Zobrazeno 1 - 10
of 306
pro vyhledávání: '"Scalas, Enrico"'
In statistical seismology, the Epidemic Type Aftershocks Sequence (ETAS) model is a branching process used world-wide to forecast earthquake intensity rates and reproduce many statistical features observed in seismicity catalogs. In this paper, we de
Externí odkaz:
http://arxiv.org/abs/2301.02586
We study three non-equivalent queueing models in continuous time that each generalise the classical M/M/1 queue in a different way. Inter-event times in all models are Mittag-Leffler distributed, which is a heavy tail distribution with no moments. Fo
Externí odkaz:
http://arxiv.org/abs/2211.13127
Autor:
Habyarimana, Cassien, Aduda, Jane A., Scalas, Enrico, Chen, Jing, Hawkes, Alan G., Polito, Federico
We characterize a Hawkes point process with kernel proportional to the probability density function of Mittag-Leffler random variables. This kernel decays as a power law with exponent $\beta +1 \in (1,2]$. Several analytical results can be proved, in
Externí odkaz:
http://arxiv.org/abs/2211.02583
Autor:
Georgiou, Nicos, Scalas, Enrico
Consider a Markov chain with finite state space and suppose you wish to change time replacing the integer step index $n$ with a random counting process $N(t)$. What happens to the mixing time of the Markov chain? We present a partial reply in a parti
Externí odkaz:
http://arxiv.org/abs/2111.08672
Autor:
Scalas, Enrico, Toaldo, Bruno
We consider plain vanilla European options written on an underlying asset that follows a continuous time semi-Markov multiplicative process. We derive a formula and a renewal type equation for the martingale option price. In the case in which intertr
Externí odkaz:
http://arxiv.org/abs/2104.04817
Publikováno v:
Fractional Calculus and Applied Analysis, Vol. 24 (1), 112-136, 2021
This paper is devoted to a fractional generalization of the Dirichlet distribution. The form of the multivariate distribution is derived assuming that the $n$ partitions of the interval $[0,W_n]$ are independent and identically distributed random var
Externí odkaz:
http://arxiv.org/abs/2101.04481
We introduce two non-homogeneous processes: a fractional non-homogeneous Poisson process of order $k$ and and a fractional non-homogeneous P\'olya-Aeppli process of order $k$. We characterize these processes by deriving their non-local governing equa
Externí odkaz:
http://arxiv.org/abs/2008.09421
Publikováno v:
Stochastic Process. Appl. 149 (2022), 248-277
We discuss various limits of a simple random exchange model that can be used for the distribution of wealth. We start from a discrete state space - discrete time version of this model and, under suitable scaling, we show its functional convergence to
Externí odkaz:
http://arxiv.org/abs/2003.00930
This study empirically re-examines fat tails in stock return distributions by applying statistical methods to an extensive dataset taken from the Korean stock market. The tails of the return distributions are shown to be much fatter in recent periods
Externí odkaz:
http://arxiv.org/abs/1904.02567
Autor:
Habyarimana, Cassien, Aduda, Jane A., Scalas, Enrico, Chen, Jing, Hawkes, Alan G., Polito, Federico
Publikováno v:
In Physica A: Statistical Mechanics and its Applications 1 April 2023 615
