Search results for "stochastic"
showing 10 items of 1018 documents
Option-Implied Volatility Spillovers between Risk Factors in FX Markets and States of the Global Economy
2016
This study employs option price data to back out the implied portfolio volatilities of the dollar and carry trade risk factors of the G-10 currencies. To investigate expected volatility spillover effects between risk factors in FX markets, we extend Grobys (2015) and Diebold and Yilmaz (2009) by constructing expected volatility spillover indices based upon the forecast-error variance decomposition of Vector-Autoregression models employing option-implied portfolio volatilities. Surprisingly, the dollar and carry trade risk factors that are orthogonal in the first moment exhibit strong stochastic interrelations in the second expected moment. Our findings indicate that expected high spillover …
Stochastic model of memristor based on the length of conductive region
2021
Abstract We propose a stochastic model of a voltage controlled bipolar memristive system, which includes the properties of widely used dynamic SPICE models and takes into account the fluctuations inherent in memristors. The proposed model is described by rather simple equations of Brownian diffusion, does not require significant computational resources for numerical modeling, and allows obtaining the exact analytical solutions in some cases. The noise-induced transient bimodality phenomenon, arising under resistive switching, was revealed and investigated theoretically and experimentally in a memristive system, by finding a quite good qualitatively agreement between theory and experiment. B…
Set-valued and fuzzy stochastic differential equations driven by semimartingales
2013
Abstract In the paper we present set-valued and fuzzy stochastic integrals with respect to semimartingale integrators as well as their main properties. Then we study the existence of solutions to set-valued and fuzzy-set-valued stochastic differential equations driven by semimartingales. The stability of solutions is also established.
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 …
Fuzzy Stochastic Integral Equations Driven by Martingales
2011
Exploiting the properties of set-valued stochastic trajectory integrals we consider a notion of fuzzy stochastic Lebesgue–Stieltjes trajectory integral and a notion of fuzzy stochastic trajectory integral with respect to martingale. Then we use these integrals in a formulation of fuzzy stochastic integral equations. We investigate the existence and uniqueness of solution to such the equations.
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…
Growth Volatility Indices
2006
We study the determinants of growth rate volatility in a multisector economy where sectors are heterogeneous in their individual volatility. We propose a model where aggregate volatility is explained by structural change and the size of the economy. We present a first attempt to test these predictions measuring growth volatility by indices based on Markov transition matrices. Growth volatility appears to (i) decrease with total GDP and (ii) increase with the share of the agricultural sector on GDP, although some nonlinearities appear. Trade openness, which we relate to the size of the economy, also plays a role. In accordance with our model, the explanatory power of per capita GDP, a releva…
PRIVANET: An Efficient Pseudonym Changing and Management Framework for Vehicular Ad-Hoc Networks
2020
Protecting the location privacy is one of the main challenges in vehicular ad-hoc networks (VANETs). Although, standardization bodies, such as IEEE and ETSI, have adopted a pseudonym-based scheme as a solution for this problem, an efficient pseudonym changing and management is still an open issue. In this paper, we propose PRIVANET, a complete and efficient pseudonym changing and management framework. The PRIVANET has a hierarchical structure and considers the vehicular geographic area as a grid. Each cell of this grid contains one or many logical zones, called vehicular location privacy zones (VLPZs). These zones can easily be deployed over the widespread roadside infrastructures (RIs), su…
Optimal Adaptive Inspection Planning Process in Service of Fatigued Aircraft Structures
2009
In this paper, a control theory is used for planning inspections in service of fatigue-sensitive aircraft structure components under crack propagation. One of the most important features of control theory is its great generality, enabling one to analyze diverse systems within one unified framework. A key idea, which has emerged from this study, is the necessity of viewing the process of planning in-service inspections as an adaptive control process. Adaptation means the ability of self-modification and self-adjustment in accordance with varying conditions of environment. The adaptive control of inspection planning process in service of fatigued aircraft structures differs from ordinary stoc…