Related papers: Shifted Brownian Fluctuation Game
In Biology, all motor enzymes operate on the same principle: they trap favourable brownian fluctuations in order to generate directed forces and to move. Whether it is possible or not to copy one such strategy to play the market was the…
We consider a model of active Brownian particles with velocity-alignment in two spatial dimensions with passive and active fluctuations. Hereby, active fluctuations refers to purely non-equilibrium stochastic forces correlated with the…
We investigated the quality of forecasting of fractional Brownian motion, and new method for estimating of Hurst exponent is validated. Stochastic model of the time series in the form of converted fractional Brownian motion is proposed. The…
This paper introduces a new class of optimal switching problems, where the player is allowed to switch at a sequence of exogenous Poisson arrival times, and the underlying switching system is governed by an infinite horizon backward…
In the last decade, stochastic models have shown to be very useful for quantitative modelling of social processes. Here, a configurational master equation for the description of behavioral changes by pair interactions of individuals is…
We study multistep Bayesian betting strategies in coin-tossing games in the framework of game-theoretic probability of Shafer and Vovk (2001). We show that by a countable mixture of these strategies, a gambler or an investor can exploit…
The objective of the present study is to present a computational model of the motion of a single athlete in a team and to compare the resulting trajectory with experimental data obtained in the field during competitions by match analysis…
Even in the face of deteriorating and highly volatile demand, firms often invest in, rather than discard, aging technologies. In order to study this phenomenon, we model the firm's profit stream as a Brownian motion with negative drift. At…
This paper develops the first class of algorithms that enable unbiased estimation of steady-state expectations for multidimensional reflected Brownian motion. In order to explain our ideas, we first consider the case of compound Poisson…
In this paper, we investigate two-sided bounds for the small ball probability of a mixed fractional Brownian motion with a general deterministic trend function, in terms of respective small ball probability of a mixed fractional Brownian…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a…
Fractional Brownian motion is a non-Markovian Gaussian process $X_t$, indexed by the Hurst exponent $H$. It generalises standard Brownian motion (corresponding to $H=1/2$). We study the probability distribution of the maximum $m$ of the…
Fluctuating hydrodynamics based techniques have been developed in recent years for the simulation of Brownian motion of particles. These mesoscale simulation tools are viable approaches for problems where molecular dynamics simulations may…
We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of…
Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance.…
Heat fluctuations over a time \tau in a non-equilibrium stationary state and in a transient state are studied for a simple system with deterministic and stochastic components: a Brownian particle dragged through a fluid by a harmonic…
We survey some new progress on the pricing models driven by fractional Brownian motion \cb{or} mixed fractional Brownian motion. In particular, we give results on arbitrage opportunities, hedging, and option pricing in these models. We…
Human behavior is one of the main problems for evolution, as it is often the case that human actions are disadvantageous for the self and advantageous for other people. Behind this puzzle are our beliefs about rational behavior, based on…