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Extremal Distribution for the Discrete 5-convex Stochastic Ordering and Applications
s-convex order moment space extremal distribution branching process Lundberg's coeffici
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2011/11/9
In this paper, motivated by the idea from Courtois and Denuit et al.(2006), we derive extremal distribution for the discrete 5-convex stochastic ordering. As applications,We improve lower and upper bo...
Description of stochastic and chaotic series using visibility graphs
Data Analysis, Statistics and Probability (physics.data-an) Chaotic Dynamics (nlin.CD)
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2010/11/10
Nonlinear time series analysis is an active field of research that studies the structure of complex signals in order to derive information of the process that generated those series, for understanding...
Mixed-Mode Oscillations in a Stochastic, Piecewise-Linear System
Dynamical Systems (math.DS) Chaotic Dynamics (nlin.CD)
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2010/11/10
We analyze a piecewise-linear FitzHugh-Nagumo model. The system exhibits a canard near which both small amplitude and large amplitude periodic orbits exist. The addition of small noise induces mixed-m...
Small-time asymptotics for fast mean-reverting stochastic volatility models
Stochastic volatility multi-scale asymptotic large deviation principle implied volatility smile/skew
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2010/12/15
In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor.