相关论文: Time and Space Varying Copulas
Copula-based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula and the stationary distribution. Implicitly this approach…
A considerable number of systems have recently been reported in which Brownian yet non-Gaussian dynamics was observed. These are processes characterised by a linear growth in time of the mean squared displacement, yet the probability…
We describe a continuous-time modelling framework for biological population dynamics that accounts for demographic noise. In the spirit of the methodology used by statistical physicists, transitions between the states of the system are…
This article introduces a dynamic spatiotemporal stochastic volatility (SV) model with explicit terms for the spatial, temporal, and spatiotemporal spillover effects. Moreover, the model includes time-invariant site-specific constant…
Accurately assessing financial risk requires capturing both individual asset volatility and the complex, asymmetric dependence structures that emerge during extreme market events. While modern diffusion-based models have advanced…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…
In this paper we prove the existence of solutions for a class of viscoelastic dynamic systems on time--dependent cracked domains, with possibly degenerate viscosity coefficients. Under stronger regularity assumptions we also show a…
This work studies the spatial derivatives of decoupling fields to strongly coupled forward-backward stochastic differential equations in a Brownian setting. We formally deduce the backward dynamics of the first and higher spatial…
A study of time homogeneous, real valued Markov processes with a special property and a non-atomic initial distribution is provided. The new notion of a function of evolution of distribution which determines the dependency between one…
Copula models are flexible tools to represent complex structures of dependence for multivariate random variables. According to Sklar's theorem (Sklar, 1959), any d-dimensional absolutely continuous density can be uniquely represented as the…
Although copulas are used and defined for various infinite-dimensional objects (e.g. Gaussian processes and Markov processes), there is no prevalent notion of a copula that unifies these concepts. We propose a unified approach and define…
Populations interact non-linearly and are influenced by environmental fluctuations. In order to have realistic mathematical models, one needs to take into account that the environmental fluctuations are inherently stochastic. Often,…
The chaotic diffusion for particles moving in a time dependent potential well is described by using two different procedures: (i) via direct evolution of the mapping describing the dynamics and ; (ii) by the solution of the diffusion…
We study diffusion processes in anomalous spacetimes regarded as models of quantum geometry. Several types of diffusion equation and their solutions are presented and the associated stochastic processes are identified. These results are…
In this text, we study the temporal behavior of markets using models expressible as ordinary differential equations. The markets studied are those where each customer buys only one copy of the good, for example, subscription of smartphone…
We study the long time behavior (homogenization) of a diffusion in random medium with time and space dependent coefficients. The diffusion coefficient may degenerate. In Stochastic Process. Appl. (2007) (to appear), an invariance principle…
Stochastic Spatio-Temporal processes are prevalent across domains ranging from modeling of plasma to the turbulence in fluids to the wave function of quantum systems. This letter studies a measure-theoretic description of such systems by…
Dynamical decoupling is an important tool to counter decoherence and dissipation effects in quantum systems originating from environmental interactions. It has been used successfully in many experiments; however, there is still a gap…
We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…
Continuous time stochastic processes are useful models especially for financial and insurance purposes. The numerical simulation of such models is dependant of the time discrete discretization, of the parametric estimation and of the choice…