We explore in this chapter questions of existence and uniqueness for solutions to stochastic differential equations and offer a study of their properties. This endeavor is really a study of diffusion processes. Loosely speaking, the term diffusion is attributed to a Markov process which has continuous sample paths and can be characterized in terms of its infinitesimal generator.

Stochastic Differential Equations

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Properties Of Concrete

numerical methods for partial differential equations is available in our digital library an online access to it is set as public so you can download it instantly. Our digital library hosts in multiple locations, allowing you to get the most less latency time to download any of our books like this one. Kindly say, the numerical methods for partial differential equations is universally compatible with any devices to read.

Numerical Methods For Partial Differential Equations

In this paper, we present a new strategy for pricing average value options, i.e. options whose payoff depends on the average price of the underlying asset over a fixed period leading up to the maturity date. Such options are of particular interest and importance for thinly-traded assets (e.g. crude oil), since price manipulation is inhibited, and both the investor and issuer enjoy a welcome degree of protection from the vagaries of the market. These options are often implicit in a bond contract, although they also appear in a straightforward form. Our results suggest that the price of an average-value option will always be lower than that of a standard European option. Our pricing strategy involves Monte Carlo simulation with variance reduction elements and offers an enhanced pricing method to both arbitragers and hedgers, as well as to the issuers of such bonds.

A Pricing Method for Options Based on Average Asset Values

This survey reviews the growing literature on pairs trading frameworks, i.e., relative-value arbitrage strategies involving two or more securities. Research is categorized into five groups: The distance approach uses nonparametric distance metrics to identify pairs trading opportunities. The cointegration approach relies on formal cointegration testing to unveil stationary spread time series. The time-series approach focuses on finding optimal trading rules for mean-reverting spreads. The stochastic control approach aims at identifying optimal portfolio holdings in the legs of a pairs trade relative to other available securities. The category “other approaches” contains further relevant pairs trading frameworks with only a limited set of supporting literature. Finally, pairs trading profitability is reviewed in the light of market frictions. Drawing from a large set of research consisting of over 100 references, an in-depth assessment of each approach is performed, ultimately revealing strengths and weaknesses relevant for further research and for implementation.

https://www.econstor.eu/bitstream/10419/116783/1/833997289.pdf

Statistical arbitrage pairs trading strategies: review and outlook

Early-age cracking can seriously compromise the performance and aesthetics of concrete structures, and is thus an ongoing major concern to the concrete construction industry. More effective control of this form of cracking requires an improved knowledge of concrete properties. In this paper, currently available test methods for complete stress-strain curves of early-age concrete are first briefly reviewed. A new system specifically designed for early-age tensile testing of concrete is then described. The novel use of digital image correlation in this system enables the desired deformation to be reliably captured in a non-contact way – a significant improvement compared to previous studies. The more reliable data to be collected would result in improved knowledge of concrete at early ages, including the tensile strength, Young’s modulus, strain at peak stress, and fracture mechanics characteristics, as well as their interrelationships and development with time. This improved understanding would form a solid basis for more effective control of early-age cracking in concrete.

A novel method for tensile testing of very early-age concrete

Spline Local Basis Methods for Nonparametric Density Estimation

Early-age properties of micro-fibre concrete

This paper presents a generic probabilistic approach to study elasticities and sensitivities of financial quantities under stochastic volatility models. We describe the shock elasticity, the quantile sensitivity and the vaga value of cash flows with respect to perturbation of the volatility function of the model. The main contribution is to establish explicit formulae for these elasticities and sensitivities based on a novel application of the exponential measure change technique in Palmowski and Rolski (2002). We carry out explicit calculations for the Heston model and the 3/2 stochastic volatility model, and derive explicit expressions in terms of model parameters.

An Integral Representation for Elasticity and Sensitivity for Stochastic Volatility Models

Smart home is one of the most important applications of ubiquitous computing. In this work, we propose an infrastructure of Vietnamese Smart homes as well as a training framework for activity recognition and forecast. In this framework, active learning technique is applied and a new mining algorithm is proposed. In addition to activity recognition, a forecast mechanism is also added into the smart home simulation system by using activity sequence as an extra type of in-home contexts. Experiment results show that the system efficiency is improved when compared to the previous work of Enamul Hoque et al.

An approach of using contexts for in-home activity recognition and forecast

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