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排序方式: 共有135条查询结果,搜索用时 15 毫秒
1.
Let denote a Hermite process of order and self-similarity parameter . This process is -self-similar, has stationary increments and exhibits long-range dependence. When , it corresponds to the fractional Brownian motion, whereas it is not Gaussian as soon as . In this paper, we deal with a Vasicek-type model driven by , of the form . Here, and are considered as unknown drift parameters. We provide estimators for and based on continuous-time observations. For all possible values of and , we prove strong consistency and we analyze the asymptotic fluctuations. 相似文献
2.
The non-equilibrium electron–positron–photon plasma thermalization process is studied using relativistic Boltzmann solver, taking into account quantum corrections both in non-relativistic and relativistic cases. Collision integrals are computed from exact QED matrix elements for all binary and triple interactions in the plasma. It is shown that in non-relativistic case (temperatures ) binary interaction rates dominate over triple ones, resulting in establishment of the kinetic equilibrium prior to final relaxation towards the thermal equilibrium, in agreement with the previous studies. On the contrary, in relativistic case (final temperatures ) triple interaction rates are fast enough to prevent the establishment of kinetic equilibrium. It is shown that thermalization process strongly depends on quantum degeneracy in initial state, but does not depend on plasma composition. 相似文献
3.
4.
Fred Espen Benth 《Applied Mathematical Finance》2018,25(1):36-65
The recent introduction of wind power futures written on the German wind power production index has brought with it new interesting challenges in terms of modelling and pricing. Some particularities of this product are the strong seasonal component embedded in the underlying, the fact that the wind index is bounded from both above and below and also that the futures are settled against a synthetically generated spot index. Here, we consider the non-Gaussian Ornstein–Uhlenbeck type processes proposed by Barndorff-Nielsen and Shephard in the context of modelling the wind power production index. We discuss the properties of the model and estimation of the model parameters. Further, the model allows for an analytical formula for pricing wind power futures. We provide an empirical study, where the model is calibrated to 37 years of German wind power production index that is synthetically generated assuming a constant level of installed capacity. Also, based on 1 year of observed prices for wind power futures with different delivery periods, we study the market price of risk. Generally, we find a negative risk premium whose magnitude decreases as the length of the delivery period increases. To further demonstrate the benefits of our proposed model, we address the pricing of European options written on wind power futures, which can be achieved through Fourier techniques. 相似文献
5.
We introduce a parametrisation of the direct correlation function for the square-shoulder fluid and demonstrate that this parametrisation is in quantitative agreement with the numerical solution of the Ornstein–Zernike equation within the Percus–Yevick approximation. Moreover, the radial distribution function obtained from the parametrisation reproduces quantitatively Monte Carlo simulation data. Our results show that the parametrisation is accurate over a large regime of densities for different interaction ranges and potential strengths. 相似文献
6.
Jing Hai Shao 《数学学报(英文版)》2011,27(6):1195-1204
In this paper, the dimensional-free Harnack inequalities are established on infinite-dimensional spaces. More precisely, we
establish Harnack inequalities for heat semigroup on based loop group and for Ornstein-Uhlenbeck semigroup on the abstract
Wiener space. As an application, we establish the HWI inequality on the abstract Wiener space, which contains three important
quantities in one inequality, the relative entropy “H”, Wasserstein distance “W”, and Fisher information “I”. 相似文献
7.
In this paper we study ergodic properties of some classes of anomalous diffusion processes. Using the recently developed measure of dependence called the Correlation Cascade, we derive a generalization of the classical Khinchin theorem. This result allows us to determine ergodic properties of Lévy-driven stochastic processes. Moreover, we analyze the asymptotic behavior of two different fractional Ornstein–Uhlenbeck processes, both originating from subdiffusive dynamics. We show that only one of them is ergodic. 相似文献
8.
The paper gives conditions under which the transition semigroup corresponding to a large class of semilinear equations on a Hilbert space transforms Borel functions onto Frechet differentia hies ones. 相似文献
9.
We extend and generalize some results on bounding security prices under two stochastic volatility models that provide closed-form expressions for option prices. In detail, we compute analytical expressions for benchmark and standard good-deal bounds. For both models, our findings show that our benchmark results generate much tighter bounds. A deep analysis of the properties of option prices and bounds involving a sensitivity analysis and analytical derivation of Greeks for both option prices and bounds is also presented. These results provide strong practical applications taking into account the relevance of pricing and hedging strategies for traders, financial institutions, and risk managers. 相似文献
10.