Zobrazeno 1 - 10
of 3 337
pro vyhledávání: '"Brownian model"'
Publikováno v:
In Journal of Computational and Applied Mathematics 15 December 2022 416
Aiming for more realistic optimal dividend policies, we consider a stochastic control problem with linearly bounded control rates using a performance function given by the expected present value of dividend payments made up to ruin. In a Brownian mod
Externí odkaz:
http://arxiv.org/abs/2007.06330
Publikováno v:
Risks 2019, 7(3), 83
We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two-dimensional correlated Brownian motion with drift. We study the ruin function $P(u)$ for the component-wise ruin (that is both business lines
Externí odkaz:
http://arxiv.org/abs/1906.09347
Autor:
Catacuzzeno, Luigi, Franciolini, Fabio
The physical mechanism underlying the voltage-dependent gating of K channels is usually addressed theoretically using molecular dynamics simulations.However, besides being computationally very expensive, this approach is presently unable to fully pre
Externí odkaz:
http://arxiv.org/abs/1809.05464
Autor:
Catacuzzeno, Luigi 1, ∗, Franciolini, Fabio 1
Publikováno v:
In Biophysical Journal 19 November 2019 117(10):2005-2019
Akademický článek
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Publikováno v:
In Physica A: Statistical Mechanics and its Applications 1 December 2016 463:330-344
Publikováno v:
Modern Stochastics: Theory and Applications 2015, Vol. 2, No. 1, 29-49
We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian--fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter $H$ of the fractional part satisfies $H\in(3
Externí odkaz:
http://arxiv.org/abs/1411.4499
Publikováno v:
In Physica A: Statistical Mechanics and its Applications 2010 389(3):445-451
Publikováno v:
Journal of Crystal Growth, Volume 380, 1 October 2013, Pages 247-255
In this work a phenomenological stochastic differential equation is proposed to model the time evolution of the radius of a pre-critical molecular cluster during nucleation (the classical order parameter). Such a stochastic differential equation cons
Externí odkaz:
http://arxiv.org/abs/1209.2648