✦ LIBER ✦

Long memory in a linear stochastic Volterra differential equation

✍ Scribed by John A.D. Appleby; Katja Krol

Book ID: 108178902
Publisher: Elsevier Science
Year: 2011
Tongue: English
Weight: 237 KB
Volume: 380
Category: Article
ISSN: 0022-247X
DOI: 10.1016/j.jmaa.2011.03.010

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

General Linear Methods for Volterra Inte

General Linear Methods for Volterra Integro-differential Equations with Memory

✍ Zhang, Chengjian; Vandewalle, Stefan 📂 Article 📅 2006 🏛 Society for Industrial and Applied Mathematics 🌐 English ⚖ 496 KB

On a linear stochastic differential equa

On a linear stochastic differential equation

✍ S. K. Nasr 📂 Article 📅 1970 🏛 Springer 🌐 English ⚖ 305 KB

On a Stochastic Integro-Differential Equ

On a Stochastic Integro-Differential Equation of Volterra Type

✍ Padgett, W. J.; Tsokos, Chris P. 📂 Article 📅 1972 🏛 Society for Industrial and Applied Mathematics 🌐 English ⚖ 1023 KB

On a Stochastic Integro-Differential Equ

On a Stochastic Integro-Differential Equation of Volterra Type

✍ W. J. Padgett and Chris P. Tsokos 📂 Article 📅 1972 🏛 Society for Industrial and Applied Mathematics 🌐 English ⚖ 856 KB

Modeling long-range memory trading activ

Modeling long-range memory trading activity by stochastic differential equations

✍ V. Gontis; B. Kaulakys 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 315 KB

We propose a model of fractal point process driven by the nonlinear stochastic differential equation. The model is adjusted to the empirical data of trading activity in financial markets. This reproduces the probability distribution function and power spectral density of trading activity observed in

Some remarks on a linear stochastic diff

Some remarks on a linear stochastic differential equation

✍ David Nualart 📂 Article 📅 1987 🏛 Elsevier Science 🌐 English ⚖ 181 KB