Brownian motion with driftfallbackfallback spreadlibor adjustment spreadOISoccupation timepercentileRFRrisk-free ratesFinancial derivatives linked to the median, the 50%‐th percentile of an occupation measure of a stochastic process, have not been extensively studied in realistic models of financial ...
In fact, even the simplest case of Brownian motion up to the exit time of a planar disc was open. For this particular case we answer this question using a suitable hyperbolic projection of the expected signature. The projection satisfies a threeヾimensional system of linear PDEs, which (...
Expected Net Present Value (ENPV)期望净现值法 3)expected present value期望折现值 1.By approaching Brownian motion with compound Poisson model,the integro-differential equations are derived for V(x;b) which is theexpected present valueof all dividends before ruin.考虑带扩散扰动的复合泊松模型上的按...
In this paper, we consider the classical risk model that is perturbed by a Brownian motion process. We show that when claim sizes have a phase-type distribution, the probability of ruin, the Laplace transform of the time of ruin, the expected value of the time of ruin, the discounted mome...
Y≔GeometricBrownianMotion100.0,0.07,0.2,t Y≔_X3 (11) > Σ≔1|0.5,0.5|1 Σ≔10.50.51 (12) > Z≔ItoProcessX,Y,Σ Z≔_X4 (13) > DriftZt 0.05_X4t10.07_X4t2 ...
1) expected present value 期望折现值 1. By approaching Brownian motion with compound Poisson model,the integro-differential equations are derived for V(x;b) which is theexpected present valueof all dividends before ruin. 考虑带扩散扰动的复合泊松模型上的按比例分红策略,运用复合泊松过程逼近布朗运动,...
V Gorini,A Kossakowski,ECG Sudarshan - 《Journal of Mathematical Physics》 被引量: 1853发表: 1976年 Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion We study the possibility to control the moments of Wiener integrals of fractional Brownian motion with ...
abecomes intuitively appealing. The first term shows that with increasing investments in past periods (−Idt), the remaining costs to[translate] aBrownian motion,dz . With each period, the expected total cost to completion therefore changes because of unpredictable events.[translate]...
The first assumes that the cost of capital evolves in terms of a state variable characterised by an Uhlenbeck and Ornstein ("On the Theory of the Brownian Motion." Physical Review 36(5): 823–841) process. The second and third interpretations of the Feynman–Kac functional are based on the...
The coefficients can be consideredas $n$ consecutive observations of a Brownian motion. We study the asymptoticbehaviour of the expected number of local maxima of $Q_n(x)$ below level$u=O(n^k)$, for some $k>0$.关键词: random algebraic polynomial number of real zeros local maxima ...