Related papers: Stochastic volatility model with long memory for w…
This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $S=(S_{t})_{t\geq0}$ is given by \[ dS_{t}=m(\theta_{t})S_{t}…
Many time series are effectively generated by a combination of deterministic continuous flows along with discrete jumps sparked by stochastic events. However, we usually do not have the equation of motion describing the flows, or how they…
We consider a stochastic model which describes the motion of a 2D incompressible fluid in a unbounded domain with viscosity and memory effects. This model is different from the classical stochastic Navier-Stokes-Voigt equations due to the…
Volatility models of price fluctuations are well studied in the econometrics literature, with more than 50 years of theoretical and empirical findings. The recent advancements in neural networks (NN) in the deep learning field have…
Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined based on excess demand. Specifically, this allows for…
I show that if the capital accumulation dynamics is stochastic a new term, in addition to that given by accounting prices, has to be introduced in order to derive a correct estimate of the genuine wealth of an economy. In a simple model…
In the dynamics of driven impurity models, there is a fundamental asymmetry between the processes of emission and absorption of environment excitations: most of the emitted excitations are rapidly and irreversibly scattered away, and only a…
A data-driven methodology is proposed to model the distribution of multivariate stochastic trajectories from an observed sample. As a first step, each trajectory in the sample is reduced to a vector of features by means of Functional…
This study presents contemporaneous modeling of asset return and price range within the framework of stochastic volatility with leverage. A new representation of the probability density function for the price range is provided, and its…
In this work it is shown how the immersed boundary method of (Peskin2002) for modeling flexible structures immersed in a fluid can be extended to include thermal fluctuations. A stochastic numerical method is proposed which deals with…
Stochastic simulation has been widely used to analyze the performance of complex stochastic systems and facilitate decision making in those systems. Stochastic simulation is driven by the input model, which is a collection of probability…
Parametric estimation of stochastic differential equations (SDEs) has been a subject of intense studies already for several decades. The Heston model for instance is driven by two coupled SDEs and is often used in financial mathematics for…
Forest transitions, characterized by dynamic shifts between forest, agricultural, and abandoned lands, are complex phenomena. This study developed a stochastic differential equation model to capture the intricate dynamics of these…
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becomes challenging because the associated stochastic control…
There has been widespread interest in the use of grid-level storage to handle the variability from increasing penetrations of wind and solar energy. This problem setting requires optimizing energy storage and release decisions for anywhere…
The increasing prevalence of marine pollution during the past few decades motivated recent research to help ease the situation. Typical water quality assessment requires continuous monitoring of water and sediments at remote locations with…
We deal with a new maximum principle-based stochastic control model for river management through operating a dam and reservoir system. The model is based on coupled forward-backward stochastic differential equations (FBSDEs) derived from…
With water quality management processes, identifying and interpreting relationships between features, such as location and weather variable tuples, and water quality variables, such as levels of bacteria, is key to gaining insights and…
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the…
We attempt to characterize irreversibility of a dynamical system from the existence of different forward and backward mathematical representations depending on the direction of the time arrow. Such different representations have been…