نتایج جستجو برای: stochastic process with memory
تعداد نتایج: 9730896 فیلتر نتایج به سال:
For almost two centuries, Poisson process with memoryless property of corresponding exponential distribution served as the simplest, and yet one of the most important stochastic models. On the other hand, there are many processes that exhibit long memory (e.g., network traffic and other complex systems). It would be useful if one could generalize the standard Poisson process to include these p...
! ! The daily return and the realized volatility are simultaneously modeled in the stochastic volatility model with leverage and long memory. In addition to the stochastic volatility model with leverage for the daily returns, ARFIMA process is jointly considered for the realized volatilities. Using a state space representation of the model, we estimate parameters by Markov chain Monte Carlo met...
translation studies have become an accepted academic subject and books, journals and doctoral dissertations appear faster than one can read them all (bassnet and lefevere, 1990). but this field also brought with itself so many other issues which needed to be investigated more, in the heart of which, issues like ideology, ethics, culture, bilingualism and multilingualism. it is reported that ove...
in this paper, we study the existence of generalized solutions for the infinite dimensional nonlinear stochastic differential inclusions $dx(t) in f(t,x(t))dt +g(t,x(t))dw_t$ in which the multifunction $f$ is semimonotone and hemicontinuous and the operator-valued multifunction $g$ satisfies a lipschitz condition. we define the it^{o} stochastic integral of operator set-valued stochastic pr...
We treat the problem of option pricing under a stochastic volatility model that exhibits long-range dependence. We model the price process as a Geometric Brownian Motion with volatility evolving as a fractional Ornstein-Uhlenbeck process. We assume that the model has long-memory, thus the memory parameter H in the volatility is greater than 0.5. Although the price process evolves in continuous ...
به طور کلی در فرآیندهای مارکوف ارگودیک دو بعدی یافتن فرم بسته توزیع ایستا، تنها برای حالات خیلی خاص امکان پذیر است. با توجه به این مشکل و نیز با توجه به اهمیت توزیع ایستا، بررسی و مطالعه رفتار مجانبی توزیع ایستای این فرآیندها مورد توجه قرار گرفته است. زنجیر قدم زدن تصادفی دو بعدی که در برخی متون به آن، فرآیند qbd دو طرفه نیز می گویند، یکی از این فرآیندها است. یک فرآیند qbd زمان گسسته یک زنجیر م...
Firstly, the Markovian stochastic Schrödinger equations are presented, together with their connections with the theory of measurements in continuous time. Moreover, the stochastic evolution equations are translated into a simulation algorithm, which is illustrated by two concrete examples — the damped harmonic oscillator and a two-level atom with homodyne photodetection. Then, we consider how t...
abstract this study aimed at investigating the impact of etymology strategy instruction on the development of vocabulary of iranian intermediate efl learners. etymology, knowledge of origin of words, roots, and affixes, has proved to be a controversial issue and a question of long debate with regard to its impact on the process of vocabulary learning. this study employed etymology strategy in ...
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