Matches in SemOpenAlex for { <https://semopenalex.org/work/W58441333> ?p ?o ?g. }
Showing items 1 to 86 of
86
with 100 items per page.
- W58441333 abstract "This paper develops methods for estimating parameters for a generalization of Brownian motion with autoregressive increments called a Brownian ray with drift. We show that a superposition of Brownian rays with drift depends on three types of parameters - a drift coefficient, autoregressive coefficients, and volatility matrix elements, and we introduce methods for estimating each of these types of parameters using multidimensional times series data. We also cover parameter estimation in the contexts of two applications of Brownian rays in the financial sphere: queuing analysis and option valuation. For queuing analysis, we show how samples of queue lengths can be used to estimate the conditional expectation functions for the length of the queue and for increments in its net input and lost potential output. For option valuation, we show how the Black-Scholes-Merton formula depends on the price of the security on which the option is written through estimates not only of its volatility, but also of a coefficient of an autoregressive equation describing its increments." @default.
- W58441333 created "2016-06-24" @default.
- W58441333 creator A5085966820 @default.
- W58441333 date "2011-04-25" @default.
- W58441333 modified "2023-09-27" @default.
- W58441333 title "Parameter Estimation for Generalized Brownian Motion with Autoregressive Increments" @default.
- W58441333 cites W102419346 @default.
- W58441333 cites W13740476 @default.
- W58441333 cites W1582351126 @default.
- W58441333 cites W1997275182 @default.
- W58441333 cites W2016101780 @default.
- W58441333 cites W2067244657 @default.
- W58441333 cites W2114925651 @default.
- W58441333 cites W2131802419 @default.
- W58441333 cites W2160172818 @default.
- W58441333 cites W2160958948 @default.
- W58441333 cites W2611623725 @default.
- W58441333 cites W2800674339 @default.
- W58441333 cites W3203369448 @default.
- W58441333 hasPublicationYear "2011" @default.
- W58441333 type Work @default.
- W58441333 sameAs 58441333 @default.
- W58441333 citedByCount "1" @default.
- W58441333 crossrefType "posted-content" @default.
- W58441333 hasAuthorship W58441333A5085966820 @default.
- W58441333 hasConcept C101615488 @default.
- W58441333 hasConcept C105795698 @default.
- W58441333 hasConcept C108819105 @default.
- W58441333 hasConcept C112401455 @default.
- W58441333 hasConcept C116779161 @default.
- W58441333 hasConcept C149782125 @default.
- W58441333 hasConcept C159877910 @default.
- W58441333 hasConcept C160403385 @default.
- W58441333 hasConcept C199360897 @default.
- W58441333 hasConcept C28826006 @default.
- W58441333 hasConcept C3017618536 @default.
- W58441333 hasConcept C33923547 @default.
- W58441333 hasConcept C41008148 @default.
- W58441333 hasConcept C56739046 @default.
- W58441333 hasConcept C68710425 @default.
- W58441333 hasConcept C85393063 @default.
- W58441333 hasConcept C91602232 @default.
- W58441333 hasConceptScore W58441333C101615488 @default.
- W58441333 hasConceptScore W58441333C105795698 @default.
- W58441333 hasConceptScore W58441333C108819105 @default.
- W58441333 hasConceptScore W58441333C112401455 @default.
- W58441333 hasConceptScore W58441333C116779161 @default.
- W58441333 hasConceptScore W58441333C149782125 @default.
- W58441333 hasConceptScore W58441333C159877910 @default.
- W58441333 hasConceptScore W58441333C160403385 @default.
- W58441333 hasConceptScore W58441333C199360897 @default.
- W58441333 hasConceptScore W58441333C28826006 @default.
- W58441333 hasConceptScore W58441333C3017618536 @default.
- W58441333 hasConceptScore W58441333C33923547 @default.
- W58441333 hasConceptScore W58441333C41008148 @default.
- W58441333 hasConceptScore W58441333C56739046 @default.
- W58441333 hasConceptScore W58441333C68710425 @default.
- W58441333 hasConceptScore W58441333C85393063 @default.
- W58441333 hasConceptScore W58441333C91602232 @default.
- W58441333 hasLocation W584413331 @default.
- W58441333 hasOpenAccess W58441333 @default.
- W58441333 hasPrimaryLocation W584413331 @default.
- W58441333 hasRelatedWork W1776514560 @default.
- W58441333 hasRelatedWork W2018498608 @default.
- W58441333 hasRelatedWork W2032332322 @default.
- W58441333 hasRelatedWork W2057563524 @default.
- W58441333 hasRelatedWork W2161244452 @default.
- W58441333 hasRelatedWork W2490595347 @default.
- W58441333 hasRelatedWork W2779516117 @default.
- W58441333 hasRelatedWork W2902981304 @default.
- W58441333 hasRelatedWork W2912732581 @default.
- W58441333 hasRelatedWork W2969275655 @default.
- W58441333 hasRelatedWork W2971214731 @default.
- W58441333 hasRelatedWork W3003818246 @default.
- W58441333 hasRelatedWork W3005248449 @default.
- W58441333 hasRelatedWork W3013990320 @default.
- W58441333 hasRelatedWork W3099656275 @default.
- W58441333 hasRelatedWork W3122042259 @default.
- W58441333 hasRelatedWork W3122132209 @default.
- W58441333 hasRelatedWork W3122707856 @default.
- W58441333 hasRelatedWork W3123565428 @default.
- W58441333 hasRelatedWork W3128781765 @default.
- W58441333 isParatext "false" @default.
- W58441333 isRetracted "false" @default.
- W58441333 magId "58441333" @default.
- W58441333 workType "article" @default.