Related papers: Gaussian Fluid Queue with Autocorrelated Input
Replacing Black-Scholes' driving process, Brownian motion, with fractional Brownian motion allows for incorporation of a past dependency of stock prices but faces a few major downfalls, including the occurrence of arbitrage when implemented…
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We consider a stationary queueing process $Q_X$ fed by a centered Gaussian process $X$ with stationary increments and variance function satisfying classical regularity conditions. A criterion when, for a given function $f$, $\mathbb P…
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In this work we introduce correlated random walks on $\Z$. When picking suitably at random the coefficient of correlation, and taking the average over a large number of walks, we obtain a discrete Gaussian process, whose scaling limit is…
Demand for studying queueing systems with multiple servers providing correlated services was created about 60 years ago, motivated by various applications. In recent years, the importance of such studies has been significantly increased,…
We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets. Both the asset value and the volatility processes are correlated through systemic Brownian motions, with default determined by…
We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrelations, including proper long memory, which are two stylized…
Our object is to formulate and analyze a physically plausible and mathematically sound model to better understand the phenomenon of clumping in colloid dispersions. Our model is stochastic but rigorously derived from a deterministic setup…
Using quantum parallelism on random walks as original seed, we introduce new quantum stochastic processes, the open quantum Brownian motions. They describe the behaviors of quantum walkers -- with internal degrees of freedom which serve as…
We consider a financial market model driven by an R^n-valued Gaussian process with stationary increments which is different from Brownian motion. This driving noise process consists of $n$ independent components, and each component has…
This paper develops a model for the bid and ask prices of a European type asset by formulating a stochastic control problem. The state process is governed by a modified geometric Brownian motion whose drift and diffusion coefficients depend…
Using the Fokker-Planck equation describing the evolution of the transmission eigenvalues for Dyson's Brownian motion ensemble, we calculate the magnetoconductance of a ballistic chaotic dot in in the crossover regime from the orthogonal to…
We consider a renewal process that is conditioned on the number of events in a fixed time horizon. We prove that a centered and scaled version of this process converges to a Brownian bridge, as the number of events grows large, which relies…
We introduce a parameter estimation method that utilizes microscopic data, specifically averages and correlations of selected microscopic observables, to determine the parameters of a stochastic differential equation governing…
We consider two bivariate models with two-way interactions in context of risk and queueing theory. The two entities interact with each other by providing assistance but otherwise evolve independently. We focus on certain random quantities…
We investigate the process of eigenvalues of a symmetric matrix-valued process which upper diagonal entries are independent one-dimensional H\"older continuous Gaussian processes of order gamma in (1/2,1). Using the stochastic calculus with…
In this work, we investigate the existence and properties of Gaussian-like densities for weak solutions of multidimensional stochastic differential equations driven by a mixture of completely correlated fractional Brownian motions. We…
A class of Gaussian processes generalizing the usual fractional Brownian motion for Hurst indices in (1/2,1) and multifractal Brownian motion introduced in Ralchenko and Shevchenko (Theory Probab Math Stat 80, 2010) and Boufoussi et al.…
We give an exact solution to the generalized Langevin equation of motion of a charged Brownian particle in a uniform magnetic field that is driven internally by an exponentially-correlated stochastic force. A strong dissipation regime is…