Search Results - "Stochastic models"

A stochastic liquidity risk model with stochastic volatility and its applications to option pricing by He, Xin-Jiang, Lin, Sha

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Clique and cycle frequencies in a sparse random graph model with overlapping communities by Gröhn, Tommi, Karjalainen, Joona, Leskelä, Lasse

“…A statistical network model with overlapping communities can be generated as a superposition of mutually independent random graphs of varying size. The model…”
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The rates of strong consistency for estimators in heteroscedastic partially linear errors-in-variables model for widely orthant dependent samples by Wu, Yi, Wang, Xuejun, Shen, Aiting

“…In this article, some general results on the rates of strong consistency for the least squares estimators and weighted least squares estimators in…”
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Asymptotic analysis of the sojourn time of a batch in a M [X]/M/1 processor sharing queue by Guillemin, Fabrice, Simonian, Alain, Nasri, Ridha, Rodriguez, Veronica Quintuna

“…In this article, we exploit recent results for the Laplace transform of the sojourn time Ω of an entire batch in the M [ X ] / M / 1 processor sharing queue in…”
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Numerical solutions of regime-switching functional diffusions with infinite delay by Zhen, Yuhang, Xi, Fubao

“…We study a class of diffusion processes which are determined by solutions X(t) to stochastic functional differential equation with infinite memory and random…”
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Dynamics analysis of a delayed stochastic SIRS epidemic model with a nonlinear incidence rate by Bao, Xuezhong, Han, Xiaoling

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Nadaraya-Watson estimators for stochastic differential equations driven by fractional Brownian motion by Han, Yuecai, Zhang, Dingwen

“…In this article, we investigate the nonparametric Nadaraya-Watson estimator for the drift function of stochastic differential equations driven by fractional…”
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On the area between a Lévy process with secondary jump inputs and its reflected version by Kella, Offer, Mandjes, Michel

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Some asymptotics for short maturity Asian options by Shoshi, Humayra, SenGupta, Indranil

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A stochastic log-logistic diffusion process: Statistical computational aspects and application to real data by El Azri, Abdenbi, Ahmed, Nafidi

“…This article introduces a new stochastic diffusion process based on the theory of diffusion processes whose mean function is proportional to the log-logistic…”
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A stochastic fluid model approach to the stationary distribution of the maximal priority process by Boelema, Hiska M., Dams, Daan J.J., O’Reilly, Małgorzata M., Scheinhardt, Werner R.W., Taylor, Peter G.

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Analysis of a stochastic hybrid Gompertz tumor growth model driven by Lévy noise by Hu, Guixin, Li, Bingqing, Geng, Zhihao

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Some stochastic comparison results for frailty and resilience models by Panja, Arindam, Kundu, Pradip, Pradhan, Biswabrata

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On age composition of dynamic heterogeneous populations by Cha, Ji Hwan, Finkelstein, Maxim

“…Populations of items continuously manufactured and incepted into operation are characterized by the corresponding distribution of a random age at each instant…”
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Synchronization and fluctuations for interacting stochastic systems with individual and collective reinforcement by Mirebrahimi, Meghdad

“…The Pólya urn is the most representative example of a reinforced stochastic process. It leads to a random (non degenerated) time-limit. The Friedman urn is a…”
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Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay by Coffie, Emmanuel

“…While the original Ait-Sahalia interest rate model has been found to be of considerable use for describing the time-series evolution of interest rates, it may…”
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Geometrical interpretation of the population entropy maximum by Lazov, Igor, Lazov, Petar

“…We consider a population of finite size M, where the current number N of entities, N ∈ { 0 , 1 , 2 , ... , M } , determines its states. We geometrically…”
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Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance by Ievlev, Pavel

“…This article investigates the Parisian ruin probability for a class of Gaussian processes with power-asymmetric behavior of the variance near the unique…”
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A queueing model with ON/OFF sources: approximation and stationarity by Dai, Hongshuai, Wu, Yanhua

“…Fractional Brownian motion approximation of queueing networks has been studied extensively. In the existing results related to this topic, the Hurst parameter…”
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Some convergence properties for arrays of rowwise asymptotically almost negatively associated random variables under sub-linear expectations by Wang, Miaomiao, Zheng, Shunping, Wang, Xuejun

“…In this article, under some suitable conditions, we study the L q convergence and complete q-th moment convergence for arrays of rowwise asymptotically almost…”
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