نتایج جستجو برای: stochastic correlation
تعداد نتایج: 512188 فیلتر نتایج به سال:
This report proposes a method to price spread options on stochastically correlated underlying assets. Therefore it provides a more realistic approach towards correlation structure. We generalize a constant correlation tree model developed by Hull (2002) and extend it by the notion of stochastic correlation. The resulting tree model is recombining and easy to implement. Moreover, the numerical c...
A full treatment of decoherence and dephasing effects in BEC interferometry has been developed based on using quantum correlation functions for treating interferometric effects. The BEC is described via a phase space distribution functional of the Wigner type for the condensate modes and the positive P type for the non-condensate modes. Ito equations for stochastic condensate and non-condensate...
This paper concerns the random fluctuation theory of a one dimensional elliptic equation with highly oscillatory random coefficient. Theoretical studies show that the rescaled random corrector converges in distribution to a stochastic integral with respect to Brownian motion when the random coefficient has short-range correlation. When the random coefficient has long range correlation, it was s...
New advances in nano sciences open the door for scientists to study biological processes on a microscopic molecule-by-molecule basis. Recent single-molecule biophysical experiments on enzyme systems, in particular, reveal that enzyme molecules behave fundamentally differently from what classical model predicts. A stochastic network model was previously proposed to explain the experimental disco...
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