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Browsing 01 Mathematical Sciences by Title

Now showing items 314-333 of 518

On Distributions Of First Passage Times And Optimal Stopping Of Ar(1) Sequences

Novikov Alex (Siam Publications, 2009)

Sufficient conditions for the exponential boundedness of first passage times of autoregressive (AR(1)) sequences are derived in this paper. An identity involving the mean of the first passage time is obtained. Further, ...
On EWMA procedure for detection of a change in observation via Martingale approach

Sukparungsee Saowanit; Novikov Alex (King Mongkut's Institute of Technology, Ladkrabang, Thailand, 2006)

Using martingale technique, we present analytic approximations and exact lower bounds for the expectation of the first passage times of an Exponentially Weighted Moving Average (EWMA) procedure used for monitoring changes ...
On exit times of Levy-driven Ornstein-Uhlenbeck processes

Borovkov Kostya; Novikov Alex (Elsevier B.V., 2008)

We prove two martingale identities which involve exit times of Levy-driven Ornstein-Uhlenbeck processes. Using these identities we find an explicit formula for the Laplace transform of the exit time under the assumption ...
On filtering in Markovian term structure models: an approximation approach

Pasquali Sara; Chiarella Carl; Runggaldier Wolfgang (Australasian Medical Publishing Company, 2003)

We consider a parametrization of the Heath-Jarrow-Morton (HJM) family of term structure of interest rate models that allows a finite-dimensional Markovian representation of the stochastic dynamics. This parametrization ...
On nonlinear models of markets with finite liquidity: Some cautionary notes

Glover Kristoffer; Duck Peter; Newton David (SIAM Publishing, 2010)

The recent financial crisis and related liquidity issues have illuminated an urgent need for a better understanding of the effects of limited liquidity on all aspects of the financial system. This paper considers such ...
On perfect totient numbers

Iannucci Douglas; Moujie Deng; Cohen Graeme (University of Waterloo, Ontario, Canada, 2003)
ON PRODUCT DIFFERENCE FIBONACCI IDENTITIES

Melham Ray (Walter de Gruyter GmbH & Co. KG, 2011)

Simson's identity is a well-known Fibonacci identity in which the difference of certain order 2 products has a particularly pleasing form. Other old and beautiful identities of a similar nature are attributed to Catalan, ...
On Reciprocal Sums of Chebyshev Related Sequences

Melham Ray; Shannon Anthony (Fibonacci Assoc, 1995)
On semiparametric regression with O'Sullivan penalised splines

Wand Matt; Ormerod J. (Blackwell Publishing Ltd, 2008)

An exposition on the use of O'Sullivan penalized splines in contemporary semiparametric regression, including mixed model and Bayesian formulations, is presented. O'Sullivan penalized splines are similar to P-splines, but ...
On some reciprocal sums of Brousseau: An alternative approach to that of Carlitz

Melham Ray (Fibonacci Association, 2003)
On Sums of Powers of Terms in a Linear Recurrence

Melham Ray (European Mathematical Society Publishing House, 1999)

ON SUMS OF POWERS OF TERMS IN A LINEAR RECURRENCE
On the attractivity of a class of homogeneous dynamic economic systems

Rychlik Marek; Li Weiye; Chiarella Carl; Szidarovszky Ferenc (Elsevier, 2004)

The attractivity properties of the set of equilibria of a special class of homogeneous dynamic economic systems are examined. The nonlinearity of the models and the presence of eigenvalues with zero real parts make the ...
On the cloaking effects Association iated with anomalous localized resonance

Milton Graeme; Nicorovici Nicolae (Royal Society, 2007)
On The Complemented Disk Algebra

Li Sanjiang; Li Yuefeng (Elsevier Science Inc, 2006)

The importance of relational methods in temporal and spatial reasoning has been widely recognised in the last two decades. A quite large part of contemporary spatial reasoning is concerned with the research of relation ...
On the definition of Bilevel Linear Programming

Zhang Guangquan; Shi Chenggen; Lu Jie (Elsevier, 2001)

Linear bilevel programming theory has been studied for many years by a number of researchers from different aspects, yet it still remains to some extent unsatisfactory and incomplete. The main challenge is how to solve ...
On the distributional characterization of daily log-returns of a world stock index

Platen Eckhard; Fergusson Kevin (Routledge Journals, Taylor and Francis Ltd, 2006)

In this paper distributions are identified which suitably fit log-returns of the world stock index when these are expressed in units of different currencies. By searching for (I best fit in the class of symmetric generalized ...
On The Equivalence Of Lie Symmetries And Group Representations

Craddock Mark; Dooley A (Academic Press Inc Elsevier Science, 2010)

We consider families of linear, parabolic PDEs in n dimensions which possess Lie symmetry groups of dimension at least four. We identify the Lie symmetry groups of these equations with the (2n+1)-dimensional Heisenberg ...
On the General Linear Recurrence Relation

Melham Ray; Jennings Derek (Fibonacci Accos, 1995)
On the number of distinct prime factors of an odd perfect number

Sorli Ronald; Cohen Graeme (Elsevier, 2007)

It is not known whether or not there exists an odd perfect number. We describe an algorithmic approach for showing that if there is an odd perfect number then it has t distinct prime factors. and we discuss its application ...
On the representation of certain reals via the golden ratio

Melham Ray (Fibonacci Association, 2010)

Taking the reciprocal of the golden ratio and summing its non-negative integer powers, we obtain a series that converges. We then consider series obtained by striking out terms of this series, proving key theorems about ...

Now showing items 314-333 of 518

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