Search Results - subject:"time-scaling"

Reducing bias in event time simulations via measure changes

Giesecke, Kay; Shkolnik, Alexander - In: Mathematics of operations research 47 (2022) 2, pp. 969-988

Persistent link: https://www.econbiz.de/10013365043

COMPUTATIONAL MODELLING OF THE PARALLEL LOGISTIC SYSTEM

BUCKI, Robert; SUCHÃNEK, Petr - In: Journal of Applied Economic Sciences 7 (2012) 1(19)/ Spring 2012, pp. 17-23

stated criterion respecting defined bounds. Adequate equations of state illustrate the flow of charge material. The time … scaling method in order to search for the satisfactory solution with the use of the simulation method is proposed. …

Persistent link: https://www.econbiz.de/10010556315

Is there a relationship between the time scaling property of asset returns and the outliers? : evidence from international financial markets

González Sánchez, Mariano - In: Finance research letters 38 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012490299

The pace of aging: Intrinsic time scales in demography

Wrycza, Tomasz; Baudisch, Annette - In: Demographic Research 30 (2014) 57, pp. 1571-1590

Persistent link: https://www.econbiz.de/10010774743

Optimal control of impulsive switched systems with minimum subsystem durations

Blanchard, Eunice; Loxton, Ryan; Rehbock, Volker - In: Journal of Global Optimization 60 (2014) 4, pp. 737-750

-standard optimal control problem that cannot be solved using conventional techniques. By combining a time-scaling transformation and an …

Persistent link: https://www.econbiz.de/10011151233

On time-scaling of risk and the square–root–of–time rule

Danielsson, Jon; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2003

Many financial applications, such as risk analysis and derivatives pricing, depend on time scaling of risk. A common … is to examine time scaling of risk when returns follow a jump diffusion process. It is argued that a jump diffusion is …

Persistent link: https://www.econbiz.de/10010745168

Value-at-risk time scaling : a Monte Carlo approach

Malataliana, Moepa; Rigotard, Michael - In: The journal of risk model validation 10 (2016) 1, pp. 47-57

Persistent link: https://www.econbiz.de/10011485151

Emergence of temporal regimes in fire sequences

Telesca, Luciano; Lasaponara, Rosa - In: Physica A: Statistical Mechanics and its Applications 360 (2006) 2, pp. 543-547

Allan Factor statistics. Our findings reveal the presence of meteo-climatic-related periodicities; furthermore time-scaling …

Persistent link: https://www.econbiz.de/10010590974

Optimal discrete-valued control computation

Yu, Changjun; Li, Bin; Loxton, Ryan; Teo, Kok - In: Journal of Global Optimization 56 (2013) 2, pp. 503-518

state and control are subject to continuous inequality constraints. By introducing auxiliary controls and applying a time-scaling …

Persistent link: https://www.econbiz.de/10010896358

Equivalent continuous and discrete realizations of Lévy flights: A model of one-dimensional motion of an inertial particle

Lubashevsky, Ihor - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 10, pp. 2323-2346

The paper is devoted to the relationship between the continuous Markovian description of Lévy flights developed previously (see, e.g., I.A. Lubashevsky, Truncated Lévy flights and generalized Cauchy processes, Eur. Phys. J. B 82 (2011) 189–195 and references therein) and their equivalent...

Persistent link: https://www.econbiz.de/10011057630