Explicit non-asymptotic bounds for the distance to the first-order Edgeworth expansion
In this article, we study bounds on the uniform distance between the cumulative distribution function of a standardized sum of independent centered random variables with moments of order four and its…
Tail Risk Monotonicity Under Temporal Aggregation in GARCH(1,1) Models
- MathematicsSSRN Electronic Journal
The stationary distribution of a GARCH(1,1) process has a power law decay, under broadly applicable conditions. We study the change in the exponent of the tail decay under temporal aggregation of…
Dynamic reorganization of microtubule networks:building the new by breaking down the old
A stochastic model of dynamic microtubules is developed that analytically identified the key parameters that regulate the localization of actin in the cell and can be used as a starting point for theoretically studying the interaction between different cytoskeletal components.
A Residual Theorem Approach Applied to Stokes’ Problems with Generally Periodic Boundary Conditions including a Pressure Gradient Term
- MathematicsMathematical Problems in Engineering
The differential problem given by a parabolic equation describing the purely viscous flow generated by a constant or an oscillating motion of a boundary is the well-known Stokes’ problem. The…
Pricing Exotic Power Options with a Brownian-Time-Changed Variance Gamma Process
This paper proposes a Brownian time change for modeling stochastic volatility and combines it with a drifted variance gamma process in deriving explicit pricing methods for exotic power options in…
Conception et analyse de micro-résonateurs optiques pour la génération de peignes de fréquences
Les micro-resonateurs a modes de galerie, qu'ils soient declines sous forme de disques, anneaux ou hippodromes, sont devenus les elements constitutifs cles de nombreux composants photoniques de haute…
Exact solution for the unforced Duffing oscillator with cubic and quintic nonlinearities
The nonlinear differential equation governing the periodic motion of the one-dimensional, undamped, unforced cubic–quintic Duffing oscillator is solved exactly, providing exact expressions for the…
A multispecies birth–death–immigration process and its diffusion approximation
Modeling Spot Price Dependence in Australian Electricity Markets with Applications to Risk Management
- EconomicsComput. Oper. Res.
A significant positive dependence structure is found between the prices for all considered markets, while the strongest dependence is exhibited between markets that are connected via interconnector transmission lines.
Lagrangian time series models for ocean surface drifter trajectories
- Environmental Science, Mathematics
The paper proposes stochastic models for the analysis of ocean surface trajectories obtained from freely drifting satellite-tracked instruments and details how practical issues related to sampling and model misspecification may be addressed by using semiparametric techniques for time series.