Zobrazeno 1 - 10
of 67
pro vyhledávání: '"Petroni, Nicola Cufaro"'
Autor:
Petroni, Nicola Cufaro
The dynamics of a simple pencil with a tip laid on a rough table and set free to fall under the action of gravity is scrutinized as a pedagogic case study. The full inquiry is anticipated by a review of three other simplified movements foreshadowing
Externí odkaz:
http://arxiv.org/abs/2101.05632
Constructing \Levy-driven Ornstein-Uhlenbeck processes is a task closely related to the notion of self-decomposability. In particular, their transition laws are linked to the properties of what will be hereafter called the \emph{a-reminder} of their
Externí odkaz:
http://arxiv.org/abs/2011.09147
In the present paper we provide the closed form of the path-like solutions for the logistic and $\theta$-logistic stochastic differential equations, along with the exact expressions of both their probability density functions and their moments. We si
Externí odkaz:
http://arxiv.org/abs/2004.10478
Publikováno v:
Journal of Statistical Computation and Simulation, 2020
We investigate the distributional properties of two generalized Ornstein-Uhlenbeck (OU) processes whose stationary distributions are the gamma law and the bilateral gamma law, respectively. The said distributions turn out to be related to the self-de
Externí odkaz:
http://arxiv.org/abs/2003.08810
In this report we summarize a few methods for solving the stochastic differential equations (SDE) and the corresponding Fokker-Planck equations describing the Gompertz and logistic random dynamics. It is shown that the solutions of the Gompertz SDE a
Externí odkaz:
http://arxiv.org/abs/2002.06409
Autor:
Petroni, Nicola Cufaro
We outline some simple prescriptions to define a distribution on the set $\mathbb{Q}_0$ of all the rational numbers in $[0,1]$, and we then explore both a few properties of these distributions, and the possibility of making these rational numbers asy
Externí odkaz:
http://arxiv.org/abs/1908.06944
Publikováno v:
Applied Mathematical Finance, 2021
Most energy and commodity markets exhibit mean-reversion and occasional distinctive price spikes, which results in demand for derivative products which protect the holder against high prices. To this end, in this paper we present exact and fast metho
Externí odkaz:
http://arxiv.org/abs/1908.03137
Autor:
Petroni, Nicola Cufaro
We review the well known Bertrand paradoxes, and we first maintain that they do not point to any probabilistic inconsistency, but rather to the risks incurred with a careless use of the locution "at random". We claim then that these paradoxes spring
Externí odkaz:
http://arxiv.org/abs/1810.07805
Based on the concept of self-decomposable random variables we discuss the application of a model for a pair of dependent Poisson processes to energy facilities. Due to the resulting structure of the jump events we can see the self-decomposability as
Externí odkaz:
http://arxiv.org/abs/1509.01144
We analyze a method to produce pairs of non independent Poisson processes $M(t),N(t)$ from positively correlated, self-decomposable, exponential renewals. In particular the present paper provides the family of copulas pairing the renewals, along with
Externí odkaz:
http://arxiv.org/abs/1509.00629