40 search results - page 4 / 8 » A Piecewise-Deterministic Model for Brownian Motion |
Book
This is a great draft book about stochastic calculus and finance. It covers large number of topics such as Introduction to Probability Theory, Conditional Expectation, Arbitrage Pr...
NIPS
1998
13 years 9 months ago
1998
A recent neural model of illusory contour formation is based on a distribution of natural shapes traced by particles moving with constant speed in directions given by Brownian mot...
SIAMCO
2002
13 years 7 months ago
2002
We consider a market model with one riskfree and one risky asset, in which the dynamics of the risky asset is governed by a geometric Brownian motion. In this market we consider a...
FS
2010
13 years 6 months ago
2010
The aim of this paper is to investigate the properties of stochastic volatility models, and to discuss to what extent, and with regard to which models, properties of the classical...
INFOCOM
1997
IEEE
13 years 12 months ago
1997
IEEE
Several types of network trafic have been shown to exhibit long-range dependence (LRD). In this work, we show that the busy period of an ATM system driven by a long-range dependen...