Search Results - subject:"Diffusion coefficient"

Robust nonparametric estimation for the volatility of financial market

Kao, Chunyu; Song, Yuping - In: International journal of financial engineering 10 (2023) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10014251158

Carr, Peter - In: Risks 5 (2017) 4, pp. 1-24

Diffusions are widely used in finance due to their tractability. Driftless diffusions are needed to describe ratios of asset prices under a martingale measure. We provide a simple example of a tractable driftless diffusion which also has a bounded state space.

Persistent link: https://www.econbiz.de/10011996556

Bounded brownian motion

Carr, Peter - In: Risks : open access journal 5 (2017) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10011783753

A Tractable Model for Indices Approximating the Growth Optimal Portfolio

Baldeaux, Jan; Ignatieva, Katja; Platen, Eckhard - Finance Discipline Group, Business School - 2012

The growth optimal portfolio (GOP) plays an important role in finance, where it serves as the numeraire portfolio, with respect to which contingent claims can be priced under the real world probability measure. This paper models the GOP using a time dependent constant elasticity of variance...

Persistent link: https://www.econbiz.de/10010617687

Thermodynamic scaling law for the diffusion coefficient in hard-sphere system

Bomont, Jean-Marc; Bretonnet, Jean-Louis - In: Physica A: Statistical Mechanics and its Applications 420 (2015) C, pp. 23-27

Two scaling laws are investigated, which are devoted to link the diffusion coefficient to the thermodynamic properties …

Persistent link: https://www.econbiz.de/10011117822

Influence of the injected water on gas outburst disasters in coal mine

Chen, Xiangjun; Cheng, Yuanping - In: Natural Hazards 76 (2015) 2, pp. 1093-1109

min, and the methane diffusion coefficient decreases gradually with the amount of injected water. The injected water can … diffusion coefficient. Copyright Springer Science+Business Media Dordrecht 2015 …

Persistent link: https://www.econbiz.de/10011241090

Diffusion of relativistic gas mixtures in gravitational fields

Kremer, Gilberto M. - In: Physica A: Statistical Mechanics and its Applications 393 (2014) C, pp. 76-85

A mixture of relativistic gases of non-disparate rest masses in a Schwarzschild metric is studied on the basis of a relativistic Boltzmann equation in the presence of gravitational fields. A BGK-type model equation of the collision operator of the Boltzmann equation is used in order to compute...

Persistent link: https://www.econbiz.de/10010873496

Barrier properties of k-mer packings

Lebovka, N.; Khrapatiy, S.; Vygornitskyi; Pivovarova, N. - In: Physica A: Statistical Mechanics and its Applications 408 (2014) C, pp. 19-27

against diffusion. The barrier efficiency was estimated by calculation of the ratio D/Do where D is diffusion coefficient in …

Persistent link: https://www.econbiz.de/10011060364

A tractable model for indices approximating the growth optimal portfolio

Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10010347344

Research on the effective gas diffusion coefficient in dry porous media embedded with a fractal-like tree network

Zheng, Qian; Xu, Jian; Yang, Bin; Yu, Boming - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 6, pp. 1557-1566

A theoretical model for the relative gas diffusion coefficient in dry porous media embedded with a Y-shaped fractal …

Persistent link: https://www.econbiz.de/10010608605