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55 results for “Stochastic Process”
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Research ArticleOpen accessPhrase in the titleApplication of Bi-Directional Grid Constrained Stochastic Processes to Algorithmic TradingAldo Taranto, Shahjahan KhanBi-directional Grid Constrained (BGC) Stochastic Processes (BGCSP) become more constrained the further they drift away from the origin or time axis are examined here. As they drift further away from the time axis, then the greater the likelihood of stopping, as if by two hidden reflective barriers. The theory of BGCSP is applied to a trading environment in which long … …Journal of Mathematics and Statistics, Vol. 17, Issue 1 · 6 Mar 2021 · 8,524 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleDrawdown and Drawup of Bi-Directional Grid Constrained Stochastic ProcessesAldo Taranto, Shahjahan KhanThe Grid Trading Problem (GTP) of mathematical finance, used in portfolio loss minimization, generalized dynamic hedging and algorithmic trading, is researched by examining the impact of the drawdown and drawup of discrete random walks and of Itô diffusions on the Bi-Directional Grid Constrained (BGC) stochastic process for profit Pt and equity Et over time. A comprehensive Discrete Difference Equation (DDE) … …Journal of Mathematics and Statistics, Vol. 16, Issue 1 · 14 Sep 2020 · 9,153 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleOptimization of Clock Tree Synthesis Under Stochastic Process Variation Modeling for Multi-FPGA SystemsKarthik Thirumalai Sampath, Jawahar Senthil Kumar VeerabadranIn this age of scientific computing, the experiment models and evaluation is a commonly employed rendition of the simulation methods. In addition to the optimality, the methods which depict underlying uncertainty in process variation. It is accomplished by adjusting number of samples on delay and wire width. Here addresses the thermal profile, if temperature gradually increases, also reduce worst case … …American Journal of Applied Sciences, Vol. 10, Issue 12 · 29 Oct 2013 · 6,510 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleSome Algorithms to Identify Rational Structures in Stochastic Processes with ExpectationsConcepción González-Concepción, María Candelaria Gil-Fariña, Celina Pestano-GabinoThis research was concerned with the identification of rational models in stochastic processes and we use the Padé-Laurent Approximation to identify a Transfer-Function Model with Expectations. We mention the T-table method and focus in studying the generalised epsilon-algorithm, emphasizing the main role of the statistical significance of their numerical entries. Empirical work is made for non-causal TF models using both … …Journal of Mathematics and Statistics, Vol. 3, Issue 4 · 31 Dec 2007 · 6,752 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleSOME STATISTICAL PROPERTIES OF THE SOLUTIONS OF A SYSTEM OF TWO DIMENSIONAL STOCHASTIC FREDHOLM INTEGRAL EQUATIONS CONTAINS GAMMA PROCESSESMohammad Wahdan MuflihIn this study, we find the two solutions of a system of two dimensional stochastic Fredholm integral equations contains two gamma processes with different values of the two parameters (the first controls the rate of jump arrivals and the second inversely controls the jump size of this arrivals) in two cases and equal in the third that is to introduce … …Journal of Mathematics and Statistics, Vol. 9, Issue 2 · 4 May 2013 · 6,897 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleSTOCHASTIC GROWTH MODEL FOR SPATIAL CLUSTER BIRTH AND DEATH PROCESS WITH MIGRATIONRo’fah Nur Rachmawati, Rokhana Dwi BektiIn real life, we can encounter the cluster birth and death process with migration, such as the birth of new individuals and disease in certain place and time. These phenomena can be represented by stochastic model that are considered to be more representatives in capturing natural indications involving the concepts of space and time. In this study, we construct a … …Journal of Mathematics and Statistics, Vol. 9, Issue 2 · 9 May 2013 · 7,089 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleA Genetic Algorithm for Scheduling n Jobs on a Single Machine with a Stochastic Controllable Processing, Tooling Cost and Earliness-Tardiness PenaltiesMohamed Ali Abdel-Fattah MansourProblem statement: In this research, we addressed the problem of minimizing the earliness-tardiness penalties and manufacturing costs of a single machine with a stochastic controllable processing and tooling cost. Approach: We developed a mathematical non-linear integer programming model and its linearised version to find the optimal solution. We introduced a new genome representation in single machine scheduling literature that evolved … …American Journal of Engineering and Applied Sciences, Vol. 4, Issue 3 · 18 Aug 2011 · 7,587 accessesView PDFCite
Research ArticleOpen accessIn the keywordsStatistical Inference on a Black-Scholes Model with Jumps. Application in HydrologyJ. Cesars, S.P. Nuiro, J. VaillantWe consider a Stochastic Differential Equation (SDE) driven by a Wiener process and a Poisson measure. This latter measure is associated with a sequence of identically distributed jump amplitudes. Properties of the SDE solution are presented with respect to the associated Wiener and Poisson processes. An algorithm is provided allowing exact numerical simulations of such SDE and implementable within R … …Journal of Mathematics and Statistics, Vol. 15, Issue 1 · 24 Jul 2019 · 7,502 accessesView PDFCite
Research ArticleOpen accessIn the keywordsNetwork Traffic Model: A Case of BIUST NetworkThato Solomon, Adamu Murtala Zungeru, Rajalakshmi Selvaraj et al.Network traffic model and analysis provides the average load, bandwidth requirements and the different application of the available bandwidth for a particular network, in addition to several other details of the network. This paper presents mathematical model used for modelling real world problems using Botswana International University of Science and technology (BIUST) network traffic as a case. Sophisticated analysis of … …Journal of Computer Science, Vol. 13, Issue 7 · 21 Jun 2017 · 7,357 accessesView PDFCite
Research ArticleOpen accessIn the keywordsOn Semicontinuous Nonclassical Ordinary Differential Inclusions with Nonlocal ConditionSheila Amina Bishop, Godwin Amechi Okeke, Timothy Ashibel AnakeIn this study, we examined existence of lower semicontinuous solution of Nonclassical Ordinary Differential Inclusions (QSDIs) with Nonlocal Conditions. Here the multivalued stochastic processes are lower semicontinuous. …American Journal of Engineering and Applied Sciences, Vol. 10, Issue 2 · 23 May 2017 · 7,265 accessesView PDFCite