相关论文: CIR bridge for modeling of fish migration on sub-h…

Fish migration is a mass movement that affects the hydrosphere and ecosystems. While it occurs on multiple temporal scales, including daily and intraday fluctuations, the latter remains less studied. In this study, for a stochastic…

Fish migration is a collective phenomenon that has multiple timescales, ranging from daily to intraday (hourly or even finer). We propose a unified mathematical approach using diffusion bridges, nonlinear stochastic differential equations…

In this paper, we consider a stochastic model based on the Cox- Ingersoll- Ross model (CIR). The stochastic model is parameterized analytically by applying It\^o's calculus and the trend functions of the proposed process is calculated. The…

We study an extension of the Cox-Ingersoll-Ross (CIR) process that incorporates jumps at deterministic dates, referred to as stochastic discontinuities. Our main motivation stems from short-rate modelling in the context of overnight rates,…

This paper studies two related stochastic processes driven by Brownian motion: the Cox-Ingersoll-Ross (CIR) process and the Bessel process. We investigate their shared and distinct properties, focusing on time-asymptotic growth rates,…

This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that involves an infinite sequence of starts and stops. We…

We define and study an open stochastic SIR (Susceptible -- Infected -- Removed) model on a graph in order to describe the spread of an epidemic on a cattle trade network with epidemiological and demographic dynamics occurring over the same…

We consider management of the fish species Plecoglossus altivelis altivelis, a major inland fishery resource in Japan playing important roles from economic, cultural, and recreational viewpoints. We firstly summarize the collected body…

We consider a pure-jump stable Cox-Ingersoll-Ross ($\alpha$-stable CIR) process driven by a non-symmetric stable L{\'e}vy process with jump activity $\alpha$ $\in$ (1, 2) and we address the joint estimation of drift, scaling and jump…

We propose a formulation to construct new classes of financial price processes based on the insight that the key variable driving prices $P$ is the earning-over-price ratio $\gamma \simeq 1/P$, which we refer to as the earning yield and is…

We present new high order approximations schemes for the Cox-Ingersoll-Ross (CIR) process that are obtained by using a recent technique developed by Alfonsi and Bally (2021) for the approximation of semigroups. The idea consists in using a…

We propose a change detection method for the famous Cox--Ingersoll--Ross model. This model is widely used in financial mathematics and therefore detecting a change in its parameters is of crucial importance. We develop one- and two-sided…

It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates.…

In this paper, we consider a one-dimensional Cox-Ingersoll-Ross (CIR) process whose drift coefficient depends on unknown parameters. Considering the process discretely observed at high frequency, we prove the local asymptotic normality…

Cox-Ingersoll-Ross (CIR) processes are widely used in financial modeling such as in the Heston model for the approximative pricing of financial derivatives. Moreover, CIR processes are mathematically interesting due to the irregular square…

We consider the task of generating discrete-time realisations of a nonlinear multivariate diffusion process satisfying an It\^o stochastic differential equation conditional on an observation taken at a fixed future time-point. Such…

The objective of this paper is to provide a new mathematical tool for fish migration that has not been studied well. McKean-Vlasov stochastic differential equations (MVSDEs) have broad potential applications in science and engineering, but…

In car-following models, the driver reacts according to his physical and psychological abilities which may change over time. However, most car-following models are deterministic and do not capture the stochastic nature of human perception.…

{\bf Abstract} The trajectory of the frequency of an allele which begins at $x$ at time $0$ and is known to have frequency $z$ at time $T$ can be modelled by the bridge process of the Wright-Fisher diffusion. Bridges when $x=z=0$ are…

The metapopulation framework is adopted in a wide array of disciplines to describe systems of well separated yet connected subpopulations. The subgroups or patches are often represented as nodes in a network whose links represent the…