相关论文: Stochastic Processes with Short Memory

Stochastic processes abound in nature and accurately modeling them is essential across the quantitative sciences. They can be described by hidden Markov models (HMMs) or by their quantum extensions (QHMMs). These models explain and give…

We describe stochastic calculus in the context of processes that are driven by an adapted point process of locally finite intensity and are differentiable between jumps. This includes Markov chains as well as non-Markov processes. By…

After collecting data from observations or experiments, the next step is to build an appropriate mathematical or stochastic model to describe the data so that further studies can be done with the help of the models. In this article, the…

There are two possible ways of interpreting the seemingly stochastic nature of financial markets: the Efficient Market Hypothesis (EMH) and a set of stylized facts that drive the behavior of the markets. We show evidence for some of the…

We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…

Among the predictive hidden Markov models that describe a given stochastic process, the {\epsilon}-machine is strongly minimal in that it minimizes every R\'enyi-based memory measure. Quantum models can be smaller still. In contrast with…

Stochastic chains represent a wide and key variety of phenomena in many branches of science within the context of Information Theory and Thermodynamics. They are typically approached by a sequence of independent events or by a memoryless…

This paper describes limiting behaviour of tail empirical process associated with long memory stochastic volatility models. We show that such process has dichotomous behaviour, according to an interplay between a Hurst parameter and a tail…

This paper explores stochastic modeling approaches to elucidate the intricate dynamics of stock prices and volatility in financial markets. Beginning with an overview of Brownian motion and its historical significance in finance, we delve…

From a continuous-time long memory stochastic process, a discrete-time randomly sampled one is drawn. We investigate the second-order properties of this process and establish some time-and frequency-domain asymptotic results. We mainly…

A general market model with memory is considered in terms of stochastic functional differential equations. We aim at representation formulae for the sensitivity analysis of the dependence of option prices on the memory. This implies a…

A general theory is developed to study individual based models which are discrete in time. We begin by constructing a Markov chain model that converges to a one-dimensional map in the infinite population limit. Stochastic fluctuations are…

Statistical Mechanics deals with ensembles of microstates that are compatible with fixed constraints and that on average define a thermodynamic macrostate. The evolution of a small system is normally subjected to changing constraints and…

An approach for the description of stochastic systems is derived. Some of the variables in the system are studied forward in time, others backward in time. The approach is based on a perturbation expansion in the strength of the coupling…

The market efficiency hypothesis has been proposed to explain the behavior of time series of stock markets. The Black-Scholes model (B-S) for example, is based on the assumption that markets are efficient. As a consequence, it is…

We have developed a coarse-grained formulation for modeling the dynamic behavior of cells quantitatively, based on stochasticity and heterogeneity, rather than on biochemical reactions. We treat each reaction as a continuous-time stochastic…

Probabilistic programming is related to a compositional approach to stochastic modeling by switching from discrete to continuous time dynamics. In continuous time, an operator-algebra semantics is available in which processes proceeding in…

This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…

This book covers a wide range of problems involving the applications of stochastic processes, stochastic calculus, large deviation theory, group representation theory and quantum statistics to diverse fields in dynamical systems,…

The slow processes of metastable stochastic dynamical systems are difficult to access by direct numerical simulation due the sampling problem. Here, we suggest an approach for modeling the slow parts of Markov processes by approximating the…