Computing the Impact of White and Flicker Noise in Continuous-Time Integrator-Based ADCs

2016 ◽  
Author(s):  
Paul Gosselin ◽  
Adil Koukab ◽  
Maher Kayal
Keyword(s):  
Continuous Time ◽  
Flicker Noise ◽  
The Impact

Probability Analysis of a Perturbed Epidemic System with Relapse and Cure

2019 ◽  
Vol 17 (03) ◽  
pp. 1850140 ◽  
Author(s):  
Aadil Lahrouz ◽  
Adel Settati ◽  
Mohamed El Fatini ◽  
Roger Pettersson ◽  
Regragui Taki
Keyword(s):  
White Noise ◽  
Density Function ◽  
Stochastic System ◽  
Epidemic Model ◽  
Continuous Time ◽  
Asymptotic Properties ◽  
Mass Action ◽  
Invariant Density ◽  
Deterministic Formula ◽  
The Impact

This paper is devoted to a continuous-time stochastic differential system which is derived by incorporating white noise to a deterministic [Formula: see text] epidemic model with mass action incidence, cure and relapse. We focus on the impact of a relapse on the asymptotic properties of the stochastic system. We show that the relapse encourages the persistence of the disease in the population and we determine the threshold of the relapse rate, above the threshold the disease prevails in the population. Furthermore, we show that there exists a unique density function of solutions which converges in [Formula: see text], under certain conditions of the parameters to an invariant density.

BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION

2020 ◽  
Vol 23 (07) ◽  
pp. 2050045
Author(s):  
MARCOS ESCOBAR-ANEL ◽  
ANDREAS LICHTENSTERN ◽  
RUDI ZAGST
Keyword(s):  
Risk Aversion ◽  
Utility Function ◽  
Prospect Theory ◽  
Portfolio Selection ◽  
Continuous Time ◽  
Absolute Risk ◽  
Investment Strategy ◽  
Absolute Risk Aversion ◽  
Distortion Functions ◽  
The Impact

This paper studies the optimal investment problem for a behavioral investor with probability distortion functions and an S-shaped utility function whose utility on gains satisfies the Inada condition at infinity, albeit not necessarily at zero, in a complete continuous-time financial market model. In particular, a piecewise utility function with hyperbolic absolute risk aversion (HARA) is applied. The considered behavioral framework, cumulative prospect theory (CPT), was originally introduced by [A. Tversky & D. Kahneman (1992) Advances in prospect theory: Cumulative representation of uncertainty, Journal of Risk and Uncertainty 5 (4), 297–323]. The utility model allows for increasing, constant or decreasing relative risk aversion. The continuous-time portfolio selection problem under the S-shaped HARA utility function in combination with probability distortion functions on gains and losses is solved theoretically for the first time, the optimal terminal wealth and its replicating wealth process and investment strategy are stated. In addition, conditions on the utility and the probability distortion functions for well-posedness and closed-form solutions are provided. A specific probability distortion function family is presented which fulfills all those requirements. This generalizes the work by [H. Jin & X. Y. Zhou (2008) Behavioral portfolio selection in continuous time, Mathematical Finance 18 (3), 385–426]. Finally, a numerical case study is carried out to illustrate the impact of the utility function and the probability distortion functions.

On the analytic assessment of the impact of traffic correlation on queues in continuous time domain

2017 ◽  
Vol 78 ◽  
pp. 316-334 ◽  
Author(s):  
Wei Li ◽  
Demetres D. Kouvatsos ◽  
Rod J. Fretwell
Keyword(s):  
Time Domain ◽  
Continuous Time ◽  
The Impact

scholarly journals GROWTH AND KEEPING UP WITH THE JONESES

2010 ◽  
Vol 14 (S2) ◽  
pp. 176-199 ◽  
Author(s):  
Ronald Wendner
Keyword(s):  
Continuous Time ◽  
Overlapping Generations ◽  
Optimal Allocation ◽  
Overlapping Generations Model ◽  
Tax System ◽  
Balanced Growth ◽  
Lump Sum ◽  
Optimal Tax ◽  
The Impact ◽  
Total Wealth

This paper investigates the impact of the desire to keep up with the Joneses (KUJ) on economic growth and optimal tax policy in a continuous-time, overlapping-generations model with AK technology and exogenous, gradual retirement. Due to the desire to KUJ, the propensity to consume out of total wealth rises (declines), and the balanced growth rate declines (increases), when the households' individual total (physical and human) wealth is increasing (decreasing) with age. The rate of retirement determines whether or not a household's total wealth is increasing with age. If total wealth is increasing (decreasing) with age, an optimal allocation is decentralized by an intergenerationally progressive (regressive) lump-sum tax system. The desire to KUJ strengthens the intergenerational regressivity (progressivity) of the optimal tax system. The optimal tax implications of the desire to KUJ are a key finding of this paper.

Risk Premia and Preemption in R&D Ventures

2004 ◽  
Vol 39 (4) ◽  
pp. 843-872 ◽  
Author(s):  
Lorenzo Garlappi
Keyword(s):  
Technical Progress ◽  
Risk Premium ◽  
Continuous Time ◽  
Completion Time ◽  
Risk Premia ◽  
Option Value ◽  
Market Uncertainty ◽  
Annual Basis ◽  
Patent Race ◽  
The Impact

AbstractI analyze the impact of competition on the risk premia of R&D ventures engaged in a multiple-stage patent race with technical and market uncertainty. After solving in closed form for the case of a two-stage race in continuous time, I show that a firm's risk premium decreases as a consequence of technical progress and increases when a rival pulls ahead. Compared to the case where firms collude, R&D competition erodes the option value to mothball a project, reduces the completion time and the failure rate of R&D, and causes higher and more volatile risk premia. Numerical simulations reveal that competition can generate risk premia up to 500 annual basis points higher and up to three times more volatility than in a collusive industry.

scholarly journals Nonzero-Sum Stochastic Differential Portfolio Games under a Markovian Regime Switching Model

2015 ◽  
Vol 2015 ◽  
pp. 1-18 ◽  
Author(s):  
Chaoqun Ma ◽  
Hui Wu ◽  
Xiang Lin
Keyword(s):  
Markov Chain ◽  
Continuous Time ◽  
Regime Switching ◽  
Game Problem ◽  
Comparative Statics ◽  
Optimal Portfolio ◽  
Hjb Equations ◽  
Risky Assets ◽  
Portfolio Strategies ◽  
The Impact

We consider a nonzero-sum stochastic differential portfolio game problem in a continuous-time Markov regime switching environment when the price dynamics of the risky assets are governed by a Markov-modulated geometric Brownian motion (GBM). The market parameters, including the bank interest rate and the appreciation and volatility rates of the risky assets, switch over time according to a continuous-time Markov chain. We formulate the nonzero-sum stochastic differential portfolio game problem as two utility maximization problems of the sum process between two investors’ terminal wealth. We derive a pair of regime switching Hamilton-Jacobi-Bellman (HJB) equations and two systems of coupled HJB equations at different regimes. We obtain explicit optimal portfolio strategies and Feynman-Kac representations of the two value functions. Furthermore, we solve the system of coupled HJB equations explicitly in a special case where there are only two states in the Markov chain. Finally we provide comparative statics and numerical simulation analysis of optimal portfolio strategies and investigate the impact of regime switching on optimal portfolio strategies.

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