Optimal stopping of stochastic processes having both absolutely continuous and singular behavior (with respect to time) can be equivalently formulated as an infinite-dimensional linear program over a collection of measures. These measures represent the occupation measures of the process (up to a stopping time) with respect to “regular time” and “singular time” and the distribution of the proces...

Abstract Geometric Brownian Motion is a mathematical model that can be used in stock price forecasting. This research aimed to predict the prices during outbreak of coronavirus Indonesia. There are four important steps this research, such as calculating return stocks, analyzing normality test return, forecasting by using Motion, and errors Based on MAPE for three forecasted mostly around 10%.

We study the numerical evaluation of several functions appearing in small time expansion distribution time-integral geometric Brownian motion as well its joint with terminal value underlying motion. A precise these distributions is relevant for simulation stochastic volatility models log-normally distributed volatility, and Asian option pricing Black-Scholes model. derive series expansions dist...

We provide a comparative analysis of qualitative features different numerical methods for the inhomogeneous geometric Brownian motion (IGBM). The limit distribution IGBM exists, its conditional and asymptotic mean variance are known process can be characterised according to Feller’s boundary classification. compare frequently used Euler–Maruyama Milstein methods, two Lie–Trotter Strang splittin...

the effect of a transverse magnetic field on the boundary layer flow and heat transfer of anisothermal stretching cylinder is analyzed. the governing partial differential equations for themagnetohydrodynamic, temperature, and concentration boundary layers are transformed into a setof ordinary differential equations using similarity transformations. the obtained ordinarydifferential equations ar...

the falling and settling of solid particles in gases and liquids is a natural phenomenon happens in many industrial processes. this phenomenon has altered pure forced convection to a combination of heat conduction and heat convection in a flow over a plate. in this paper, the coupling of conduction (inside the plate) and forced convection of a non-homogeneous nanofluid flow (over a flat plate) ...