Search results for "Stochastic process"
showing 10 items of 346 documents
Role of noise in a market model with stochastic volatility
2006
We study a generalization of the Heston model, which consists of two coupled stochastic differential equations, one for the stock price and the other one for the volatility. We consider a cubic nonlinearity in the first equation and a correlation between the two Wiener processes, which model the two white noise sources. This model can be useful to describe the market dynamics characterized by different regimes corresponding to normal and extreme days. We analyze the effect of the noise on the statistical properties of the escape time with reference to the noise enhanced stability (NES) phenomenon, that is the noise induced enhancement of the lifetime of a metastable state. We observe NES ef…
Small-gain conditions for stochastic network systems
2013
In this paper, some small-gain conditions are presented for stochastic network systems which can describe many large-scale systems with interconnections, nonlinear behaviors, uncertainties and random disturbances. One subsystem is selected as monitor with the requirement that the gains to other systems are smooth concave functions. The relations of members under the supervise of the monitor are described as bilateral plus multilateral relations of gains. For the deterministic case, the requirement on the monitor can be removed. To demonstrate the power of this result, the small-gain conditions cover interconnected system with two subsystems as a special case. Compared with the existing resu…
Jet evolution in a dense medium: event-by-event fluctuations and multi-particle correlations
2017
International audience; We study the gluon distribution produced via successive medium-induced branchings by an energetic jet propagating through a weakly-coupled quark-gluon plasma. We show that under suitable approximations, the jet evolution is a Markovian stochastic process, which is exactly solvable. For this process, we construct exact analytic solutions for all the n-point correlation functions describing the gluon distribution in the space of energy [M. A. Escobedo, E. Iancu, Event-by-event fluctuations in the medium-induced jet evolution, JHEP 05 (2016) 008. arXiv: arXiv:1601.03629 , doi: http://dx.doi.org/10.1007/JHEP05(2016)008 , M. A. Escobedo, E. Iancu, Multi-particle correlati…
Emittance Growth by Synchrotron Radiation in a Double-Sided Microtron
1999
Here we present results of calculations of emittance growth caused by quantum fluctuations of synchrotron radiation (QFSR) for a 1.5 GeV double-sided microtron (DSM). We did both semi-analytical estimations, employing known Twiss parameters for the DSM orbits, and a computer simulation of these stochastic effects using the program SYTRACE. This showed that the normalized emittance growth was within reasonable limits, by a factor of about 1.5, thus permitting e.g. the installation of small aperture linacs on the DSM axes.
Stochastic 0-dimensional Biogeochemical Flux Model: Effect of temperature fluctuations on the dynamics of the biogeochemical properties in a marine e…
2021
Abstract We present a new stochastic model, based on a 0-dimensional version of the well known biogeochemical flux model (BFM), which allows to take into account the temperature random fluctuations present in natural systems and therefore to describe more realistically the dynamics of real marine ecosystems. The study presents a detailed analysis of the effects of randomly varying temperature on the lower trophic levels of the food web and ocean biogeochemical processes. More in detail, the temperature is described as a stochastic process driven by an additive self-correlated Gaussian noise. Varying both correlation time and intensity of the noise source, the predominance of different plank…
Active controlled structural systems under delta-correlated random excitation: linear and nonlinear case
2006
Abstract Reduction of structural vibration in active controlled dynamical system is usually performed by means of convenient control forces dependent of the dynamic response. In this paper the existent studies will be extended to dynamical systems subjected to non-Gaussian random process accounting for the time delay involved in the application of active control actions. Control forces acting with time-delay effects will be expanded in Taylor series evaluating response statistics by means of the extended Ito differential rule to consider the effects of the non-normality of the input processes. Numerical application provided shows the feasibility of the proposed method to analyze stochastic …
A Novel Bayesian Network Based Scheme for Finding the Optimal Solution to Stochastic Online Equi-partitioning Problems
2014
A number of intriguing decision scenarios, such as order picking, revolve around partitioning a collection of objects so as to optimize some application specific objective function. In its general form, this problem is referred to as the Object Partitioning Problem (OOP), known to be NP-hard. We here consider a variant of OPP, namely the Stochastic Online Equi-Partitioning Problem (SO-EPP). In SO-EPP, objects arrive sequentially, in pairs. The relationship between the arriving object pairs is stochastic: They belong to the same partition with probability p. From a history of object arrivals, the goal is to predict which objects will appear together in future arrivals. As an additional compl…
Treating Ordinal Criteria in Stochastic Weight Space Analysis
2001
We consider discrete co-operative group decision-making problems and suggest a method that is aimed at providing descriptive information about the acceptability of different decision alternatives. The method is a new variant of the Stochastic Multicriteria Acceptability Analysis (SMAA) method for discrete multicriteria decision-making problems with multiple decision makers. The new method is designed for problems where criterion information is completely or partially ordinal, that is, experts (or decision makers) have ranked the alternatives criterion-wise. The approach is particularly suitable for group decision making where either no or only partial preference information is available ass…
Bazaar economics
2015
Competitive Equilibrium theory has been a widely accepted and extensively used cornerstone in economics for over a century. Here, we suggest a complementary model—motivated by the haggling in a bazaar—that offers a useful, first-principle account of market behavior that better accounts for the observed outcomes in forty market experiments. The Bazaar model uses simple stochastic processes to drive the matching of traders and the determination of price. We show that as agents become more impatient, the system tends toward more Competitive-Equilibrium-like outcomes.
Analysis of the level-crossing rate and average duration of fades of WSSUS channels
2017
Studies of the level-crossing rate (LCR) and the average duration of fades (ADF) are so far only devoted to stochastic processes being a function of one independent variable, which is usually time or in some few cases frequency. In this paper, we study the LCR (ADF) of wide-sense stationary uncorrelated scattering (WSSUS) processes in the time-frequency domain. A closed-form solution will be derived for the so-called time-frequency LCR (ADF) of the absolute value of the time-variant transfer function (TVTF) of WSSUS processes. It is shown that the LCR (ADF) is circularly symmetric in the normalized time-frequency domain. The derived time-frequency LCR contains the time LCR and frequency LCR…