Search results for "stochastic model"
showing 10 items of 109 documents
Weather Derivatives and Stochastic Modelling of Temperature
2011
We propose a continuous-time autoregressive model for the temperature dynamics with volatility being the product of a seasonal function and a stochastic process. We use the Barndorff-Nielsen and Shephard model for the stochastic volatility. The proposed temperature dynamics is flexible enough to model temperature data accurately, and at the same time being analytically tractable. Futures prices for commonly traded contracts at the Chicago Mercantile Exchange on indices like cooling- and heating-degree days and cumulative average temperatures are computed, as well as option prices on them.
Quantitative Analysis of Experimental and Synthetic Microstructures for Sedimentary Rock
1999
A quantitative comparison between the experimental microstructure of a sedimentary rock and three theoretical models for the same rock is presented. The microstructure of the rock sample (Fontainebleau sandstone) was obtained by microtomography. Two of the models are stochastic models based on correlation function reconstruction, and one model is based on sedimentation, compaction and diagenesis combined with input from petrographic analysis. The porosity of all models closely match that of the experimental sample and two models have also the same two point correlation function as the experimental sample. We compute quantitative differences and similarities between the various microstructur…
Updating input–output matrices: assessing alternatives through simulation
2009
A problem that frequently arises in economics, demography, statistics, transportation planning and stochastic modelling is how to adjust the entries of a matrix to fulfil row and column aggregation constraints. Biproportional methods in general and the so-called RAS algorithm in particular, have been used for decades to find solutions to this type of problem. Although alternatives exist, the RAS algorithm and its extensions are still the most popular. Apart from some interesting empirical and theoretical properties, tradition, simplicity and very low computational costs are among the reasons behind the great success of RAS. Nowadays computer hardware and software have made alternative proce…
Stochastic model for the epitaxial growth of two-dimensional islands in the submonolayer regime
2016
The diffusion-based growth of islands composed of clusters of metal atoms on a substrate is considered in the aggregation regime. A stochastic approach is proposed to describe the dynamics of island growth based on a Langevin equation with multiplicative noise. The distribution of island sizes, obtained as a solution of the corresponding Fokker-Planck equation, is derived. The time-dependence of island growth on its fractal dimension is analysed. The effect of mobility of the small islands on the growth of large islands is considered. Numerical simulations are in a good agreement with theoretical results.
Spatio-temporal stochastic modelling: environmental and health processes
2010
Guest editorial
Wait-and-switch stochastic model of the non-Debye relaxation. Derivation of the Burr survival probability
2006
Abstract Stochastic mechanism of relaxation, in which a dipole waits until a favourable condition for reorientation exists, is discussed. Assuming that an imposed direction of a dipole moment may be changed when a migrating defect reaches the dipole, we present a mathematically rigorous scheme relating the local random characteristics of a macroscopic system to its effective relaxation behaviour. We derive a relaxation function (the Burr survival probability) that is characterized by the stretched exponential or the power-law behaviour.
Nonstationary distributions and relaxation times in a stochastic model of memristor
2020
We propose a stochastic model for a memristive system by generalizing known approaches and experimental results. We validate our theoretical model by experiments carried out on a memristive device based on multilayer structure. In the framework of the proposed model we obtain the exact analytic expressions for stationary and nonstationary solutions. We analyze the equilibrium and non-equilibrium steady-state distributions of the internal state variable of the memristive system and study the influence of fluctuations on the resistive switching, including the relaxation time to the steady-state. The relaxation time shows a nonmonotonic dependence, with a minimum, on the intensity of the fluct…
Volatility in Financial Markets: Stochastic Models and Empirical Results
2002
We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained and compared with the theoretical predictions of a lognormal model and of the Hull and White model. The lognormal model well describes the pdf in the region of low values of volatility whereas the Hull and White model better approximates the empirical pdf for large values of volatility. Both models fails in describing the empirical pdf over a moderately large volatility range.
Modelling Bacterial Dynamics in Food Products: Role of Environmental Noise and Interspecific Competition
2013
In this paper we review some results obtained within the context of the predictive microbiology, which is a specific field of the population dynamics. In particular we discuss three models, which exploit tools of statistical mechanics, for bacterial dynamics in food of animal origin. In the first model, the random fluctuating behaviour, experimentally measured, of the temperature is considered. In the second model stochastic differential equations are introduced to take into account the influence of physical and chemical variables, such as temperature, pH and activity water, subject to deterministic and random variations. The third model, which is an extended version of the second one, negl…