Ornstein–Uhlenbeck process - PDFSEARCH.IO - Document Search Engine

Ornstein–Uhlenbeck process
Results: 36

#	Item
11	doi:[removed]rsif[removed] Add to Reading List Source URL: wrap.warwick.ac.uk Language: English - Date: 2012-05-29 04:10:08 Epidemiology Epidemic model Public health Population model Markov chain Economic model Differential equation Ornstein–Uhlenbeck process Statistics Statistical models Stochastic processes
12	Valuing a gas-fired power plant: A comparison of ordinary linear models, regime-switching approaches, and models with stochastic volatility Add to Reading List Source URL: eetd.lbl.gov Language: English - Date: 2014-12-11 20:16:49 Stochastic volatility Ornstein–Uhlenbeck process Geometric Brownian motion Volatility Brownian motion Stochastic differential equation Time series Autoregressive conditional heteroskedasticity Statistics Stochastic processes Mathematical finance
13	Microsoft PowerPoint - multiresolution Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2011-06-22 11:15:29 Stochastic differential equation CIR process Stochastic calculus Differential equation Continuous-time stochastic process Euler–Maruyama method Statistics Stochastic processes Ornstein–Uhlenbeck process
14	Mean-reverting market model: Novikov condition, speculative opportunities, and non-arbitrage ∗ Nikolai Dokuchaev Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2007-03-21 16:16:52 Stochastic differential equations Mathematical finance Normal distribution Wiener process Ornstein–Uhlenbeck process Risk-neutral measure Martingale Itō diffusion Heat equation Statistics Stochastic processes Martingale theory
15	UPPSALA DISSERTATIONS IN MATHEMATICS 86 Gaussian Bridges - Modeling and Inference Maik Görgens Add to Reading List Source URL: uu.diva-portal.org Language: English - Date: 2014-10-13 02:09:07 Brownian bridge Brownian motion Wiener process Normal distribution Karhunen–Loève theorem Ornstein–Uhlenbeck process Gaussian random field Central limit theorem Random walk Statistics Stochastic processes Gaussian process
16	OPTIMAL CHANGES OF GAUSSIAN MEASURES, WITH AN APPLICATIONS TO RESIMULATION Henry Schellhorn Abstract. We derive optimality conditions and calculate approximate solutions to the problem of determining the optimal speed of Add to Reading List Source URL: sites.cgu.edu Language: English - Date: 2014-01-28 14:45:18 Mathematical finance Probability theory Stochastic differential equations Martingale theory Gaussian measure Risk-neutral measure Ornstein–Uhlenbeck process Radon–Nikodym theorem Forward measure Statistics Mathematical analysis Stochastic processes
17	An Analytical Characterization for an Optimal Change of Gaussian Measures Henry Schellhorn Abstract. We consider two Gaussian measures. In the "initial" measure the state variable is Gaussian, with zero drift, and time-v Add to Reading List Source URL: sites.cgu.edu Language: English - Date: 2014-01-28 14:43:18 Stochastic differential equations Probability theory Ornstein–Uhlenbeck process Gaussian measure Optimal control Normal distribution Itō diffusion Statistics Mathematical analysis Stochastic processes
18	ESGtoolkit, tools for Economic Scenarios Generation Thierry Moudiki 13th June[removed]Contents Add to Reading List Source URL: cran.r-project.org Language: English - Date: 2014-07-02 09:44:02 Geometric Brownian motion Black–Scholes Stochastic volatility Ornstein–Uhlenbeck process Copula Volatility Brownian motion Wiener process Risk-neutral measure Statistics Stochastic processes Mathematical finance
19	PDF Document Add to Reading List Source URL: www.wiley-vch.de Language: English - Date: 2009-07-16 21:04:11 Statistical mechanics Stochastic differential equations Fokker–Planck equation Ornstein–Uhlenbeck process Langevin equation Brownian motion Wiener process Diffusion process Diffusion equation Statistics Stochastic processes Equations
20	Fast strong approximation Monte-Carlo schemes for stochastic volatility models Christian Kahl∗ First version: This version: Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2006-07-24 11:58:41 Financial economics Mathematical sciences Options Stochastic differential equations Differential equations Ornstein–Uhlenbeck process Stochastic volatility Volatility Euler–Maruyama method Statistics Mathematical finance Stochastic processes