• 제목/요약/키워드: $It{\hat{o}}$ calculus

검색결과 3건 처리시간 0.019초

STOCHASTIC CALCULUS FOR ANALOGUE OF WIENER PROCESS

  • Im, Man-Kyu;Kim, Jae-Hee
    • 한국수학교육학회지시리즈B:순수및응용수학
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    • 제14권4호
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    • pp.335-354
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    • 2007
  • In this paper, we define an analogue of generalized Wiener measure and investigate its basic properties. We define (${\hat}It{o}$ type) stochastic integrals with respect to the generalized Wiener process and prove the ${\hat}It{o}$ formula. The existence and uniqueness of the solution of stochastic differential equation associated with the generalized Wiener process is proved. Finally, we generalize the linear filtering theory of Kalman-Bucy to the case of a generalized Wiener process.

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Stochastic along-wind response of nonlinear structures to quadratic wind pressure

  • Floris, Claudio;de Iseppi, Luca
    • Wind and Structures
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    • 제5권5호
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    • pp.423-440
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    • 2002
  • The effects of the nonlinear (quadratic) term in wind pressure have been analyzed in many papers with reference to linear structural models. The present paper addresses the problem of the response of nonlinear structures to stochastic nonlinear wind pressure. Adopting a single-degree-of-freedom structural model with polynomial nonlinearity, the solution is obtained by means of the moment equation approach in the context of It$\hat{o}$'s stochastic differential calculus. To do so, wind turbulence is idealized as the output of a linear filter excited by a Gaussian white noise. Response statistical moments are computed for both the equivalent linear system and the actual nonlinear one. In the second case, since the moment equations form an infinite hierarchy, a suitable iterative procedure is used to close it. The numerical analyses regard a Duffing oscillator, and the results compare well with Monte Carlo simulation.

Understanding Black-Scholes Option Pricing Model

  • Lee, Eun-Kyung;Lee, Yoon-Dong
    • Communications for Statistical Applications and Methods
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    • 제14권2호
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    • pp.459-479
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    • 2007
  • Theories related to financial market has received big attention from the statistics community. However, not many courses on the topic are provided in statistics departments. Because the financial theories are entangled with many complicated mathematical and physical theories as well as ambiguously stated financial terminologies. Based on our experience on the topic, we try to explain the rather complicated terminologies and theories with easy-to-understand words. This paper will briefly cover the topics of basic terminologies of derivatives, Black-Scholes pricing idea, and related basic mathematical terminologies.