random的几率是相同的，比如说扔骰子，怎么扔都是6分之1；然而 stochastic的每次几率是可以不同的，比如...
A stochastic process X(t) is a geometric Brownian motion if dX=μX+σXdW μ(t,x)=μx and σ2(t,x)=σ2x Example 2. a stochastic process that is mean reverting (Ornstein-Uhlenbeck process) has infinitesimal parameters μ(x)=−αx , with α>0 In contrast to a Brownian ...
For example, the fifth row shows that if we would like to be spot-on correct in predicting the final state of a stochastic process with 30 states and 900 transitions, our success rate can be improved by ~5% by modifying only 8 out of 900 transition rates by more than 0.1, with none ...
This example obtains the partial differential equation that describes the expected final price of an asset whose price is a stochastic process given by a stochastic differential equation. The steps involved are: Define Parameters of the Model Using Stochastic Differential Equations Apply Ito's Rule ...
It is often helpful in working with stochastic processes to replace them with discrete processes involving infinitesimals. For example, the Poisson process ... PA Loeb - 《Probabilistic Analysis & Related Topics》 被引量: 50发表: 1979年 Stochastic processes in demography and applications. This ...
The authors are fully aware that such a selective process is not perfecL Even a number of topics that are, in the authors' opinion, of great importance could not be incJuded, for example, limit theorems for particular cJasses of random processes, the theory of random fields, conditional ...
Stochastic Petri Net model of distributed process system with repair and its behavior analysis Stochastic Petri Net is applied to model a shift processing system with repair and of distributed processing configuration, in which the states of the mode... Y Sugasawa,M Katsumata,A Harada - 《Computer...
Wear is viewed as a stochastic process in the surface layers of contacting bodies; it comprises the processes of spalling of wear particles and their stoch... AI Dmitriev,VL Popov - 《Journal of Friction & Wear》 被引量: 8发表: 2009年 Statistical models for expert judgement and wear predict...
We consider a collective insurance risk model with a compound Cox claim process, in which the evolution of a claim intensity is described by a stochastic d... ukasz Delong,R Gerrard - 《Mathematical Methods of Operations Research》 被引量: 132发表: 2007年 Exotic options under Lévy models: ...
The above performance ratio \(\alpha (X)\) is an AI whose risk measure can be specialized as a convex or a coherent risk measure for processes. For example, choosing the bi-variate process a as we did in Sect. 2.1 one gets $$\begin{aligned} \rho (X)= {\tilde{\rho }} \left(...