发布求助
文献互助 智能选刊 最新文献

Stochastic Models最新文献

筛选
英文 中文
Stationary analysis of a constrained Markov fluid model with two buffers 带两个缓冲区的受约束马尔可夫流体模型的静态分析
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-04-19 DOI: 10.1080/15326349.2024.2339247
Peter Buchholz, András Mészáros, Miklós Telek
{"title":"Stationary analysis of a constrained Markov fluid model with two buffers","authors":"Peter Buchholz, András Mészáros, Miklós Telek","doi":"10.1080/15326349.2024.2339247","DOIUrl":"https://doi.org/10.1080/15326349.2024.2339247","url":null,"abstract":"We consider Markov fluid models with two infinite buffers, whose fluid rates ensure that the fluid level of buffer 1 is never larger than the one of buffer 2. For the model, we derive the system of...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140625930","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A stochastic liquidity risk model with stochastic volatility and its applications to option pricing 具有随机波动性的随机流动性风险模型及其在期权定价中的应用
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-04-04 DOI: 10.1080/15326349.2024.2332326
Xin-Jiang He, Sha Lin
{"title":"A stochastic liquidity risk model with stochastic volatility and its applications to option pricing","authors":"Xin-Jiang He, Sha Lin","doi":"10.1080/15326349.2024.2332326","DOIUrl":"https://doi.org/10.1080/15326349.2024.2332326","url":null,"abstract":"We investigate the pricing problem of European options when the underlying stock is associated with liquidity risks. Under our established framework, stock prices are assumed to follow the Heston s...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140601214","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A.s. convergence rate for Mandelbrot’s cascade in a random environment 随机环境下曼德尔布罗特级联的 A.s. 收敛率
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-04-02 DOI: 10.1080/15326349.2024.2332324
Yingqiu Li, Lin Deng, Yushao Wei
{"title":"A.s. convergence rate for Mandelbrot’s cascade in a random environment","authors":"Yingqiu Li, Lin Deng, Yushao Wei","doi":"10.1080/15326349.2024.2332324","DOIUrl":"https://doi.org/10.1080/15326349.2024.2332324","url":null,"abstract":"For Mandelbrot’s cascade (Yn) in an independent and identically distributed (i.i.d.) random environment ξ, we are interested in the a.s. convergence rate of the Mandelbrot’s martingale (Wn) to its ...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140600959","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Sensitivities of some performance measures of quasi-birth-and-death processes 准生死过程某些性能指标的敏感性
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-04-02 DOI: 10.1080/15326349.2024.2325448
Anna Aksamit, Małgorzata M. O’Reilly, Zbigniew Palmowski
{"title":"Sensitivities of some performance measures of quasi-birth-and-death processes","authors":"Anna Aksamit, Małgorzata M. O’Reilly, Zbigniew Palmowski","doi":"10.1080/15326349.2024.2325448","DOIUrl":"https://doi.org/10.1080/15326349.2024.2325448","url":null,"abstract":"Quasi-birth-and-death processes (QBDs) form a class of Markovian models with many applications in which the level-variable X(t) records the number of individuals in some system and a phase-variable...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140600962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modeling gene content across a phylogeny to determine when genes become associated 在系统发育过程中建立基因含量模型，以确定基因何时发生关联
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-03-25 DOI: 10.1080/15326349.2024.2330082
J. Diao, M. M. O’Reilly, B. R. Holland
{"title":"Modeling gene content across a phylogeny to determine when genes become associated","authors":"J. Diao, M. M. O’Reilly, B. R. Holland","doi":"10.1080/15326349.2024.2330082","DOIUrl":"https://doi.org/10.1080/15326349.2024.2330082","url":null,"abstract":"We consider a model for inferring functional links between genes. We begin with the simple case of two genes whose presence or absence evolves stochastically along a phylogenetic tree. We develop a...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140298033","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On meeting and merging of stochastic flow of non-homogeneous Markov and semi-Markov dynamics 论非均相马尔可夫和半马尔可夫动力学随机流的相遇与合并
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-03-22 DOI: 10.1080/15326349.2024.2328301
Anindya Goswami, Subhamay Saha, Ravishankar Kapildev Yadav
{"title":"On meeting and merging of stochastic flow of non-homogeneous Markov and semi-Markov dynamics","authors":"Anindya Goswami, Subhamay Saha, Ravishankar Kapildev Yadav","doi":"10.1080/15326349.2024.2328301","DOIUrl":"https://doi.org/10.1080/15326349.2024.2328301","url":null,"abstract":"We consider a general class of semi-Markov processes on countable state-space, with a differentiable kernel such that the embedded Markov chain may not be homogeneous. Using an SDE representation o...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140199575","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The consistency of the estimators in semiparametric regression model based on m-asymptotic negatively associated errors 基于 m 近似负相关误差的半参数回归模型估计值的一致性
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-03-16 DOI: 10.1080/15326349.2024.2325449
Jiayi Feng, Aiting Shen, Dantong Wang, Xuejun Wang
{"title":"The consistency of the estimators in semiparametric regression model based on m-asymptotic negatively associated errors","authors":"Jiayi Feng, Aiting Shen, Dantong Wang, Xuejun Wang","doi":"10.1080/15326349.2024.2325449","DOIUrl":"https://doi.org/10.1080/15326349.2024.2325449","url":null,"abstract":"In this article, we analyze the strong consistency and r-th (r > 1) mean consistency for the estimators βu, n and gu, n of β and g, respectively, based on m-asymptotic negatively associated errors....","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140153387","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A new type of CEV model: properties, comparison, and application to portfolio optimization 新型 CEV 模型：特性、比较及在投资组合优化中的应用
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-03-16 DOI: 10.1080/15326349.2024.2327435
Marcos Escobar Anel, Wei Li Fan
{"title":"A new type of CEV model: properties, comparison, and application to portfolio optimization","authors":"Marcos Escobar Anel, Wei Li Fan","doi":"10.1080/15326349.2024.2327435","DOIUrl":"https://doi.org/10.1080/15326349.2024.2327435","url":null,"abstract":"This article proposes and studies a new type of constant elasticity of volatility (CEV) model, titled LVO-CEV, where the name indicates that the excess return is linear in the volatility. The model...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140153391","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On cover times of Markov chains 关于马尔可夫链的覆盖时间
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-03-12 DOI: 10.1080/15326349.2024.2319201
Bruno Sericola
{"title":"On cover times of Markov chains","authors":"Bruno Sericola","doi":"10.1080/15326349.2024.2319201","DOIUrl":"https://doi.org/10.1080/15326349.2024.2319201","url":null,"abstract":"We consider the cover time of a discrete-time homogenous Markov chain, which is the time needed by the Markov chain to visit all its states. We analyze both the distribution and the moments of the ...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140153494","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asymptotic normality for the weighted estimators in heteroscedastic partially linear regression model under dependent errors 异方差部分线性回归模型中加权估计值在依赖误差下的渐近正态性
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-03-12 DOI: 10.1080/15326349.2024.2322568
Sallieu Kabay Samura, Xuejun Wang, Yi Wu, Fei Zhang
{"title":"Asymptotic normality for the weighted estimators in heteroscedastic partially linear regression model under dependent errors","authors":"Sallieu Kabay Samura, Xuejun Wang, Yi Wu, Fei Zhang","doi":"10.1080/15326349.2024.2322568","DOIUrl":"https://doi.org/10.1080/15326349.2024.2322568","url":null,"abstract":"In this article, we investigate the estimators for the heteroscadastic partially linear regression model under dependent errors defined by yi=xiβ+g(ti)+εi (1≤i≤n), where εi = σiei, σi2=f(ui), the d...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140115098","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信