scholarly journals Simulation of elliptic and hypo-elliptic conditional diffusions

2020 ◽  
Vol 52 (1) ◽  
pp. 173-212
Author(s):  
Joris Bierkens ◽  
Frank van der Meulen ◽  
Moritz Schauer
Keyword(s):  
Diffusion Process ◽  
The State ◽  
Identity Matrix ◽  
Excellent Performance ◽  
Linear Combinations ◽  
Time Zero ◽  
Partially Observed ◽  
Multidimensional Diffusion

AbstractSuppose X is a multidimensional diffusion process. Assume that at time zero the state of X is fully observed, but at time $T>0$ only linear combinations of its components are observed. That is, one only observes the vector $L X_T$ for a given matrix L. In this paper we show how samples from the conditioned process can be generated. The main contribution of this paper is to prove that guided proposals, introduced in [35], can be used in a unified way for both uniformly elliptic and hypo-elliptic diffusions, even when L is not the identity matrix. This is illustrated by excellent performance in two challenging cases: a partially observed twice-integrated diffusion with multiple wells and the partially observed FitzHugh–Nagumo model.

Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code

2014 ◽  
Vol 01 (03) ◽  
pp. 1450023 ◽  
Author(s):  
Bin Li ◽  
Qihe Tang ◽  
Lihe Wang ◽  
Xiaowen Zhou
Keyword(s):  
Diffusion Process ◽  
Explicit Formula ◽  
Firm Value ◽  
The State ◽  
The Us ◽  
Quantitative Understanding ◽  
State Changes ◽  
Bankruptcy Code ◽  
General Time

We aim at quantitatively measuring the liquidation risk of a firm subject to both Chapters 7 and 11 of the US bankruptcy code. The firm value is modeled by a general time-homogeneous diffusion process in which the drift and volatility are level dependent and can be easily adjusted to reflect the state changes of the firm. An explicit formula for the probability of liquidation is established, based on which we gain a quantitative understanding of how the capital structures before and during bankruptcy affect the probability of liquidation.

scholarly journals On stochastic relaxed control for partially observed diffusions

1984 ◽  
Vol 93 ◽  
pp. 71-108 ◽  
Author(s):  
W. H. Fleming ◽  
M. Nisio
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Control Region ◽  
The State ◽  
Probability Measures ◽  
Control Problems ◽  
Relaxed Control ◽  
Observation Process ◽  
Partially Observed ◽  
Partially Observed Diffusions

In this paper we are concerned with stochastic relaxed control problems of the following kind. Let X(t), t ≥ 0, denote the state of a process being controlled, Y(t), t ≥ 0, the observation process and p(t, ·) a relaxed control, that is a process with values probability measures on the control region Г. The state and observation processes are governed by stochastic differential equationsandwhere B and W are independent Brownian motions with values in Rn and Rm respectively, (put m = 1 for simplicity).

scholarly journals A reproducible survey on word embeddings and ontology-based methods for word similarity: Linear combinations outperform the state of the art

2019 ◽  
Vol 85 ◽  
pp. 645-665 ◽  
Author(s):  
Juan J. Lastra-Díaz ◽  
Josu Goikoetxea ◽  
Mohamed Ali Hadj Taieb ◽  
Ana García-Serrano ◽  
Mohamed Ben Aouicha ◽  
...  
Keyword(s):  
State Of The Art ◽  
The State ◽  
Word Embeddings ◽  
Linear Combinations ◽  
Word Similarity

Passage time moments for multidimensional diffusions

2000 ◽  
Vol 37 (1) ◽  
pp. 246-251 ◽  
Author(s):  
S. Balaji ◽  
S. Ramasubramanian
Keyword(s):  
Brownian Motion ◽  
Diffusion Process ◽  
Diffusion Processes ◽  
Passage Time ◽  
Hitting Time ◽  
Two Dimensional ◽  
Reflecting Brownian Motion ◽  
Multidimensional Diffusions ◽  
Multidimensional Diffusion

Let τr denote the hitting time of B(0:r) for a multidimensional diffusion process. We give verifiable criteria for finiteness/infiniteness of As an application we exhibit classes of diffusion processes which are recurrent but is infinite for all p > 0, |x| > r > 0; this includes the two-dimensional Brownian motion and the reflecting Brownian motion in a wedge with a certain parameter α = 0.

scholarly journals Influence institutional arrangements in production sites for innovation creation

2016 ◽  
Vol 15 (1) ◽  
pp. 116-130
Author(s):  
Oscar Sarquis González Braga ◽  
Sérgio Henrique Arruda Cavalcante Forte
Keyword(s):  
Diffusion Process ◽  
Technology Diffusion ◽  
Explanatory Power ◽  
Innovation Process ◽  
Institutional Arrangements ◽  
The State ◽  
Methodological Framework ◽  
Food Industries ◽  
Regulatory Policies

While government and regulatory policies can promote significant changes in product technologies and processes, which in turn benefit industrial innovative, if not carefully managed can generate significant deleterious effects on the innovation process (Patanakul Pinto, 2014). Based on this assumption, this research objectived to highlight the key role of institutions in the process of creation and innovation diffusion in particularly within sectors with low technological dynamism. To this end, we used the data tabulated by Pintec (2013) on the clothing and food industries in the state of Ceará. Brazil. Starting from a model in which we focused on the marketing and technological usage profile dimensions in those sectors, it was observed that the model did not explain fully the creation and technology diffusion process. Then added a new dimension to the model considering the institutional role in supporting the innovation process, so getting the new methodological framework for better explanatory power of the phenomena involved.

Passage time moments for multidimensional diffusions

2000 ◽  
Vol 37 (01) ◽  
pp. 246-251 ◽  
Author(s):  
S. Balaji ◽  
S. Ramasubramanian
Keyword(s):  
Brownian Motion ◽  
Diffusion Process ◽  
Diffusion Processes ◽  
Passage Time ◽  
Hitting Time ◽  
Two Dimensional ◽  
Reflecting Brownian Motion ◽  
Multidimensional Diffusions ◽  
Multidimensional Diffusion

Let τ r denote the hitting time of B(0:r) for a multidimensional diffusion process. We give verifiable criteria for finiteness/infiniteness of As an application we exhibit classes of diffusion processes which are recurrent but is infinite for all p > 0, |x| > r > 0; this includes the two-dimensional Brownian motion and the reflecting Brownian motion in a wedge with a certain parameter α = 0.

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