相关论文: Dynamics of a mean-reverting stochastic volatility…

We consider the motion of a randomly accelerated particle in one dimension under stochastic resetting mechanism. Denoting the position and velocity by $x$ and $v$ respectively, we consider two different resetting protocols - (i) complete…

Bistable biological regulatory systems need to cope with stochastic noise to fine-tune their function close to bifurcation points. Here, we study stability properties of this regime in generic systems to demonstrate that cooperative…

In this paper we introduce the randomised stability constant for abstract inverse problems, as a generalisation of the randomised observability constant, which was studied in the context of observability inequalities for the linear wave…

Stochastic point processes with refractoriness appear frequently in the quantitative analysis of physical and biological systems, such as the generation of action potentials by nerve cells, the release and reuptake of vesicles at a synapse,…

We further study the stochastic model discussed in Ref.[2] in which positive and negative particles diffuse in an asymmetric, CP invariant way on a ring. The positive particles hop clockwise, the negative counter-clockwise and…

We introduce a description of the collective transverse dynamics of charged (proton) beams in the stability regime by suitable classical stochastic fluctuations. In this scheme, the collective beam dynamics is described by time--reversal…

Metastability, characterized by a variability of regimes in time, is a ubiquitous type of neural dynamics. It has been formulated in many different ways in the neuroscience literature, however, which may cause some confusion. In this…

In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control…

We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions…

Population dynamics are often subject to random independent changes in the environment. For the two strategy stochastic replicator dynamic, we assume that stochastic changes in the environment replace the payoffs and variance. This is…

This paper proposes a semiparametric stochastic volatility (SV) model that relaxes the restrictive Gaussian assumption in both the return and volatility error terms, allowing them to follow flexible, nonparametric distributions with…

Regime switching volatility models provide a tractable method of modelling stochastic volatility. Currently the most popular method of regime switching calibration is the Hamilton filter. We propose using the Baum-Welch algorithm, an…

This paper deals with optimal prediction in a regime-switching model driven by a continuous-time Markov chain. We extend existing results for geometric Brownian motion by deriving optimal stopping strategies that depend on the current…

This paper studies the mean stability of positive semi-Markovian jump linear systems. We show that their mean stability is characterized by the spectral radius of a matrix that is easy to compute. In deriving the condition we use a certain…

A mechanism describing state reduction dynamics in relativistic quantum field theory is outlined. The mechanism involves nonlinear stochastic modifications to the standard description of unitary state evolution and the introduction of a…

In this paper, a large class of time-varying Riccati equations arising in stochastic dynamic games is considered. The problem of the existence and uniqueness of some globally defined solution, namely the bounded and stabilizing solution, is…

We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling…

In this paper, we give a necessary and sufficient condition for mean stability of switched linear systems having a Markov regenerative process as its switching signal. This class of switched linear systems, which we call Markov regenerative…

In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation…

In this paper, we aim to study a stochastic process from a macro point of view, and thus periodic solution of a stochastic process in distributional sense is introduced. We first give the definition and then establish the existence of…