Search results for "STOCHASTIC SENSITIVITY"
showing 2 items of 2 documents
Stochastic sensitivity of bull and bear states
2021
We study the price dynamics generated by a stochastic version of a Day–Huang type asset market model with heterogenous, interacting market participants. To facilitate the analysis, we introduce a methodology that allows us to assess the consequences of changes in uncertainty on the dynamics of an asset price process close to stable equilibria. In particular, we focus on noise-induced transitions between bull and bear states of the market under additive as well as parametric noise. Our results are obtained by combining the stochastic sensitivity function (SSF) approach, a mixture of analytical and numerical techniques, due to Mil’shtein and Ryashko (1995) with concepts and techniques from th…
A modal approach for the evaluation of the response sensitivity of structural systems subjected to non-stationary random processes
2005
A method for the evaluation of the response sensitivity of both classically and non-classically damped discrete linear structural systems under stochastic actions is presented. The proposed approach requires the following items: (a) a suitable modal expansion of the response; (b) the derivation in analytical form of the equations governing the evolution of the derivatives of the response (the so-called sensitivity equations) with respect to the parameters that define the structural model; (c) an extensive use of the Kronecker algebra for determining the analytical expressions of the sensitivity of the structural response statistics to non-stationary random input processes. Moreover, a step-…