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  • Search: subject:"STochastic process"
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Year of publication
Subject
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Stochastischer Prozess 19,251 Stochastic process 19,138 Theorie 10,472 Theory 10,469 Volatilität 4,122 Volatility 4,117 Optionspreistheorie 3,711 Option pricing theory 3,704 Mathematical programming 2,649 Mathematische Optimierung 2,649 Portfolio selection 1,877 Portfolio-Management 1,877 Zeitreihenanalyse 1,732 Time series analysis 1,722 Schätztheorie 1,665 Estimation theory 1,664 Estimation 1,503 Schätzung 1,497 Markov-Kette 1,354 Markov chain 1,353 Risk 1,232 Risiko 1,226 Option trading 890 Optionsgeschäft 890 Monte-Carlo-Simulation 869 Monte Carlo simulation 867 Statistical distribution 842 Statistische Verteilung 842 Dynamische Optimierung 827 CAPM 825 Dynamic programming 822 Simulation 822 Derivat 818 Derivative 818 Börsenkurs 811 Share price 809 Forecasting model 797 Prognoseverfahren 797 Wahrscheinlichkeitsrechnung 701 Probability theory 690
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Online availability
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Free 6,277 Undetermined 6,041 CC license 324
Type of publication
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Article 11,743 Book / Working Paper 7,725 Journal 8
Type of publication (narrower categories)
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Article in journal 10,785 Aufsatz in Zeitschrift 10,785 Graue Literatur 3,044 Non-commercial literature 3,044 Working Paper 2,982 Arbeitspapier 2,972 Aufsatz im Buch 739 Book section 739 Hochschulschrift 463 Thesis 343 Lehrbuch 126 Textbook 114 Collection of articles of several authors 95 Sammelwerk 95 Conference paper 93 Konferenzbeitrag 93 Aufsatzsammlung 63 Collection of articles written by one author 62 Sammlung 62 Konferenzschrift 54 Forschungsbericht 41 Bibliografie enthalten 40 Bibliography included 40 Amtsdruckschrift 28 Government document 28 Conference proceedings 23 Dissertation u.a. Prüfungsschriften 21 Systematic review 16 Übersichtsarbeit 16 Einführung 14 Festschrift 13 Mikroform 10 Case study 9 Fallstudie 9 Reprint 8 Article 7 Glossar enthalten 7 Glossary included 7 Handbook 6 Handbuch 6
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Language
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English 18,885 German 370 Undetermined 178 French 22 Polish 10 Spanish 6 Russian 5 Italian 3 Swedish 2 Finnish 1 Ancient Greek (to 1453) 1 Portuguese 1 Romanian 1
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Author
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McAleer, Michael 103 Phillips, Peter C. B. 79 Koopman, Siem Jan 74 Sethi, Suresh 64 Chiarella, Carl 58 Ferrari, Giorgio 57 Platen, Eckhard 57 Cui, Zhenyu 51 Madan, Dilip B. 51 Takahashi, Akihiko 51 Benth, Fred Espen 50 Post, Thierry 50 Chan, Joshua 46 Escudero, Laureano F. 45 Barndorff-Nielsen, Ole E. 44 Yu, Jun 43 Asai, Manabu 40 Fabozzi, Frank J. 40 Gao, Jiti 40 Linton, Oliver 40 Shephard, Neil G. 40 Wong, Wing Keung 39 Elliott, Robert J. 36 Todorov, Viktor 36 Escobar, Marcos 35 Gil-Alaña, Luis A. 35 Hainaut, Donatien 35 Härdle, Wolfgang 35 Zhang, Qing 35 Gendreau, Michel 34 Tsionas, Efthymios G. 34 Wong, Hoi Ying 33 Račev, Svetlozar T. 32 Stein, Jerome L. 32 Kleijnen, Jack P. C. 30 Lucas, André 30 Siu, Tak Kuen 30 Whang, Yoon-jae 30 Carr, Peter 29 Schenk-Hoppé, Klaus Reiner 28
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Institution
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National Bureau of Economic Research 74 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 63 International Monetary Fund (IMF) 54 Centre for Analytical Finance <Århus> 17 Springer Fachmedien Wiesbaden 9 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 8 Cowles Foundation for Research in Economics, Yale University 6 Econometrisch Instituut <Rotterdam> 6 Erasmus Research Institute of Management 6 Queen Mary College / Department of Economics 5 Aarhus Universitet / Afdeling for Nationaløkonomi 4 Ekonomiska forskningsinstitutet <Stockholm> 4 Institutionen för Skogsekonomi <Umeå> 4 International Monetary Fund 4 Judge Institute of Management Studies 4 Nuffield College 4 University of Exeter / Department of Economics 4 Australian National University / Faculty of Economics and Commerce 3 Center for Mathematical Studies in Economics and Management Science (CMS-EMS), Kellogg Graduate School of Management 3 Centre for Actuarial Studies 3 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 3 Econometric Society 3 European University Institute / Department of Economics 3 Springer-Verlag GmbH 3 University of Chicago / Graduate School of Business 3 University of Essex / Department of Economics 3 Walter de Gruyter GmbH & Co. KG 3 Weierstraß-Institut für Angewandte Analysis und Stochastik 3 Berkeley Electronic Press 2 Bonn Graduate School of Economics 2 Books on Demand GmbH <Norderstedt> 2 C.E.P.R. Discussion Papers 2 Center for Economic Research <Tilburg> 2 Centre for Economic Policy Research 2 Chambre de commerce et d'industrie de Paris 2 Department of Economics, Oxford University 2 Economic Research Institute, College of Business and Economics 2 Escola de Pós-Graduação em Economia <Rio de Janeiro> 2 European University Institute / Department of Law 2 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 2
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Published in...
All
European journal of operational research : EJOR 728 International journal of theoretical and applied finance 360 Insurance / Mathematics & economics 336 Journal of econometrics 282 Finance and stochastics 245 Operations research 213 Quantitative finance 210 Mathematics of operations research 207 Operations research letters 196 Computers & operations research : and their applications to problems of world concern ; an international journal 194 International journal of production research 189 Journal of economic dynamics & control 153 Risks : open access journal 153 Applied mathematical finance 142 Discussion paper / Tinbergen Institute 141 Computational economics 139 International journal of production economics 130 Economics letters 127 The journal of computational finance 124 Mathematical finance : an international journal of mathematics, statistics and financial theory 122 Finance research letters 108 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 108 Journal of mathematical finance 105 Management science : journal of the Institute for Operations Research and the Management Sciences 105 Econometric reviews 98 Energy economics 93 Mathematical methods of operations research 92 International journal of financial engineering 90 Omega : the international journal of management science 89 INFORMS journal on computing : JOC 87 Annals of finance 82 Transportation science : a journal of the Institute for Operations Research and the Management Sciences 81 Annals of operations research 80 Economic modelling 80 Working paper 80 Journal of banking & finance 79 Journal of economic theory 78 Computational Management Science : CMS 76 Transportation research / E : an international journal 75 Scandinavian actuarial journal 73
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Source
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ECONIS (ZBW) 19,154 RePEc 201 USB Cologne (EcoSocSci) 99 EconStor 17 Other ZBW resources 5
Showing 931 - 940 of 19,476
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A Stochastic Control Approach to Fight COVID-19
Hess, Markus - 2022
modeled by a continuous-time stochastic process which can be affected by a related stochastic control process. In our study …
Persistent link: https://www.econbiz.de/10013300009
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Detecting Limit Cycles in Stochastic Time Series
Martiny, Emil S.; Jensen, Mogens H.; Heltberg, Mathias … - 2022
The emergence of oscillatory behaviour represents fundamental information about the interactions of the underlying system. In biological systems, oscillations have been observed in experimental data, but due to the significant level of noise, it is difficult to characterize whether observed...
Persistent link: https://www.econbiz.de/10013300361
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A Deep Genetic Algorithm (Deep-Ga) Approach for High-Dimensional Nonlinear Parabolic Partial Differential Equations
Putri, Endah; Shahab, Muhammad Luthfi; Iqbal, Mohammad; … - 2022
Solving non-linear parabolic partial differential equations (PDEs) in high dimension becomes an interest for its curse of dimensionality problem. Recently, a deep learning method associated with a backward stochastic differential equation (deep-BSDE) to solve the PDEs draws intensive discussions...
Persistent link: https://www.econbiz.de/10013300498
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Optimal Investment for Insurers with Correlation Ambiguity
Zhang, Lihong; Cheng, Bingqian; Wang, Hao - 2022
We formulate a decision model that accommodates correlation ambiguity between the insurer’s surplus and stock return processes and study its implications for the insurer’s asset allocation rule. The ambiguity-averse insurer invests more conservatively in the stock compared to an otherwise...
Persistent link: https://www.econbiz.de/10013300553
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Exact Calculation of Mobility and Diffusion Coefficient in a Drift Motion of Reactive Particles
Manzi, Sergio Javier; Ranzuglia, Gabriela A.; Pereyra, … - 2022
This paper presents analytical expressions for the mobility ( [[EQUATION]] ) and diffusion coefficient ( [[EQUATION]] ) of a chemical compound [[EQUATION]] that react with a carrier [[EQUATION]] giving a product [[EQUATION]] in the presence of drift. A one-dimensional lattice gas of [[EQUATION]]...
Persistent link: https://www.econbiz.de/10013300592
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Optimization of Day-Ahead Pricing Electricity Markets Based on a Simplified Methodology for Stochastic Utility Function Estimation
Costa, Vinicius; Bonatto, Benedito - 2022
In the context of smart markets’ popularization, day-ahead pricing of electricity has been deployed more commonly as an attempt to improve the grid’s operation and maximize the socioeconomic welfare. However, estimating the utility function is necessary to maximize the socioeconomic welfare,...
Persistent link: https://www.econbiz.de/10013300623
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Study on Long-Time Evolution of a Stochastic Tumor-Immune Model with Simulation by Ann Algorithm
Li, Wei; Zhang, Ying; Huang, Dongmei; Rajic, Vesna - 2022
In this paper, the theoretic analysis by stochastic dynamics and numerical simulation by ANN algorithm for tumor-immune models driven by random noises are studied. Firstly, a mathematical model about the competition between tumor cells and immune system is established based on the...
Persistent link: https://www.econbiz.de/10013300734
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Statistical Dynamics of Wealth Inequality in Stochastic Models of Growth
Kemp, Jordan; Bettencourt, Luis - 2022
Understanding the statistical dynamics of growth and inequality is a fun- damental challenge to ecology and society. Recent analyses of wealth and income dynamics in contemporary societies show that economic inequality is very dynamic and that individuals experience substantially different...
Persistent link: https://www.econbiz.de/10013300754
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State Estimation of Asymmetrical Distribution Networks by Μ-Pmu Allocation : A Novel Stochastic Two-Stage Programming
Abdolahi, Arya; Taghizadegan Kalantari, Navid - 2022
Distribution system state estimation provides essential data for the system monitoring and control, which some uncertain parameters such as the intermittent and varying output of distributed generation (DG), random meter errors, and inaccurate network parameters make situational awareness of...
Persistent link: https://www.econbiz.de/10013301726
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The Stochastic Gravitational Wave Background from Close Hyperbolic Encounters of Primordial Black Holes in Dense Clusters
Garcia-Bellido, Juan; Jaraba, Santiago; Kuroyanagi, Sachiko - 2022
The inner part of dense clusters of primordial black holes is an active environment where multiple scattering processes take place. Some of them give rise from time to time to bounded pairs, and the rest ends up with a single scattering event. The former eventually evolves to a binary black hole...
Persistent link: https://www.econbiz.de/10013301877
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