Academic literature on the topic 'Volterra type process'

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Journal articles on the topic "Volterra type process"

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WANG, ZHIDONG, and XICHENG ZHANG. "NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS." Stochastics and Dynamics 07, no. 04 (2007): 479–96. http://dx.doi.org/10.1142/s0219493707002128.

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In this paper, we prove the existence and uniqueness of solution for the backward stochastic Volterra integral equation with non-Lipschitz coefficients and driven by Brownian motion and jump process. Moreover, when the equation is driven only by Brownian motion, we also study the continuity of the solution with respect to the time.
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Boufoussi, Brahim, Marco Dozzi, and Renaud Marty. "Local time and Tanaka formula for a Volterra-type multifractional Gaussian process." Bernoulli 16, no. 4 (2010): 1294–311. http://dx.doi.org/10.3150/10-bej261.

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Zhu, Xiao Ran, You Yun Zhang, Gao Liang Zhang, and Zhi Zhou. "Fault Diagnosis for Speed-Up and Speed-Down Process of Rotor-Bearing System Based on Volterra Series Model and Neighborhood Rough Sets." Advanced Materials Research 411 (November 2011): 567–71. http://dx.doi.org/10.4028/www.scientific.net/amr.411.567.

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For the purpose of addressing non-stationary, poor repeatability, abundant information in the speed-up and speed-down process of a rotor-bearing system, combining with volterra series (VS) and neighborhood rough sets (NRS), a new hybrid intelligent diagnosis method is proposed. The VS is a type of nonparametric model of a nonlinear system, it can model a wide range of nonlinear systems, and can get the volterra kernel that includes the related characteristics of the system through identification. The NRS extracts useful information based only on the data itself, and is used for redundant attri
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SOTTINEN, TOMMI, and LAURI VIITASAARI. "CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS." International Journal of Theoretical and Applied Finance 21, no. 02 (2018): 1850015. http://dx.doi.org/10.1142/s0219024918500152.

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We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian motions. As an application, we consider conditional-mean hedging under transaction costs in Black–Scholes type pricing models where the Brownian motion is replaced with a more general regular invertible Gaussian Volterra process.
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An, Qiguang, Guoqing Zhao, and Gaofeng Zong. "Malliavin method for optimal investment in financial markets with memory." Open Mathematics 14, no. 1 (2016): 286–99. http://dx.doi.org/10.1515/math-2016-0027.

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AbstractWe consider a financial market with memory effects in which wealth processes are driven by mean-field stochastic Volterra equations. In this financial market, the classical dynamic programming method can not be used to study the optimal investment problem, because the solution of mean-field stochastic Volterra equation is not a Markov process. In this paper, a new method through Malliavin calculus introduced in [1], can be used to obtain the optimal investment in a Volterra type financial market. We show a sufficient and necessary condition for the optimal investment in this financial
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Neuts, Marcel F. "Generalizations of the Pollaczek-Khinchin integral equation in the theory of queues." Advances in Applied Probability 18, no. 4 (1986): 952–90. http://dx.doi.org/10.2307/1427258.

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A classical result in queueing theory states that in the stable M/G/1 queue, the stationary distribution W(x) of the waiting time of an arriving customer or of the virtual waiting time satisfies a linear Volterra integral equation of the second kind, of convolution type. For many variants of the M/G/1 queue, there are corresponding integral equations, which in most cases differ from the Pollaczek–Khinchin equation only in the form of the inhomogeneous term. This leads to interesting factorizations of the waiting-time distribution and to substantial algorithmic simplifications. In a number of p
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Morkun, Natalia, Iryna Zavsiehdashnia, Oleksandra Serdiuk, and Iryna Kasatkina. "Identification of models of nonlinear dynamic processes in mining on the basis of Volterra nuclei." E3S Web of Conferences 201 (2020): 01028. http://dx.doi.org/10.1051/e3sconf/202020101028.

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Solving the problem of improving efficiency of technological processes of mineral concentration is one of the essential for providing sustainability of mining enterprises. Currently, special attention is paid to optimization of technological processes in concentration of useful minerals. This approach calls for availability of high-quality data on the process, formation of corresponding databases and their subsequent processing to build adequate and efficient mathematical models of processes and systems. In order to improve quality of mathematical description of forming fractional characterist
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Neuts, Marcel F. "Generalizations of the Pollaczek-Khinchin integral equation in the theory of queues." Advances in Applied Probability 18, no. 04 (1986): 952–90. http://dx.doi.org/10.1017/s0001867800016232.

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A classical result in queueing theory states that in the stable M/G/1 queue, the stationary distribution W(x) of the waiting time of an arriving customer or of the virtual waiting time satisfies a linear Volterra integral equation of the second kind, of convolution type. For many variants of the M/G/1 queue, there are corresponding integral equations, which in most cases differ from the Pollaczek–Khinchin equation only in the form of the inhomogeneous term. This leads to interesting factorizations of the waiting-time distribution and to substantial algorithmic simplifications. In a number of p
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Wang, Tianxiao. "Necessary conditions of Pontraygin’s type for general controlled stochastic Volterra integral equations." ESAIM: Control, Optimisation and Calculus of Variations 26 (2020): 16. http://dx.doi.org/10.1051/cocv/2020001.

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This article is addressed to giving a solution to a unsolved problem, i.e., to establish the necessary optimality conditions of Pontraygin’s type for controlled stochastic Volterra integral equations (SVIEs) when the control region is non-convex and the control variable enters into the diffusion. This problem has been open since [J. Yong, Stochastic Process Appl. 116 (2006) 779–795] obtained the analogue result for the case of convex control region. The key is to introduce a pair of suitable second-order adjoint processes (SOAPs). It is found that the usual way of using only one SOAP in the ma
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HIBINO, YUJI, and MASUYUKI HITSUDA. "CANONICAL PROPERTY OF REPRESENTATIONS OF GAUSSIAN PROCESSES WITH SINGULAR VOLTERRA KERNELS." Infinite Dimensional Analysis, Quantum Probability and Related Topics 05, no. 02 (2002): 293–96. http://dx.doi.org/10.1142/s0219025702000821.

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We consider the Gaussian process Xλ defined by parameterizing a singular kernel of Volterra-type introduced in Ref. 1. The kernel has a close connection with the noncanonical representation. The result is that the representation is canonical (resp. noncanonical) if λ < 1/2 (resp. λ > 1/2), being independent of the choice of g of a class of functions (Theorem 3).
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Dissertations / Theses on the topic "Volterra type process"

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SILVA, Moisés Tavares da. "Identificação de sistemas usando modelos Hammerstein e Wiener utilizando método do Relé." Universidade Federal de Campina Grande, 2014. http://dspace.sti.ufcg.edu.br:8080/jspui/handle/riufcg/449.

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Submitted by Johnny Rodrigues (johnnyrodrigues@ufcg.edu.br) on 2018-04-21T15:01:16Z No. of bitstreams: 1 MOISÉS TAVARES DA SILVA - DISSERTAÇÃO PPGEE 2014..pdf: 2264297 bytes, checksum: 0373ed53c40783016694166232616bf6 (MD5)<br>Made available in DSpace on 2018-04-21T15:01:16Z (GMT). No. of bitstreams: 1 MOISÉS TAVARES DA SILVA - DISSERTAÇÃO PPGEE 2014..pdf: 2264297 bytes, checksum: 0373ed53c40783016694166232616bf6 (MD5) Previous issue date: 2014-09<br>Neste trabalho utiliza-se um método do Relé sob condições de não-linearidade e perturbação estática para identificação de modelos não-lineares
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Pacák, Daniel. "Odhad parametru ve stochastických diferenciálních rovnicích." Master's thesis, 2020. http://www.nusl.cz/ntk/nusl-434533.

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In the Thesis the problem of estimating an unknown parameter in a stochastic dif- ferential equation is studied. Linear equations with Volterra process as the source of noise are considered. Firstly, the properties of Volterra processes and the properties of stochastic integral with respect to a Volterra process are presented. Secondly, the prop- erties of the solution to the equation under consideration are discussed. This includes the existence of the strictly stationary solution, the properties of such solution and ergodic results. These results are then generalized to equations with a mixe
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Book chapters on the topic "Volterra type process"

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Gravel, Dominique, and François Massol. "Toward a general theory of metacommunity ecology." In Theoretical Ecology. Oxford University Press, 2020. http://dx.doi.org/10.1093/oso/9780198824282.003.0012.

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Investigation of how spatial processes affect the maintenance of biodiversity and its geographic distribution has led to landmark contributions in community ecology. Theory has followed a logical complexification of the objects of study, with specific models at each step, from populations connected by dispersal to ecosystems connected by flows of energy and material. This large body of theory is not only diverse in the questions it addresses, and the scales and organization levels it encompasses, but also in the types of models used to represent spatial dynamics. Unfortunately, this makes it hard to establish clear, standard, quantitative predictions stemming from a coherent mathematical formalism. Here our objectives are : i) to propose a general metacommunity model that allows the investigation of spatial ecology from populations to entire food webs ; ii) use the model to review a set of principles driving coexistence in all types of metacommunities; iii) reveal how these principles constrain the spatial distribution of diversity, with a particular emphasis on species co-distribution. The model is based on the well-established representation of spatial dynamics through colonization and extinction processes. We generalize Levins’ metapopulation model to all types of ecological interactions, using a formalism akin to Lotka–Volterra equations for local community dynamics. Doing so, we revisit coexistence mechanisms proposed for competitive metacommunities, along with the assembly dynamics for spatial food webs and mutualistic interactions.
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Conference papers on the topic "Volterra type process"

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Somayajula, Abhilash S., and Jeffrey M. Falzarano. "Validation of Volterra Series Approach for Modelling Parametric Rolling of Ships." In ASME 2015 34th International Conference on Ocean, Offshore and Arctic Engineering. American Society of Mechanical Engineers, 2015. http://dx.doi.org/10.1115/omae2015-41467.

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Parametric motion is the phenomenon where a structure is excited into large amplitude motion even when there is no direct excitation. A well-known example of this type of motion is the parametric roll of ships in head or following seas. Parametric roll of container ships in head seas is relatively a new problem which has gained much importance after the catastrophic incidence of APL China in 1998. Although a lot of analytical techniques are available on the assessment of parametric roll in regular excitation, not many investigations have explored its occurrence in irregular seas. A consensus o
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Xiros, Nikolaos I. "Nonlinear Control Modeling for Arrays of Coupled Mechatronic Transducers." In ASME 2012 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/imece2012-89424.

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A typical mechatronic oscillator involving a tuned resistor-inductor-capacitor circuit driven by a voltage source and coupled to a mass-spring-damper mechanical subsystem is analyzed in order to develop a nonlinear control model. The analysis is approached using the Volterrra/Wiener framework of nonlinear systems combined with the Hilbert Transform. The former is needed since the coupling between the electrical and mechanical parts is lost, should standard linearization is adopted. The latter is needed since a very important characteristic of the system, due to the presence of the capacitance,
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