Price dynamics of the financial markets using the stochastic differential equation for a potential double well

2018 ◽  
Vol 490 ◽  
pp. 828-833 ◽  
Author(s):  
L.S. Lima ◽  
L.L.B. Miranda
Keyword(s):  
Differential Equation ◽  
Stochastic Differential Equation ◽  
Financial Markets ◽  
Price Dynamics

scholarly journals Model of Continuous Random Cascade Processes in Financial Markets

2020 ◽  
Vol 8 ◽  
Author(s):  
Jun-ichi Maskawa ◽  
Koji Kuroda
Keyword(s):  
Differential Equation ◽  
Time Series ◽  
Stochastic Differential Equation ◽  
Financial Markets ◽  
Stock Price ◽  
Planck Equation ◽  
Cascade Model ◽  
The Other ◽  
Model Parameters ◽  
Cascade Processes

This article presents a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade: one multiplicatively combines with volatility; the other does so additively. Assuming that the latter acts perturbatively on the system, the model parameters are estimated by the application to an actual stock price time series. Numerical calculation of the Fokker–Planck equation derived from the stochastic differential equation is conducted using the estimated values of parameters. The results reproduce the probability density function of the empirical volatility, the multifractality of the time series, and other empirical facts.

On Approximate Large Deviations for 1D Diffusion

2003 ◽  
Vol 10 (2) ◽  
pp. 381-399
Author(s):  
A. Yu. Veretennikov
Keyword(s):  
Differential Equation ◽  
Exact Solution ◽  
Large Deviations ◽  
Stochastic Differential Equation ◽  
Approximation Scheme ◽  
Sufficient Conditions ◽  
Rate Function ◽  
Euler Approximation ◽  
One Dimensional

Abstract We establish sufficient conditions under which the rate function for the Euler approximation scheme for a solution of a one-dimensional stochastic differential equation on the torus is close to that for an exact solution of this equation.

Large deviations and Berry–Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion

2020 ◽  
Vol 28 (3) ◽  
pp. 183-196
Author(s):  
Kouacou Tanoh ◽  
Modeste N’zi ◽  
Armel Fabrice Yodé
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Maximum Likelihood ◽  
Large Deviations ◽  
Stochastic Differential Equation ◽  
Fractional Brownian Motion ◽  
Maximum Likelihood Estimator ◽  
Bayes Estimator ◽  
Likelihood Estimator

AbstractWe are interested in bounds on the large deviations probability and Berry–Esseen type inequalities for maximum likelihood estimator and Bayes estimator of the parameter appearing linearly in the drift of nonhomogeneous stochastic differential equation driven by fractional Brownian motion.

scholarly journals A spatially varying stochastic differential equation model for animal movement

2018 ◽  
Vol 12 (2) ◽  
pp. 1312-1331 ◽  
Author(s):  
James C. Russell ◽  
Ephraim M. Hanks ◽  
Murali Haran ◽  
David Hughes
Keyword(s):  
Differential Equation ◽  
Stochastic Differential Equation ◽  
Animal Movement ◽  
Equation Model ◽  
Differential Equation Model ◽  
Spatially Varying
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