Search results for "Stochastic process"
showing 10 items of 346 documents
Univariate and multivariate statistical aspects of equity volatility
2004
We discuss univariate and multivariate statistical properties of volatility time series of equities traded in a financial market. Specifically, (i) we introduce a two-region stochastic volatility model able to well describe the unconditional pdf of volatility in a wide range of values and (ii) we quantify the stability of the results of a correlation-based clustering procedure applied to synchronous time evolution of a set of volatility time series.
Set-valued stochastic integral equations driven by martingales
2012
Abstract We consider a notion of set-valued stochastic Lebesgue–Stieltjes trajectory integral and a notion of set-valued stochastic trajectory integral with respect to martingale. Then we use these integrals in a formulation of set-valued stochastic integral equations. The existence and uniqueness of the solution to such the equations is proven. As a generalization of set-valued case results we consider the fuzzy stochastic trajectory integrals and investigate the fuzzy stochastic integral equations driven by bounded variation processes and martingales.
The Itô Integral
2014
The Ito integral allows us to integrate stochastic processes with respect to the increments of a Brownian motion or a somewhat more general stochastic process. We develop the Ito integral first for Brownian motion and then for generalized diffusion processes (so called Ito processes). In the third section, we derive the celebrated Ito formula. This is the chain rule for the Ito integral that enables us to do explicit calculations with the Ito integral. In the fourth section, we use the Ito formula to obtain a stochastic solution of the classical Dirichlet problem. This in turn is used in the fifth section in order to show that like symmetric simple random walk, Brownian motion is recurrent …
Fractional Viscoelasticity Under Combined Stress and Temperature Variations
2020
Nowadays polymeric materials or composites with polymeric matrices are widely used in a very wide range of applications such as aerospace, automotive, biomedical and also civil engineering. From a mechanical point of view, polymers are characterized by high viscoelastic properties and high sensitiveness of mechanical parameters from temperature. Analytical predictions in real-life conditions of mechanical behaviour of such a kind of materials is not trivial for the intrinsic hereditariness that imply the knowledge of all the history of the material at hand in order to predict the response to applied external loads. If temperature variations are also present in the materials, a reliable eval…
Stochastic model for complex surface-reaction systems with application toNH3formation
1993
A stochastic model is introduced that is appropriate to describe surface-reaction systems. These reaction systems are well suited for the description via master equations using their Markovian behavior. In this representation an infinite chain of master equations for the distribution functions of the state of the surface, of pairs of surface sites, etc., arises. This hierarchy is truncated by a superposition approximation. The resulting lattice equations are solved in a small region which contains all of the structure-sensitive aspects and can be connected to continuous functions which represent the behavior of the system for large distances from a reference point. In the present paper, we …
Challenging aspects in Consensus protocols for networks
2008
Results on consensus protocols for networks are presented. The basic tools and the main contribution available in the literature are considered, together with some of the related challenging aspects: estimation in networks and how to deal with disturbances is considered. Motivated by applications to sensor, peer-to- peer, and ad hoc networks, many papers have considered the problem of estimation in a consensus fashion. Here, the unknown but bounded (UBB) noise affecting the network is addressed in details. Because of the presence of UBB disturbances convergence to equilibria with all equal components is, in general, not possible. The solution of the epsiv-consensus problem, where the states…
A solution to the stochastic point location problem in metalevel nonstationary environments.
2008
This paper reports the first known solution to the stochastic point location (SPL) problem when the environment is nonstationary. The SPL problem involves a general learning problem in which the learning mechanism (which could be a robot, a learning automaton, or, in general, an algorithm) attempts to learn a "parameter," for example, lambda*, within a closed interval. However, unlike the earlier reported results, we consider the scenario when the learning is to be done in a nonstationary setting. For each guess, the environment essentially informs the mechanism, possibly erroneously (i.e., with probability p), which way it should move to reach the unknown point. Unlike the results availabl…
Thermodynamic formalism and linear response theory for non-equilibrium steady states
2016
We study the linear response in systems driven away from thermal equilibrium into a nonequilibrium steady state with nonvanishing entropy production rate. A simple derivation of a general response formula is presented under the condition that the generating function describes a transformation that (to lowest order) preserves normalization and thus describes a physical stochastic process. For Markov processes we explicitly construct the conjugate quantities and discuss their relation with known response formulas. Emphasis is put on the formal analogy with thermodynamic potentials and some consequences are discussed.
Lévy flights in confining potentials.
2009
We analyze confining mechanisms for L\'{e}vy flights. When they evolve in suitable external potentials their variance may exist and show signatures of a superdiffusive transport. Two classes of stochastic jump - type processes are considered: those driven by Langevin equation with L\'{e}vy noise and those, named by us topological L\'{e}vy processes (occurring in systems with topological complexity like folded polymers or complex networks and generically in inhomogeneous media), whose Langevin representation is unknown and possibly nonexistent. Our major finding is that both above classes of processes stay in affinity and may share common stationary (eventually asymptotic) probability densit…
Min-max control of uncertain multi-inventory systems with multiplicative uncertainties
2001
In this note, we consider production-distribution systems with buffer and capacity constraints. For such systems, we assume that the model is not known exactly. More precisely, the entries of the matrix representing the system structure may be affine functions of some uncertain time-varying parameters that take values within assigned bounds. We give stabilizability conditions that can be checked, in principle, by solving a min-max problem on the surface of the state-space (buffer level space) unit ball. Then, we consider a special case in which each uncertain parameter affects a single column of the system matrix and is independent of all the other ones. In this case, we propose a mixed int…