Search for Articles:
Title / Keyword
Author / Affiliation / Email
Journal
Article Type
 
 
Advanced Search
 
Section
Special Issue
Volume
Issue
Number
Page
 

Saved Queries

Sign in to use this feature.

Search Filter Reset All

Years

Between: -

Subjects

remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
Add Subjects Reset
Select Subjects

Journals

remove_circle_outline
remove_circle_outline
remove_circle_outline
Add Journals Reset
Select Journals

Article Types

remove_circle_outline
Add Article Types Reset
Select Article Types

Countries / Regions

remove_circle_outline
remove_circle_outline
Add Countries / Regions Reset
Select Countries / Regions
Update Search
share announcement

Search Results (3)

Search Parameters:
Keywords = skew geometric Brownian motion

Order results
Result details
Results per page
Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:
15 pages, 5889 KB  
Article
Impact of Geometrical Features on Solute Transport Behavior through Rough-Walled Rock Fractures
by Xihong Chuang, Sanqi Li, Yingtao Hu and Xin Zhou
Water 2023, 15(1), 124; https://doi.org/10.3390/w15010124 - 29 Dec 2022
Viewed by 2617
Abstract
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, the fractal model of single fractures is established based [...] Read more.
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, the fractal model of single fractures is established based on the fractional Brownian motion and the successive random accumulation method. The Navier–Stokes equation and solute transport convective-dispersion equation are employed to analyze the effect of fractal dimension and standard deviation of aperture on the solute transport characteristics. The results show that the concentration front and streamline distribution are inhomogeneous, and the residence time distribution (RTD) curves have obvious tailing. For the larger fractal dimension and the standard deviation of aperture, the fracture surface becomes rougher, aperture distribution becomes more scattered, and the average flow velocity becomes slower. As a result, the average time of solute transport is a power function of the fractal dimension, while the time variance and the time skewness present a negative linear correlation with the fractal dimension. For the standard deviation of aperture, the average time exhibits a linearly decreasing trend, the time variance is increased by a power function, and the skewness is increased logarithmically. Full article
(This article belongs to the Special Issue Hydraulic Engineering and Modelling: Numerical Modelling and Simulation)
►▼ Show Figures

Figure 1

17 pages, 591 KB  
Article
On the Cumulants of the First Passage Time of the Inhomogeneous Geometric Brownian Motion
by Elvira Di Nardo and Giuseppe D’Onofrio
Mathematics 2021, 9(9), 956; https://doi.org/10.3390/math9090956 - 25 Apr 2021
Cited by 2 | Viewed by 3963
Abstract
We consider the problem of the first passage time T of an inhomogeneous geometric Brownian motion through a constant threshold, for which only limited results are available in the literature. In the case of a strong positive drift, we get an approximation of [...] Read more.
We consider the problem of the first passage time T of an inhomogeneous geometric Brownian motion through a constant threshold, for which only limited results are available in the literature. In the case of a strong positive drift, we get an approximation of the cumulants of T of any order using the algebra of formal power series applied to an asymptotic expansion of its Laplace transform. The interest in the cumulants is due to their connection with moments and the accounting of some statistical properties of the density of T like skewness and kurtosis. Some case studies coming from neuronal modeling with reversal potential and mean reversion models of financial markets show the goodness of the approximation of the first moment of T. However hints on the evaluation of higher order moments are also given, together with considerations on the numerical performance of the method. Full article
(This article belongs to the Special Issue Stochastic Models with Applications)
►▼ Show Figures

Figure 1

17 pages, 927 KB  
Article
An Empirical Investigation to the “Skew” Phenomenon in Stock Index Markets: Evidence from the Nikkei 225 and Others
by Yizhou Bai and Zhiyu Guo
Sustainability 2019, 11(24), 7219; https://doi.org/10.3390/su11247219 - 16 Dec 2019
Cited by 5 | Viewed by 12222
Abstract
The skew processes have recently received much attention, owing to their capacity to describe controlled dynamics. In this paper, we employ the skew geometric Brownian motion (SGBM) to depict nine major stock index markets. The skew process not only shows us where the [...] Read more.
The skew processes have recently received much attention, owing to their capacity to describe controlled dynamics. In this paper, we employ the skew geometric Brownian motion (SGBM) to depict nine major stock index markets. The skew process not only shows us where the “support” and “resistance” levels are, but also how strong the force is. However, the densities of the skew processes make it challenging to estimate the parameters in a convenient manner. For the sake of overcoming this challenge, we adopt a Bayesian approach, which plays an important role in allowing us to estimate the parameters by conditional probability densities without having to evaluate complex integrals. Furthermore, we also propose the likelihood ratio tests and significance tests for the skew probability. In the empirical study, our findings reveal that skew phenomenon exists in the global stock markets and that the SGBM model works better than the traditional GBM model, as well as performing competitively, compared to the GBM-jump model (GBM-J) and Markov regime switching GBM model (GBM-MRS). In addition, we explore the possible reasons behind the skew phenomenon in stock markets, the price clustering phenomenon and herd behaviors can help to explain the skew phenomenon. Full article
(This article belongs to the Special Issue Sustainable Financial Markets)
►▼ Show Figures

Figure 1

Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:
 
Displaying article 1-50 on page 1 of 1.
Back to TopTop