Captive diffusions and their applications to order-preserving dynamics

Name: Captive diffusions and their applications to order-preserving dynamics
Author: Mengütürk, L. A., Mengütürk, Murat Cahit

İsim	Captive diffusions and their applications to order-preserving dynamics
Yazar	Mengütürk, L. A., Mengütürk, Murat Cahit
Basım Tarihi:	2020-09-30
Basım Yeri	- Royal Society Publishing
Konu	Markov processes, Bounded diffusions, Degenerate processes, Stochastic volatility
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	1364-5021
Kayıt Numarası	992e39f0-df6d-4e9a-ad11-e0f366548919
Lokasyon	Business Administration
Tarih	2020-09-30
Örnek Metin	We propose a class of stochastic processes that we call captive diffusions, which evolve within measurable pairs of cadlag bounded functions that admit bounded right-derivatives at points where they are continuous. In full generality, such processes allow reflection and absorption dynamics at their boundaries-possibly in a hybrid manner over non-overlapping time periods-and if they are martingales, continuous boundaries are necessarily monotonic. We employ multi-dimensional captive diffusions equipped with a totally ordered set of boundaries to model random processes that preserve an initially determined rank. We run numerical simulations on several examples governed by different drift and diffusion coefficients. Applications include interacting particle systems, random matrix theory, epidemic modelling and stochastic control.
DOI	10.1098/rspa.2020.0294
Cilt	476

Kaynağa git Özyeğin Üniversitesi

Aramaya Dön

Özyeğin Üniversitesi

Kaynağa git

Captive diffusions and their applications to order-preserving dynamics

Yazar Mengütürk, L. A., Mengütürk, Murat Cahit

Basım Tarihi 2020-09-30

Basım Yeri - Royal Society Publishing

Konu Markov processes, Bounded diffusions, Degenerate processes, Stochastic volatility

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 1364-5021

Kayıt Numarası 992e39f0-df6d-4e9a-ad11-e0f366548919

Lokasyon Business Administration

Tarih 2020-09-30

Örnek Metin We propose a class of stochastic processes that we call captive diffusions, which evolve within measurable pairs of cadlag bounded functions that admit bounded right-derivatives at points where they are continuous. In full generality, such processes allow reflection and absorption dynamics at their boundaries-possibly in a hybrid manner over non-overlapping time periods-and if they are martingales, continuous boundaries are necessarily monotonic. We employ multi-dimensional captive diffusions equipped with a totally ordered set of boundaries to model random processes that preserve an initially determined rank. We run numerical simulations on several examples governed by different drift and diffusion coefficients. Applications include interacting particle systems, random matrix theory, epidemic modelling and stochastic control.

DOI 10.1098/rspa.2020.0294

Cilt 476