The present work concerns the finite-time ruin probabilities for several bidimensional risk models with constant interest force and correlated Brownian motions. Under the condition that the two Brownian motions {B1(t),t≥0} and {B2(t),t≥0} are c...
The stochastic correlation for Brownian motions is the integrand in the formula of their quadratic covariation. The estimation of this stochastic process becomes available from the temporally localized correlation of latent price driving Brownian mot...
Viscosity is an important property of liquids. A viscosity change of aqueous substances that deviates from their normal levels usually implies a compromise in quality due to degradation or microorganism proliferation. Monitoring of macro-scale viscos...
In this article, we study the hitting probability of a circumference CR for a correlated Brownian motion B̲(t)=B1(t),B2(t), ρ being the correlation coefficient. The analysis starts by first mapping the circle CR into an ellipse E with semiax...
We analyze the multiscale behaviors of high-frequency intraday prices, with a focus on how asset prices are correlated over different timescales. The multiscale approach proposed in this paper is designed for the analysis of high-frequency intraday p...
In this study, we use the Diffusion Entropy Analysis (DEA) to analyze and detect the scaling properties of time series from both emerging and well established markets as well as volcanic eruptions recorded by a seismic station, both financial and vol...
Brownian motion has been studied since 1827, leading to numerous important advances in many branches of science and to it being studied primarily as a stochastic dynamical system. In this paper, we present a deterministic model for the Brownian motio...
In this paper, we establish a clear distinction between two processes yielding anomalous diffusion and 1 / f noise. The first process is called Stationary Fractional Brownian Motion (SFBM) and is characterized by the use of stationary correla...
The generalized mixed fractional Brownian motion (gmfBm) is a Gaussian process with stationary increments that exhibits long-range dependence controlled by its Hurst indices. It is defined by taking linear combinations of a finite number of independe...
Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions, probability...
Conditional power based on classical Brownian motion (BM) has been widely used in sequential monitoring of clinical trials, including those with the covariate adaptive randomization design (CAR). Due to some uncontrollable factors, the sequential tes...
We analyze the experimental data on the motion of active Brownian micrograins in RF discharge plasmas. In the experiments, two types of microparticles were used: first—plastic grains fully covered with metal, and second—Janus particles with a thin me...
We discuss formal analogies between a nonlinear Schrödinger equation derived by the author from the theory of scale relativity and the equations of Brownian theory. By using the Madelung transformation, the nonlinear Schrödinger equation ta...
As a novel form of visual analysis technique, the Poincaré plot has been used to identify correlation patterns in time series that cannot be detected using traditional analysis methods. In this work, based on the nonextensive of EEG, Poincar&e...
Each charging/discharging cycle leads to a gradual decrease in the battery’s capacity. The degradation of capacity in lithium-ion batteries represents a non-monotonous process with random jumps. Earlier studies claimed that the instantaneous de...
A study for MHD (magnetohydrodynamic) impacts on the rotating flow of Casson nanofluids is considered. The concentration and temperature distributions are related along with the double diffusion Cattaneo–Christov model, thermophoresis, and Brow...
Here, a study for MHD (magnetohydrodynamic) impacts on the rotating flow of Casson Carreau nanofluids is considered. The temperature distribution is associated with thermophoresis, Brownian motion, and heat source. The diffusion of chemically reactiv...
Standard correlation analysis is one of the frequently used methods in financial markets. However, this matrix can give erroneous results in the conditions of chaos, fractional systems, entropy, and complexity for the variables. In this study, we emp...
In this paper, we propose an enhanced model for pricing vulnerable options. Specifically, our model assumes that parameters such as interest rates, jump intensity, and asset value volatility are governed by an observable continuous-time finite-state...
We address the problem of asset pricing in a market where there are no risky assets. Previous work developed a theoretical model for a shadow riskless rate (SRR) for such a market, based on the drift component of the state-price deflator for that ass...
We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two-dimensional correlated Brownian motion with drift. We study the ruin function P ( u ) for the component-wise ruin (that is both busine...
This paper reveals a simple methodology to create local-correlation models suitable for the closed-form pricing of two-asset financial derivatives. The multivariate models are built to ensure two conditions. First, marginals follow desirable processe...
Subdiffusion is commonly observed in liquids with high density or in restricted geometries, as the particles are constantly pushed back by their neighbors. Since this “cage effect” emerges from many-body dynamics involving spatiotemporall...
The article presents a new method for evaluating investment projects in uncertain conditions, assuming that uncertainty may have two origins: aleatory (related to randomness) and epistemic (due to incomplete knowledge). Epistemic uncertainty is rarel...
This article provides exact analytical formulae for various kinds of rainbow step barrier options. These are highly flexible and sophisticated multi-asset barrier options based on the following principle: the option life is divided into several time...
Trajectories of endosomes inside living eukaryotic cells are highly heterogeneous in space and time and diffuse anomalously due to a combination of viscoelasticity, caging, aggregation and active transport. Some of the trajectories display switching...
The Rouse model is the foundational basis of much of modern polymer physics. The period alternative, the Kirkwood–Riseman model, is rarely mentioned in modern monographs. The models are qualitatively different. The models do not agree as to how...
The goal of this paper is to highlight considerations and provide recommendations for analytical issues that arise when applying entropy methods, specifically Sample Entropy (SampEn), to temporally correlated stochastic datasets, which are representa...
Spread options are notoriously difficult to price without the use of Monte Carlo simulation. Some strides have been made in recent years through the application of Fourier transform methods; however, to date, these methods have only been applied to s...
Thermodynamic uncertainty relations (TURs) represent one of the few broad-based and fundamental relations in our toolbox for tackling the thermodynamics of nonequilibrium systems. One form of TUR quantifies the minimal energetic cost of achieving a c...
This study investigates a stochastic production planning problem with regime-switching parameters, inspired by economic cycles impacting production and inventory costs. The model considers types of goods and employs a Markov chain to capture probabil...
Our aim in this paper is to analytically compute the at-the-money second derivative of the Bachelier implied volatility curve as a function of the strike price for correlated stochastic volatility models. We also obtain an expression for the short-te...
Motivated by emerging high-temperature manufacturing processes deploying nano-polymeric coatings, the present study investigates nonlinear thermally radiative Oldroyd-B viscoelastic nanoliquid stagnant-point flow from a heated vertical stretching per...
This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer–Schweizer decomposition for a European c...
Human disturbance has a strong impact on the movement of wild animals. However, it remains unclear how the movement patterns of the Reeves’s Pheasant (Syrmaticus reevesii) respond to human disturbance in human-dominated landscapes. We tracked t...
Many signals appear fractal and have self-similarity over a large range of their power spectral densities. They can be described by so-called Hermite processes, among which the first order one is called fractional Brownian motion (fBm), and has a wid...
The signals in numerous fields usually have scaling behaviors (long-range dependence and self-similarity) which is characterized by the Hurst parameter H. Fractal Brownian motion (FBM) plays an important role in modeling signals with self-similarity...
The solute transport in the fractured rock is dominated by a single fracture. The geometric characteristics of single rough-walled fractures considerably influence their solute transport behavior. According to the self-affinity of the rough fractures...
A perspective is taken on the intangible complexity of economic and social systems by investigating the dynamical processes producing, storing and transmitting information in financial time series. An extensive analysis based on the moving average cl...
Standard DEP theory, based on the Clausius–Mossotti (CM) factor derived from solving the boundary-value problem of macroscopic electrostatics, fails to describe the dielectrophoresis (DEP) data obtained for 22 different globular proteins over t...
Measurements of transmission as well as thermophysical properties have been carried out for different concentrations of SiO2 nanoparticles (0, 1, 2, 5, 10, and 20 wt.%) in pure water (W) and ethylene glycol–water mixture (EG/W) in a weight rati...
In this work, the electrical conductivity of CuO/glycerol nanofluid was measured at a temperature range of 20–60 °C, volume fraction of 0.1–1.5% and nanoparticle size of 20–60 nm. The experimental data were predicted by the perc...
To tailor the properties of nanoparticles and nanocomposites, precise control over particle size is of vital importance. Real-time monitoring of particle size during bottom-up synthesis in liquids would allow a detailed study of particle nucleation a...
In this paper, an artificial neural network is implemented for the sake of predicting the thermal conductivity ratio of TiO2-Al2O3/water nanofluid. TiO2-Al2O3/water in the role of an innovative type of nanofluid was synthesized by the sol–gel m...
Since the early twentieth century, quantum mechanics has sought an interpretation that offers a consistent worldview. In the course of that, many proposals were advanced, but all of them introduce, at some point, interpretation elements (semantics) t...
In the present framework, an analysis on nanofluid magneto-transport phenomena over an extending cylinder influenced by gyrotactic behavior of algal suspension, is made using the Cattaneo–Christov heat flux (non-Fourier) and mass flux (non-Fick’s) co...
We analyze trend and persistence in Standardized Precipitation Index (SPI) time series derived from monthly rainfall data at 133 gauging stations in Pernambuco state, Brazil, using a suite of complementary methods to address the spatially explicit te...
Problem: The leverage effect plays an important role in finance. However, the statistical test for the presence of the leverage effect is still lacking study. Approach: In this paper, by using high frequency data, we propose a novel procedure to test...
With the rapid development of the Internet, the speed with which information can be updated and propagated has accelerated, resulting in wide variations in public opinion. Usually, after the occurrence of some newsworthy event, discussion topics are...
Energy price fluctuations pose a significant risk and uncertainty to financial investments for new developments in conventional power and freshwater cogeneration facilities. This study attempts to address the problem of making robust valuation for lo...