation of Stochastic Diffusion Models for Interest and Mortality Rates

Christiansen, Marcus C. - In: Risks 1 (2013) 3, pp. 81-100

result, the diffusion process is Gaussian and, thus, analytically tractable, but negative values occur with positive …

Persistent link: https://www.econbiz.de/10010701916

Diffusion of Container Packaging Method into the Nigerian Transport System

ADERAMO A.J.; ADEYANJU J.A. - In: Journal of Asian Scientific Research 3 (2013) 1, pp. 39-56

The study examined the diffusion of container method of packaging for the period 1968 – 2005 in Nigeria with a view to adopting the method in the Nigerian Transport System. This was done by collecting a comprehensive data set of import and export container traffic from seven selected ports in...

Persistent link: https://www.econbiz.de/10010630577

A fractionally integrated wishart stochastic volatility model

Asai, Manabu; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724817

Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model

Chen, Son-nan; Hsu, Pao-Peng - In: International review of economics & finance : IREF 56 (2018), pp. 330-346

Persistent link: https://www.econbiz.de/10012033703

Compound option pricing under a double exponential Jump-diffusion model

Liu, Yu-hong; Jiang, I-Ming; Hsu, Wei-tze - In: The North American journal of economics and finance : a … 43 (2018), pp. 30-53

Persistent link: https://www.econbiz.de/10012036254

Conic martingales from stochastic integrals

Jeanblanc, Monique; Vrins, Frédéric - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 516-535

Persistent link: https://www.econbiz.de/10012166968

Dispersion in macroeconomic volatility between the core and periphery of the international trade network

Chakrabarti, Anindya S. - In: Journal of economic dynamics & control 88 (2018), pp. 31-50

Persistent link: https://www.econbiz.de/10011973917

An empirical study of credit spreads in an emerging market: The case of Korea

Park, Keehwan; Ahn, Chang Mo; Kim, Dohyeon; Kim, Saekwon - In: Pacific-Basin Finance Journal 21 (2013) 1, pp. 952-966

market. For that purpose, we assume two alternative firm value processes: diffusion process for the Merton (1974) model and … jump-diffusion process for our extended model in a general equilibrium setting. Our empirical results show that the …

Persistent link: https://www.econbiz.de/10011043162

АЛГОРИТМЫ ЧИСЛЕННОГО РЕШЕНИЯ СТОХАСТИЧЕСКИХ ДИФФЕРЕНЦИАЛЬНЫХ СИСТЕМ С ПЕРЕКЛЮЧАЕМОЙ ДИФФУЗИЕЙ

ВАЛЕНТИНОВНА, ЧЕРНЫХ НАДЕЖДА; … - In: Управление большими … (2012) 3, pp. 106-143

Рассматриваются математические модели сложных систем в виде стохастических дифференциальных уравнений с марков-скими переключениями диффузионной...

Persistent link: https://www.econbiz.de/10011227096