Zobrazeno 1 - 10
of 426
pro vyhledávání: '"MISHURA, YULIYA"'
The paper extends the analysis of the entropies of the Poisson distribution with parameter $\lambda$. It demonstrates that the Tsallis and Sharma-Mittal entropies exhibit monotonic behavior with respect to $\lambda$, whereas two generalized forms of
Externí odkaz:
http://arxiv.org/abs/2411.16913
We calculate and analyze various entropy measures and their properties for selected probability distributions. The entropies considered include Shannon, R\'enyi, generalized R\'enyi, Tsallis, Sharma-Mittal, and modified Shannon entropy, along with th
Externí odkaz:
http://arxiv.org/abs/2411.15817
This paper studies two related stochastic processes driven by Brownian motion: the Cox-Ingersoll-Ross (CIR) process and the Bessel process. We investigate their shared and distinct properties, focusing on time-asymptotic growth rates, distance betwee
Externí odkaz:
http://arxiv.org/abs/2410.13231
We examine the one-sided and two-sided (bilateral) projections of an element of fractional Gaussian noise onto its neighboring elements. We establish several analytical results and conduct a numerical study to analyze the behavior of the coefficients
Externí odkaz:
http://arxiv.org/abs/2408.09188
In this short note, we introduce probabilistic Cauchy functional equations, specifically, functional equations of the following form: $$ f(X_1 + X_2) \stackrel{d}{=} f(X_1) + f(X_2), $$ where $X_1$ and $X_2$ represent two independent identically dist
Externí odkaz:
http://arxiv.org/abs/2406.02248
The paper focuses on the Vasicek model driven by a tempered fractional Brownian motion. We derive the asymptotic distributions of the least-squares estimators (based on continuous-time observations) for the unknown drift parameters. This work continu
Externí odkaz:
http://arxiv.org/abs/2406.02800
Entropic Value-at-Risk (EVaR) measure is a convenient coherent risk measure. Due to certain difficulties in finding its analytical representation, it was previously calculated explicitly only for the normal distribution. We succeeded to overcome thes
Externí odkaz:
http://arxiv.org/abs/2403.01468
We consider two types of entropy, namely, Shannon and R\'{e}nyi entropies of the Poisson distribution, and establish their properties as the functions of intensity parameter. More precisely, we prove that both entropies increase with intensity. While
Externí odkaz:
http://arxiv.org/abs/2403.08805
Publikováno v:
SIAM Journal of Financial Mathematics, Vol. 15, No. 4, pp. 989--1019, 2024
We introduce a non-Markovian model for electricity markets where the spot price of electricity is driven by several Gaussian Volterra processes, which can be e.g., fractional Brownian motions (fBms), Riemann-Liouville processes or Gaussian-Volterra d
Externí odkaz:
http://arxiv.org/abs/2311.09384