Evaluation of Portfolio Decision Improvements by Markov Modulated Diffusion Processes: A Shapley Value Approach

2019 ◽  
pp. 289-302
Author(s):  
Benjamin Vallejo-Jimenez ◽  
Mario A. Garcia-Meza
Keyword(s):  
Shapley Value ◽  
Diffusion Processes ◽  
Portfolio Decision ◽  
Markov Modulated

scholarly journals Large deviations for Markov-modulated diffusion processes with rapid switching

2016 ◽  
Vol 126 (6) ◽  
pp. 1785-1818 ◽  
Author(s):  
Gang Huang ◽  
Michel Mandjes ◽  
Peter Spreij
Keyword(s):  
Large Deviations ◽  
Diffusion Processes ◽  
Markov Modulated ◽  
Rapid Switching

Pricing gold options under Markov-modulated jump-diffusion processes

2014 ◽  
Vol 24 (12) ◽  
pp. 825-836 ◽  
Author(s):  
Shih-Kuei Lin ◽  
Yu-Min Lian ◽  
Szu-Lang Liao
Keyword(s):  
Diffusion Processes ◽  
Jump Diffusion ◽  
Jump Diffusion Processes ◽  
Markov Modulated

Weak convergence of Markov-modulated diffusion processes with rapid switching

2014 ◽  
Vol 86 ◽  
pp. 74-79 ◽  
Author(s):  
Gang Huang ◽  
Michel Mandjes ◽  
Peter Spreij
Keyword(s):  
Weak Convergence ◽  
Diffusion Processes ◽  
Markov Modulated ◽  
Rapid Switching

Meridional Circulation, Turbulence, and Diffusion Processes in Stars

1976 ◽  
Vol 32 ◽  
pp. 109-116 ◽  
Author(s):  
S. Vauclair
Keyword(s):  
Convection Zone ◽  
Diffusion Processes ◽  
Meridional Circulation ◽  
Diffusion Time ◽  
Work In Progress ◽  
First Results ◽  
Stellar Envelopes ◽  
And Diffusion ◽  
Turbulence And Diffusion ◽  
Hr Diagram

This paper gives the first results of a work in progress, in collaboration with G. Michaud and G. Vauclair. It is a first attempt to compute the effects of meridional circulation and turbulence on diffusion processes in stellar envelopes. Computations have been made for a 2 Mʘstar, which lies in the Am - δ Scuti region of the HR diagram.Let us recall that in Am stars diffusion cannot occur between the two outer convection zones, contrary to what was assumed by Watson (1970, 1971) and Smith (1971), since they are linked by overshooting (Latour, 1972; Toomre et al., 1975). But diffusion may occur at the bottom of the second convection zone. According to Vauclair et al. (1974), the second convection zone, due to He II ionization, disappears after a time equal to the helium diffusion time, and then diffusion may happen at the bottom of the first convection zone, so that the arguments by Watson and Smith are preserved.

Ergodic Control of Diffusion Processes

2009 ◽  
Author(s):  
Ari Arapostathis ◽  
Vivek S. Borkar ◽  
Mrinal K. Ghosh
Keyword(s):  
Diffusion Processes ◽  
Ergodic Control

NMR-Study of Structure and Diffusion Processes in Li3N

1980 ◽  
Vol 41 (C6) ◽  
pp. C6-28-C6-31 ◽  
Author(s):  
R. Messer ◽  
H. Birli ◽  
K. Differt
Keyword(s):  
Diffusion Processes ◽  
Nmr Study ◽  
And Diffusion
Sign in / Sign up

Export Citation Format

Share Document