English

COGARCH: Symbol, Generator and Characteristics

Probability 2012-08-09 v1
Authors: Alexander Schnurr
View on arXiv ↗ PDF ↗

Abstract

We describe the technique how to use the symbol in order to calculate the generator and the characteristics of an It\^o process. As an example we analyze the COGARCH process which is used to model financial data.

Cite

@article{arxiv.1208.1611,
  title  = {COGARCH: Symbol, Generator and Characteristics},
  author = {Alexander Schnurr},
  journal= {arXiv preprint arXiv:1208.1611},
  year   = {2012}
}

Comments

12 pages; invited talk at the 8th international conference of ISAAC

Related papers

View all related →
Symbolic Computation · Computer Science
Symbolic Tensor Calculus -- Functional and Dynamic Approach
A. Woszczyna, P. Plaszczyk, W. Czaja, Z. A. Golda
2016-03-21
Probability · Mathematics
Laplace Symbols and Invariant Distributions
Anita Behme, Alexander Schnurr
2018-04-20
Software Engineering · Computer Science
Process Description, Behavior, and Control
Sabah Al-Fedaghi, Haya Alahmad
2017-07-28
Systems and Control · Computer Science
Computer Algebra Methods in Control Systems
Masoud Abbaszadeh
2018-01-01
Programming Languages · Computer Science
Prolog Visualization System Using Logichart Diagrams
Yoshihiro Adachi
2009-03-25
Machine Learning · Computer Science
SymbolicGPT: A Generative Transformer Model for Symbolic Regression
Mojtaba Valipour, Bowen You, Maysum Panju, Ali Ghodsi
2021-06-29
Number Theory · Mathematics
Computational Arithmetic of Modular Forms (Course notes)
Gabor Wiese
2018-09-14
Software Engineering · Computer Science
A visual analysis of the process of process modeling
Jan Claes, Irene Vanderfeesten, Jakob Pinggera, Hajo A. Reijers +2
2015-11-13
Logic in Computer Science · Computer Science
Strategic Port Graph Rewriting: An Interactive Modelling and Analysis Framework
Maribel Fernández, Hélène Kirchner, Bruno Pinaud
2014-07-31
Quantitative Methods · Quantitative Biology
Computational tools for drawing, building and displaying carbohydrates: a visual guide
Kanhaya Lal, Rafael Bermeo, Serge Pérez
2020-10-07
Statistics Theory · Mathematics
Fractionally integrated COGARCH processes
Stephan Haug, Claudia Klüppelberg, German Straub
2018-01-01
Computation · Statistics
Estimation and Simulation of a COGARCH(p,q) model in the YUIMA project
Stefano M. Iacus, Lorenzo Mercuri, Edit Rroji
2015-05-18
Cryptography and Security · Computer Science
Automatically generating models of IT systems
Ivan Kovačević, Stjepan Groš, Ante Đerek
2022-02-01
Statistics Theory · Mathematics
Moment based estimation for the multivariate COGARCH(1,1) process
Thiago do Rêgo Sousa, Robert Stelzer
2021-02-03
Machine Learning · Statistics
Generative Models for Stochastic Processes Using Convolutional Neural Networks
Fernando Fernandes Neto
2018-01-12
Differential Geometry · Mathematics
Application of geometric symbol calculus to computing heat invariants
Vladimir Sharafutdinov
2019-03-28
Data Analysis, Statistics and Probability · Physics
Characterizing Synchronization in Time Series using Information Measures Extracted from Symbolic Representations
Roberto Monetti, Wolfram Bunk, Ferdinand Jamitzky
2009-11-13
Discrete Mathematics · Computer Science
Matrix Graph Grammars as a Model of Computation
Pedro Pablo Perez Velasco
2009-11-16
Software Engineering · Computer Science
An Extended Symbol Table Infrastructure to Manage the Composition of Output-Specific Generator Information
Pedram Mir Seyed Nazari, Alexander Roth, Bernhard Rumpe
2016-06-03
Data Analysis, Statistics and Probability · Physics
Prediction of Dynamical Systems by Symbolic Regression
Markus Quade, Markus Abel, Kamran Shafi, Robert K. Niven +1
2016-08-03
Probability · Mathematics
Higher Moments and Prediction Based Estimation for the COGARCH(1,1) model
Enrico Bibbona, Ilia Negri
2014-11-03
Computational Engineering, Finance, and Science · Computer Science
PORGY: Strategy-Driven Interactive Transformation of Graphs
Oana Andrei, Maribel Fernández, Hélène Kirchner, Guy Melançon +2
2011-02-15
Graphics · Computer Science
Generation of concept-representative symbols
João Miguel Cunha, Pedro Martins, Amílcar Cardoso, Penousal Machado
2017-08-01
Machine Learning · Computer Science
Generative Code Modeling with Graphs
Marc Brockschmidt, Miltiadis Allamanis, Alexander L. Gaunt, Oleksandr Polozov
2019-04-18
Software Engineering · Computer Science
Techniques Enabling Generator Refactoring
Holger Krahn, Bernhard Rumpe
2014-09-24
R2 v1 2026-06-21T21:47:47.911Z