scholarly journals Stochastic differential equations and comparison of financial models with levy process using Markov chain Monte Carlo (MCMC) simulation

Author(s):  
Kianoush Fathi Vajargah
1999 ◽  
Vol 31 (01) ◽  
pp. 112-134 ◽  
Author(s):  
Jostein Paulsen ◽  
Arne Hove

We study the present value Z ∞ = ∫0 ∞ e-X t- dY t where (X,Y) is an integrable Lévy process. This random variable appears in various applications, and several examples are known where the distribution of Z ∞ is calculated explicitly. Here sufficient conditions for Z ∞ to exist are given, and the possibility of finding the distribution of Z ∞ by Markov chain Monte Carlo simulation is investigated in detail. Then the same ideas are applied to the present value Z - ∞ = ∫0 ∞ exp{-∫0 t R s ds}dY t where Y is an integrable Lévy process and R is an ergodic strong Markov process. Numerical examples are given in both cases to show the efficiency of the Monte Carlo methods.


2019 ◽  
Vol 25 (2) ◽  
pp. 155-161
Author(s):  
Sergej M. Ermakov ◽  
Anna A. Pogosian

Abstract This paper proposes a new approach to solving Ito stochastic differential equations. It is based on the well-known Monte Carlo methods for solving integral equations (Neumann–Ulam scheme, Markov chain Monte Carlo). The estimates of the solution for a wide class of equations do not have a bias, which distinguishes them from estimates based on difference approximations (Euler, Milstein methods, etc.).


1999 ◽  
Vol 31 (1) ◽  
pp. 112-134 ◽  
Author(s):  
Jostein Paulsen ◽  
Arne Hove

We study the present value Z∞ = ∫0∞ e-Xt-dYt where (X,Y) is an integrable Lévy process. This random variable appears in various applications, and several examples are known where the distribution of Z∞ is calculated explicitly. Here sufficient conditions for Z∞ to exist are given, and the possibility of finding the distribution of Z∞ by Markov chain Monte Carlo simulation is investigated in detail. Then the same ideas are applied to the present value Z-∞ = ∫0∞ exp{-∫0tRsds}dYt where Y is an integrable Lévy process and R is an ergodic strong Markov process. Numerical examples are given in both cases to show the efficiency of the Monte Carlo methods.


2013 ◽  
Vol 9 (S298) ◽  
pp. 441-441
Author(s):  
Yihan Song ◽  
Ali Luo ◽  
Yongheng Zhao

AbstractStellar radial velocity is estimated by using template fitting and Markov Chain Monte Carlo(MCMC) methods. This method works on the LAMOST stellar spectra. The MCMC simulation generates a probability distribution of the RV. The RV error can also computed from distribution.


F1000Research ◽  
2016 ◽  
Vol 5 ◽  
pp. 2082 ◽  
Author(s):  
Martin D. King ◽  
Matthew Grech-Sollars

The focus of this study is the development of a statistical modelling procedure for characterising intra-tumour heterogeneity, motivated by recent clinical literature indicating that a variety of tumours exhibit a considerable degree of genetic spatial variability. A formal spatial statistical model has been developed and used to characterise the structural heterogeneity of a number of supratentorial primitive neuroectodermal tumours (PNETs), based on diffusion-weighted magnetic resonance imaging. Particular attention is paid to the spatial dependence of diffusion close to the tumour boundary, in order to determine whether the data provide statistical evidence to support the proposition that water diffusivity in the boundary region of some tumours exhibits a deterministic dependence on distance from the boundary, in excess of an underlying random 2D spatial heterogeneity in diffusion. Tumour spatial heterogeneity measures were derived from the diffusion parameter estimates obtained using a Bayesian spatial random effects model. The analyses were implemented using Markov chain Monte Carlo (MCMC) simulation. Posterior predictive simulation was used to assess the adequacy of the statistical model. The main observations are that the previously reported relationship between diffusion and boundary proximity remains observable and achieves statistical significance after adjusting for an underlying random 2D spatial heterogeneity in the diffusion model parameters. A comparison of the magnitude of the boundary-distance effect with the underlying random 2D boundary heterogeneity suggests that both are important sources of variation in the vicinity of the boundary. No consistent pattern emerges from a comparison of the boundary and core spatial heterogeneity, with no indication of a consistently greater level of heterogeneity in one region compared with the other. The results raise the possibility that DWI might provide a surrogate marker of intra-tumour genetic regional heterogeneity, which would provide a powerful tool with applications in both patient management and in cancer research.


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