Stochastic Process Notes
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Part of the book series: Lecture Notes in Mathematics (LNM, volume 1203) 10k Accesses This is a preview of subscription content, log in via an institution to check access. Keywords diffusion process stochastic calculus stochastic process stochastic processes Search...
Notes 1. In terms of concepts to be developed later, Fig. 2.2a represents the simulation of a binomial process, whilst Fig. 2.2b is the simulation of a geometric Brownian motion process starting at x o = 1. 2. We recall the product notation Π i = 1 n X i =...
Notes Actually, a maximal subspace of Orlicz classes which includes \(L^p\) spaces for \(p \in [1, \infty ).\) For \(p=\infty \) and \(q=1\) one has \(\Vert X\Vert _{\mathscr {R}^{\infty }}:=\Vert X^{*}\Vert _{\infty }\) and \(\Vert a\Vert _{\mathscr {A...
students, and even researchers, might benefit from these notes. The reader is introduced in the following topics: Markov processes, Brownian motion and other Gaussian processes, martingale techniques, stochastic differ- ential equations, Markov chains and renewal theory, ergodic theory and limit ...
Versions Notes Abstract Cost–volume–profit (CVP) analysis is a widely used decision tool across many business disciplines. The current literature on stochastic applications of the CVP model is limited in that the model is studied under the restrictive forms of the Gaussian and Lognormal distributio...
Versions Notes Abstract Throughout the history of modern finance, very few financial instruments have been as strikingly volatile as cryptocurrencies. The long-term prospects of cryptocurrencies remain uncertain; however, taking advantage of recent advances in neural networks and volatility, we show that...
[Notes]Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems-Part1-Introduc... https://arxiv.org/pdf/1204.5721.pdf Introduction Application: ad placement, website optimization, and packeting route. Goal: maximize the total payoff obtained in a sequence of allocations....
In the present notes, we limit ourselves to a particular restricted family of questions: how to evaluate — and possibly control — the impact of certain model uncertainties on profit and losses (P&Ls) of hedging portfolios or on portfolio management strategies? We do not examine axiomatic ...