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A two-factor structural model for valuing corporate securities.
- Published in:
- Review of Derivatives Research, 2024, v. 27, n. 2, p. 203, doi. 10.1007/s11147-024-09203-2
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- Article
Fourier approach to goodness-of-fit tests for Gaussian random processes.
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- Statistical Papers, 2024, v. 65, n. 5, p. 2937, doi. 10.1007/s00362-023-01510-4
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- Article
A stochastic SIHR epidemic model with general population-size dependent contact rate and Ornstein–Uhlenbeck process: dynamics analysis.
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- Nonlinear Dynamics, 2024, v. 112, n. 12, p. 10703, doi. 10.1007/s11071-024-09586-9
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- Article
Stochastic virus infection model with Ornstein–Uhlenbeck perturbation: Extinction and stationary distribution analysis.
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- Mathematical Methods in the Applied Sciences, 2024, v. 47, n. 9, p. 7156, doi. 10.1002/mma.9961
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- Article
Global attracting set of stochastic differential equations with unbounded delay driven by fractional Ornstein–Uhlenbeck process.
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- Random Operators & Stochastic Equations, 2024, v. 32, n. 2, p. 143, doi. 10.1515/rose-2024-2004
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- Article
Moderate Deviations for Parameter Estimation in the Fractional Ornstein-Uhlenbeck Processes with Periodic Mean.
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- Acta Mathematica Sinica, 2024, v. 40, n. 5, p. 1308, doi. 10.1007/s10114-023-2157-z
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- Article
A New Boosting Algorithm for Online Portfolio Selection Based on dynamic Time Warping and Anti-correlation.
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- Computational Economics, 2024, v. 63, n. 5, p. 1777, doi. 10.1007/s10614-023-10383-6
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- Article
A stochastic SIS epidemic infectious diseases model with double stochastic perturbations.
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- International Journal of Biomathematics, 2024, v. 17, n. 4, p. 1, doi. 10.1142/S1793524523500407
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- Article
Quickest Detection Problems for Ornstein–Uhlenbeck Processes.
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- Mathematics of Operations Research, 2024, v. 49, n. 2, p. 1045, doi. 10.1287/moor.2021.0186
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- Article
Dynamic analysis of generalized epidemic models with latent period, quarantine, governmental intervention and Ornstein–Uhlenbeck process.
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- Nonlinear Dynamics, 2024, v. 112, n. 9, p. 7749, doi. 10.1007/s11071-024-09458-2
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- Article
Dynamical behaviors of a stochastic SIRV epidemic model with the Ornstein–Uhlenbeck process.
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- Advances in Continuous & Discrete Models, 2024, v. 2024, n. 1, p. 1, doi. 10.1186/s13662-024-03807-6
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- Article
A double stochastic SIS network epidemic model with nonlinear contact rate and limited medical resources.
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- Nonlinear Dynamics, 2024, v. 112, n. 8, p. 6743, doi. 10.1007/s11071-024-09291-7
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- Publication type:
- Article
Data-driven model for Lagrangian evolution of velocity gradients in incompressible turbulent flows.
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- Journal of Fluid Mechanics, 2024, v. 984, p. 1, doi. 10.1017/jfm.2024.235
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- Publication type:
- Article
Minimum Information Variability in Linear Langevin Systems via Model Predictive Control.
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- Entropy, 2024, v. 26, n. 4, p. 323, doi. 10.3390/e26040323
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- Article
John Kent's contribution to the Discussion of the 'Discussion Meeting on Probabilistic and statistical aspects of machine learning'.
- Published in:
- 2024
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- Publication type:
- Proceeding
Analysis of the measurement uncertainty for a 3D wind-LiDAR.
- Published in:
- Atmospheric Measurement Techniques Discussions, 2024, p. 1, doi. 10.5194/amt-2023-184
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- Publication type:
- Article
The collective dynamics of a stochastic Port-Hamiltonian self-driven agent model in one dimension.
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- ESAIM: Mathematical Modelling & Numerical Analysis (ESAIM: M2AN), 2024, v. 58, n. 2, p. 515, doi. 10.1051/m2an/2024004
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- Publication type:
- Article
American Options in Time-Dependent One-Factor Models: Semi-Analytic Pricing, Numerical Methods, and ML Support.
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- Journal of Derivatives, 2024, v. 31, n. 3, p. 74, doi. 10.3905/jod.2023.1.197
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- Publication type:
- Article
On the estimation of periodic signals in the diffusion process using a high-frequency scheme.
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- Monte Carlo Methods & Applications, 2024, v. 30, n. 1, p. 43, doi. 10.1515/mcma-2023-2020
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- Publication type:
- Article
Existence and Internal Structure of the Deterministic Attracting Set for a Random Ant Colonies Model.
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- Fluctuation & Noise Letters, 2024, v. 23, n. 1, p. 1, doi. 10.1142/S0219477524500068
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- Publication type:
- Article
The El Niño Southern Oscillation Recharge Oscillator with the Stochastic Forcing of Long-Term Memory.
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- Fractal & Fractional, 2024, v. 8, n. 2, p. 121, doi. 10.3390/fractalfract8020121
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- Publication type:
- Article
A stochastic predator–prey model with distributed delay and Ornstein–Uhlenbeck process: Characterization of stationary distribution, extinction, and probability density function.
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- Mathematical Methods in the Applied Sciences, 2024, v. 47, n. 3, p. 1643, doi. 10.1002/mma.9714
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- Publication type:
- Article
Gamma mixed fractional Lévy Ornstein-Uhlenbeck process.
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- Modern Stochastics: Theory & Applications, 2024, v. 11, n. 1, p. 63, doi. 10.15559/23-VMSTA237
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- Article
PAIRS TRADING WITH TOPOLOGICAL DATA ANALYSIS.
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- International Journal of Theoretical & Applied Finance, 2023, v. 26, n. 8, p. 1, doi. 10.1142/S021902492450002X
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- Publication type:
- Article
Modified trajectory fitting estimators for multi‐regime threshold Ornstein–Uhlenbeck processes.
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- Stat, 2023, v. 12, n. 1, p. 1, doi. 10.1002/sta4.620
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- Publication type:
- Article
Approximations of Lévy processes by integrated fast oscillating Ornstein–Uhlenbeck processes.
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- Stochastics & Dynamics, 2023, v. 23, n. 8, p. 1, doi. 10.1142/S0219493723400051
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- Publication type:
- Article
ON A CONSISTENT ESTIMATOR OF A USEFUL SIGNAL IN ORNSTEIN-UHLENBECK STOCHASTIC MODEL IN C[-l, l[.
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- Transactions of A. Razmadze Mathematical Institute, 2023, v. 177, n. 3, p. 423
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- Publication type:
- Article
Simulation-based assessment of the performance of hierarchical abundance estimators for camera trap surveys of unmarked species.
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- Scientific Reports, 2023, v. 13, n. 1, p. 1, doi. 10.1038/s41598-023-43184-w
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- Publication type:
- Article
Derivation of Anomalous Behavior from Interacting Oscillators in the High-Temperature Regime.
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- Communications in Mathematical Physics, 2023, v. 403, n. 3, p. 1193, doi. 10.1007/s00220-023-04818-2
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- Publication type:
- Article
A Stochastic Model of Anomalously Fast Transport of Heat Energy in Crystalline Bodies.
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- Energies (19961073), 2023, v. 16, n. 20, p. 7117, doi. 10.3390/en16207117
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- Article
A Polynomial-Affine Approximation for Dynamic Portfolio Choice.
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- Computational Economics, 2023, v. 62, n. 3, p. 1177, doi. 10.1007/s10614-022-10297-9
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- Publication type:
- Article
A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes.
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- Journal of Industrial & Management Optimization, 2023, v. 19, n. 10, p. 1, doi. 10.3934/jimo.2023017
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- Publication type:
- Article
Random Matrix Theory for Sound Propagation in a Shallow-Water Acoustic Waveguide with Sea Bottom Roughness.
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- Journal of Marine Science & Engineering, 2023, v. 11, n. 10, p. 1987, doi. 10.3390/jmse11101987
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- Article
Near-surface dynamic structure in the northern South China Sea and Northwest Pacific revealed using Lagrangian data.
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- Journal of Oceanography, 2023, v. 79, n. 5, p. 445, doi. 10.1007/s10872-023-00687-4
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- Publication type:
- Article
Dynamics and density function of a stochastic COVID-19 epidemic model with Ornstein–Uhlenbeck process.
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- Nonlinear Dynamics, 2023, v. 111, n. 19, p. 18559, doi. 10.1007/s11071-023-08790-3
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- Publication type:
- Article
Stationary distribution of a reaction-diffusion hepatitis B virus infection model driven by the Ornstein-Uhlenbeck process.
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- PLoS ONE, 2023, v. 18, n. 9, p. 1, doi. 10.1371/journal.pone.0292073
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- Publication type:
- Article
Simulation-based assessment of the performance of hierarchical abundance estimators for camera trap surveys of unmarked species.
- Published in:
- Scientific Reports, 2023, v. 13, n. 1, p. 1, doi. 10.1038/s41598-023-43184-w
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- Publication type:
- Article
Epidemic Waves in a Stochastic SIRVI Epidemic Model Incorporating the Ornstein–Uhlenbeck Process.
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- Mathematics (2227-7390), 2023, v. 11, n. 18, p. 3876, doi. 10.3390/math11183876
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- Publication type:
- Article
A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2023, v. 26, n. 6/7, p. 1, doi. 10.1142/S021902492350022X
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- Publication type:
- Article
Optimal pairs trading of mean-reverting processes over multiple assets.
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- Numerical Algebra, Control & Optimization, 2023, v. 13, n. 3/4, p. 1, doi. 10.3934/naco.2022014
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- Publication type:
- Article
Ornstein–Uhlenbeck Process on Three-Dimensional Comb under Stochastic Resetting.
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- Mathematics (2227-7390), 2023, v. 11, n. 16, p. 3576, doi. 10.3390/math11163576
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- Publication type:
- Article
APPROXIMATE PRICING OF DERIVATIVES UNDER FRACTIONAL STOCHASTIC VOLATILITY MODEL.
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- ANZIAM Journal, 2023, v. 65, n. 3, p. 229, doi. 10.1017/S1446181123000202
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- Article
Non‐maturing deposits modelling in a Ornstein‐Uhlenbeck framework.
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- Applied Stochastic Models in Business & Industry, 2023, v. 39, n. 4, p. 536, doi. 10.1002/asmb.2766
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- Publication type:
- Article
Comment on 'When low-order expansions fail and all higher-order contributions matter-basic example of the mean squared displacement for Brownian motion'.
- Published in:
- European Physical Journal E -- Soft Matter, 2023, v. 46, n. 7, p. 1, doi. 10.1140/epje/s10189-023-00317-3
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- Publication type:
- Article
Valuing Forestry Agronomic Potential under Seasonal Mean-Reverting Prices.
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- Forests (19994907), 2023, v. 14, n. 7, p. 1317, doi. 10.3390/f14071317
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- Publication type:
- Article
Varentropy of doubly truncated random variable.
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- Probability in the Engineering & Informational Sciences, 2023, v. 37, n. 3, p. 852, doi. 10.1017/S0269964822000225
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- Publication type:
- Article
A Cautionary Note on "A Cautionary Note on the Use of Ornstein Uhlenbeck Models in Macroevolutionary Studies".
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- Systematic Biology, 2023, v. 72, n. 4, p. 955, doi. 10.1093/sysbio/syad012
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- Publication type:
- Article
Parameter Estimation for Ornstein-Uhlenbeck Process Driven by Sub-fractional Brownian Processes.
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- IAENG International Journal of Applied Mathematics, 2023, v. 53, n. 2, p. 540
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- Publication type:
- Article
Kolmogorov bounds in the CLT of the LSE for Gaussian Ornstein Uhlenbeck processes.
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- Stochastics & Dynamics, 2023, v. 23, n. 4, p. 1, doi. 10.1142/S0219493723500296
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- Publication type:
- Article
Explicit representation of characteristic function of tempered α‐stable Ornstein–Uhlenbeck process.
- Published in:
- Mathematical Methods in the Applied Sciences, 2023, v. 46, n. 7, p. 8324, doi. 10.1002/mma.7813
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- Publication type:
- Article