EDN

Understanding stochastic process disturbances and the discrete time domain

Editor's note: As the following article is a chapter (Chapter 8) from David Koenig's book, Practical Control Engineering: Guide for Engineers, Managers, and Practitioners (MATLAB Examples) (McGraw ...
Risk

Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous-time mean–variance asset allocation under stochastic volatility

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...
Risk

Modeling energy spreads with a generalized novel mean-reverting stochastic process

The spread between two related energy prices is a very important quantity throughout energy finance. Of particular interest are spreads between different energy types, different delivery points ...
JSTOR Daily

A Finite-State Continuous-Time Approach for Inferring Regional Migration and Mortality Rates from Archival Tagging and Conventional Tag-Recovery Experiments

Spatially structured population dynamics models are important management tools for harvested, highly mobile species and although conventional tag recovery experiments remain useful for estimation of ...