"stochastic processes" - Selaus asiasanan mukaanArtikkelit
Aineistot 1-4 / 4
-
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian–fractional Brownian model
(VTeX, 11.05.2015)
articleWe study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian–fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter H of the fractional ... -
Editorial : Long-Memory Models in Mathematical Finance
(Frontiers Media, 31.05.2021)
article -
Evaluating the Impact of Bilateral Contracts on the Offering Strategy of a Price Maker Wind Power Producer
(IEEE, 29.04.2022)
articleDue to the high penetration of wind power generation in power systems and electricity markets, wind power plants (WPPs) can, in some scenarios, influence the market prices and exercise market power in the day-ahead (DA) ... -
Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
(Taylor & Francis, 30.05.2020)
articleMixed fractional Brownian motion is a linear combination of Brownian motion and independent Fractional Brownian motion that is extensively used for option pricing. The consideration of the mixed process is able to capture ...
