Stochastic models of exotic transport
نویسندگان
چکیده
منابع مشابه
Stochastic models of exotic transport
Non-typical transport phenomena may arise when randomly driven particles remain in an active relationship with the environment instead of being passive. If we attribute to Brownian particles an ability to induce alterations of the environment on suitable space-time scales, those in turn must influence their further movement. In that case a general feedback mechanism needs to be respected. By re...
متن کاملStochastic models of intracellular transport
The interior of a living cell is a crowded, heterogenuous, fluctuating environment. Hence, a major challenge in modeling intracellular transport is to analyze stochastic processes within complex environments. Broadly speaking, there are two basic mechanisms for intracellular transport: passive diffusion and motor-driven active transport. Diffusive transport can be formulated in terms of the mot...
متن کاملPricing Exotic Variance Swaps under 3/2-Stochastic Volatility Models
We consider pricing of various types of exotic discrete variance swaps, like the gamma swaps and corridor swaps, under the 3/2-stochastic volatility models with jumps. The class of stochastic volatility models (SVM) that use a constant-elasticity-of-variance (CEV) process for the instantaneous variance exhibit nice analytical tractability when the CEV parameter takes just a few special values (...
متن کاملExotic derivatives under stochastic volatility models with jumps
In equity and foreign exchange markets the risk-neutral dynamics of the underlying asset are commonly represented by stochastic volatility models with jumps. In this paper we consider a dense subclass of such models and develop analytically tractable formulae for the prices of a range of first-generation exotic derivatives. We provide closed form formulae for the Fourier transforms of vanilla a...
متن کاملStochastic models for convective momentum transport.
The improved parameterization of unresolved features of tropical convection is a central challenge in current computer models for long-range ensemble forecasting of weather and short-term climate change. Observations, theory, and detailed smaller-scale numerical simulations suggest that convective momentum transport (CMT) from the unresolved scales to the resolved scales is one of the major def...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2000
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(00)00281-8