Zobrazeno 1 - 10
of 61
pro vyhledávání: '"Nikita Ratanov"'
Autor:
Nikita Ratanov, Mikhail Turov
Publikováno v:
Mathematics, Vol 11, Iss 4, p 934 (2023)
The article consists of an introduction into the theory of passage times associated with telegraph processes. Local time for the telegraph process is defined and analysed. We provide some limited results for telegraphic local times.
Externí odkaz:
https://doaj.org/article/20853c72042d4fa8841e079fb042227f
Autor:
Nikita Ratanov
Publikováno v:
Computation, Vol 10, Iss 9, p 163 (2022)
The article continues the study of the market model based on jump-telegraph processes. It is assumed that the price of a risky asset follows the stochastic exponential of a piecewise linear process, equipped with jumps that occur at the moments of a
Externí odkaz:
https://doaj.org/article/3c01fe082dc74a509b9ce11348ce2d74
Autor:
Nikita Ratanov
Publikováno v:
Mathematical Biosciences and Engineering, Vol 16, Iss 5, Pp 3411-3434 (2019)
We develop a stochastic neural model based on point excitatory inputs. The nerve cell depolarisation is determined by a two-state point process corresponding the two states of the cell. The model presumes state-dependent excitatory stimuli amplitudes
Externí odkaz:
https://doaj.org/article/bb06f25649f8452d80bf8070100c952c
Autor:
Nikita Ratanov
Publikováno v:
Revista de Economía del Rosario, Vol 8, Iss 2 (2010)
En este artículo introducimos un nuevo modelo del mercado financiero basado en movimientos aleatorios en tiempo continuo con alternación de velocidades constantes y saltos, que ocurren con cambios de velocidad. Este modelo está libre de arbitraje,
Externí odkaz:
https://doaj.org/article/859fb4fedded4ed0956644b6bf7d5e66
Autor:
Nikita Ratanov
Publikováno v:
Methodology and Computing in Applied Probability. 24:2703-2721
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2e1c199241809b840d141741d4b67ffa
https://doi.org/10.1007/s11009-022-09956-z
https://doi.org/10.1007/s11009-022-09956-z
Autor:
NIKITA RATANOV
In this note, we present some observations related to piecewisedeterministic Markov processes. We also give some explicit representationsfor invariant and first-crossing time distributions.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::274519020cd3e291670806dbba1fd5ba
Autor:
Nikita Ratanov
Publikováno v:
Methodology and Computing in Applied Probability. 23:925-946
Ornstein-Uhlenbeck process of bounded variation is introduced as a solution of an analogue of the Langevin equation with an integrated telegraph process replacing a Brownian motion. There is an interval $I$ such that the process starting from the int
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::403f3c69cc2f35261f7ab73b0e3fbb81
https://doi.org/10.1007/s11009-020-09794-x
https://doi.org/10.1007/s11009-020-09794-x
Autor:
Nikita Ratanov, Alexander D. Kolesnik
Publikováno v:
Telegraph Processes and Option Pricing ISBN: 9783662658260
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::be33bffee6a166405628a6e556b52081
https://doi.org/10.1007/978-3-662-65827-7_4
https://doi.org/10.1007/978-3-662-65827-7_4
Autor:
Alexander D. Kolesnik, Nikita Ratanov
Publikováno v:
Telegraph Processes and Option Pricing ISBN: 9783662658260
Telegraph Processes and Option Pricing ISBN: 9783642405259
Telegraph Processes and Option Pricing ISBN: 9783642405259
In this chapter we study some important functionals of the telegraph processes. We derive the explicit formulae for the densities of the telegraph processes with reflecting and absorbing barriers, as well as first passage times and occupation time di
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::548459f4ddc02bd68b7689d00391a055
https://doi.org/10.1007/978-3-662-65827-7_5
https://doi.org/10.1007/978-3-662-65827-7_5
Autor:
Nikita Ratanov, Alexander D. Kolesnik
Publikováno v:
Telegraph Processes and Option Pricing ISBN: 9783662658260
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fffb8e50c1e3607067acee732a038b70
https://doi.org/10.1007/978-3-662-65827-7_6
https://doi.org/10.1007/978-3-662-65827-7_6