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Relevant bibliographies by topics / Time-changed Brownian motions

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Academic literature on the topic 'Time-changed Brownian motions'

Author: Grafiati

Published: 4 June 2021

Last updated: 5 February 2022

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Journal articles on the topic "Time-changed Brownian motions"

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Chen, Zhen-Qing, and Masatoshi Fukushima. "On unique extension of time changed reflecting Brownian motions." Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 45, no. 3 (2009): 864–75. http://dx.doi.org/10.1214/08-aihp301.

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HURD, T. R. "CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION." International Journal of Theoretical and Applied Finance 12, no. 08 (2009): 1213–30. http://dx.doi.org/10.1142/s0219024909005646.

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Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first passage problem for such processes. We are lead to consider modifying the standard first passage problem for stochastic processes to capitalize on this time change structure and find that the distribution functions of such "first passage times of the second kind" are efficiently computable in a wide range of useful examples. Thus this new notion of first passage

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Madan, Dilip, and Marc Yor. "Representing the CGMY and Meixner Lévy processes as time changed Brownian motions." Journal of Computational Finance 12, no. 1 (2008): 27–47. http://dx.doi.org/10.21314/jcf.2008.181.

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LUCIANO, ELISA, and PATRIZIA SEMERARO. "A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE." International Journal of Theoretical and Applied Finance 13, no. 03 (2010): 415–40. http://dx.doi.org/10.1142/s0219024910005838.

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Time-changed Brownian motions are extensively applied as mathematical models for asset returns in Finance. Time change is interpreted as a switch from calendar time to trade-related business time. Time-changed Brownian motions can be generated by infinitely divisible normal mixtures. The standard multivariate mixtures assume a common mixing variable. This corresponds to a multidimensional return process with a unique change of time for all assets under exam. The economic counterpart is uniqueness of trade or business time, which is not in line with empirical evidence. In this paper we propose

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Dingeç, Kemal Dinçer. "Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions." International Journal of Computer Mathematics 96, no. 12 (2019): 2441–60. http://dx.doi.org/10.1080/00207160.2019.1566536.

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Capitanelli, Raffaela, and Mirko D’Ovidio. "Fractional Cauchy problem on random snowflakes." Journal of Evolution Equations 21, no. 2 (2021): 2123–40. http://dx.doi.org/10.1007/s00028-021-00673-7.

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AbstractWe consider time-changed Brownian motions on random Koch (pre-fractal and fractal) domains where the time change is given by the inverse to a subordinator. In particular, we study the fractional Cauchy problem with Robin condition on the pre-fractal boundary obtaining asymptotic results for the corresponding fractional diffusions with Robin, Neumann and Dirichlet boundary conditions on the fractal domain.

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Deng, Chang-Song, and René L. Schilling. "Exact asymptotic formulas for the heat kernels of space and time-fractional equations." Fractional Calculus and Applied Analysis 22, no. 4 (2019): 968–89. http://dx.doi.org/10.1515/fca-2019-0052.

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Abstract This paper aims to study the asymptotic behaviour of the fundamental solutions (heat kernels) of non-local (partial and pseudo differential) equations with fractional operators in time and space. In particular, we obtain exact asymptotic formulas for the heat kernels of time-changed Brownian motions and Cauchy processes. As an application, we obtain exact asymptotic formulas for the fundamental solutions to the n-dimensional fractional heat equations in both time and space $$\begin{array}{} \displaystyle \frac{\partial^\beta}{\partial t^\beta}u(t,x) = -(-\Delta_x)^\gamma u(t,x), \quad

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ALI, ADNAN, and STEFAN GROSSKINSKY. "PATTERN FORMATION THROUGH GENETIC DRIFT AT EXPANDING POPULATION FRONTS." Advances in Complex Systems 13, no. 03 (2010): 349–66. http://dx.doi.org/10.1142/s0219525910002578.

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We investigate the nature of genetic drift acting at the leading edge of range expansions, building on recent results in [Hallatschek et al., Proc. Natl. Acad. Sci., 104(50): 19926–19930 (2007)]. A well-mixed population of two fluorescently labeled microbial species is grown in a circular geometry. As the population expands, a coarsening process driven by genetic drift gives rise to sectoring patterns with fractal boundaries, which show a non-trivial asymptotic distribution. Using simplified lattice-based Monte Carlo simulations as a generic caricature of the above experiment, we present detai

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Abundo, Mario. "An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion." Stochastic Analysis and Applications 37, no. 5 (2019): 708–16. http://dx.doi.org/10.1080/07362994.2019.1608834.

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Abundo, Mario. "The Randomized First-Hitting Problem of Continuously Time-Changed Brownian Motion." Mathematics 6, no. 6 (2018): 91. http://dx.doi.org/10.3390/math6060091.

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Dissertations / Theses on the topic "Time-changed Brownian motions"

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ALMEIDA, GONSALGE SUREKA. "FINANCIAL MODELING WITH LE ́VY PROCESSES AND APPLYING LE ́VYSUBORDINATOR TO CURRENT STOCK DATA." Case Western Reserve University School of Graduate Studies / OhioLINK, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=case1568306440126471.

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Pereira, Gonçalo André Nunes. "Modelling sovereign debt with Lévy Processes." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7611.

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Mestrado em Ciências Actuariais<br>Propomos modelizar o risco de crédito soberano de cinco países da zona Euro (Portugal, Irlanda, Itália, Grécia e Espanha) seguindo uma abordagem estrutural de primeira passagem em que o movimento Browniano geométrico é substituído por um processo de Lévy regido apenas por uma componente de saltos. Deste modo, introduzimos incrementos assimétricos e leptocúrticos e a possibilidade de incumprimento instantâneo, removendo assim algumas das principais limitações do modelo Black-Scholes. Calculamos a probabilidade de sobrevivência como preço de uma opção barreira

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Book chapters on the topic "Time-changed Brownian motions"

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Chen, Zhen-Qing, and Masatoshi Fukushima. "Time Changes of Symmetric Markov Processes." In Symmetric Markov Processes, Time Change, and Boundary Theory (LMS-35). Princeton University Press, 2011. http://dx.doi.org/10.23943/princeton/9780691136059.003.0005.

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This chapter discusses the time change. It first relates the perturbation of the Dirichlet form to a Feynman-Kac transform of X and deals with characterization of the Dirichlet form (Ĕ,̆‎F) of a time-changed process. The chapter next introduces the concept of the energy functional of a general symmetric transient right process, as well Feller measures on F relative to the part process X⁰ of X on the quasi open set E₀ = E∖F. It derives the Beurling-Deny decomposition of the extended Dirichlet space (̆Fₑ,Ĕ) living on F in terms of the due restriction of E to F with additional contributions by Feller measures. Finally, Feller measures are described probabilistically as the joint distributions of starting and end points of the excursions of the process X away from the set F using an associated exit system. Examples related to Brownian motions and reflecting Brownian motions are also provided.

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"Multivariate Time-Changed Brownian Motion." In Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management. WORLD SCIENTIFIC, 2019. http://dx.doi.org/10.1142/9789813276208_0007.

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"Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method." In Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management. WORLD SCIENTIFIC, 2019. http://dx.doi.org/10.1142/9789813276208_0008.

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Conference papers on the topic "Time-changed Brownian motions"

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da Silva, José Luís, and Mohamed Erraoui. "Singularity of generalized grey Brownian motion and time-changed Brownian motion." In APPLICATION OF MATHEMATICS IN TECHNICAL AND NATURAL SCIENCES: 12th International On-line Conference for Promoting the Application of Mathematics in Technical and Natural Sciences - AMiTaNS’20. AIP Publishing, 2020. http://dx.doi.org/10.1063/5.0029913.

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