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Elettra Agliardi and Rossella Agliardi
A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There are...
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Yufei Wang, Honghai Zhang, Zongbei Shi, Jinlun Zhou and Wenquan Liu
General aviation accidents have complex interactions and influences within them that cannot be simply explained and predicted by linear models. This study is based on chaos theory and uses general aviation accident data to conduct research on different t...
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Gianluigi Bovesecchi, Sandra Corasaniti, Girolamo Costanza, Fabio Piccotti, Michele Potenza and Maria Elisa Tata
A nanofluid is a suspension consisting of a uniform distribution of nanoparticles in a base fluid, generally a liquid. Nanofluid can be used as a working fluid in heat exchangers to dissipate heat in the automotive, solar, aviation, aerospace industries....
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Mathias Højgaard Jensen, Sarang Joshi and Stefan Sommer
We present schemes for simulating Brownian bridges on complete and connected Lie groups and homogeneous spaces. We use this to construct an estimation scheme for recovering an unknown left- or right-invariant Riemannian metric on the Lie group from sampl...
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Mathias Højgaard Jensen and Stefan Sommer
Computing sample means on Riemannian manifolds is typically computationally costly, as exemplified by computation of the Fréchet mean, which often requires finding minimizing geodesics to each data point for each step of an iterative optimization scheme....
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Pavel V. Gapeev, Libo Li and Zhuoshu Wu
We derive explicit solutions to the perpetual American cancellable standard put and call options in an extension of the Black?Merton?Scholes model. It is assumed that the contracts are cancelled at the last hitting times for the underlying asset price pr...
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Ivan Cherednik
We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility. Its implementation, a fully automated momentum equity trading system, is systematically discussed in this paper. It ...
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S. Porshnev,E. Solomaha,O. Ponomareva
Pág. 45 - 50
The features of Hurst exponent H of the classical Brownian motion trajectory calculated by the R/S-analysis has been studied, where R is a range of a cumulative deviations of the chosen fragment of the trajectory within the time interval (from the ...
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Majid Abdolrazzagh-Nezhad, Shokooh Pour Mahyabadi, Ali Ebrahimpoor
Pág. 1 - 15
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Eder Oliveira Abensur,Davi Franco Moreira,Aline Cristina Rodrigues de Faria
Pág. 1434 - 1453
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