Dynamic discount rate through Ornstein-Uhlenbeck process for mining project valuation
نویسندگان
چکیده
منابع مشابه
Ornstein - Uhlenbeck Process
Also, a process {Yt : t ≥ 0} is said to have independent increments if, for all t0 < t1 < . . . < tn, the n random variables Yt1 − Yt0 , Yt2 − Yt1 , ..., Ytn − Ytn−1 are independent. This condition implies that {Yt : t ≥ 0} is Markovian, but not conversely. The increments are further said to be stationary if, for any t > s and h > 0, the distribution of Yt+h− Ys+h is the same as the distributio...
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Langevin-like equations have been studied in the presence of arbitrary noise. The characteristic functional of the generalized Langevin process has been built up. Exact results for all cumulants are given. Particular stress has been put on the Campbell, dichotomous and radioactive decay noises. Transient relaxation, susceptibility and diffusion constants for different (noisy) media have been sk...
متن کاملOrnstein - Uhlenbeck Process Steven Finch
Also, a process {Yt : t ≥ 0} is said to have independent increments if, for all t0 < t1 < . . . < tn, the n random variables Yt1 − Yt0 , Yt2 − Yt1 , ..., Ytn − Ytn−1 are independent. This condition implies that {Yt : t ≥ 0} is Markovian, but not conversely. The increments are further said to be stationary if, for any t > s and h > 0, the distribution of Yt+h− Ys+h is the same as the distributio...
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The thesis is devoted to the study of solutions to the following linear recursion: Xn+1 = γXn + ξn, where γ ∈ (0, 1) is a constant and (ξn)n∈Z is a stationary and ergodic sequence of normal variables with random means and variances. More precisely, we assume that ξn = μn + σnεn, where (ε)n∈Z is an i.i.d. sequence of standard normal variables and (μn, σn)n∈Z is a stationary and ergodic process i...
متن کاملDiscrete-time Ornstein-Uhlenbeck process in a stationary dynamic environment
We study the stationary solution to the recursion Xn+1 = γXn+ξn, where γ ∈ (0, 1) is a constant and ξn are Gaussian variables with random parameters. Specifically, we assume that ξn = μn + σnεn, where (ε)n∈Z is an i.i.d. sequence of standard normal variables and (μn, σn)n∈Z is a stationary and ergodic process independent of (εn)n∈Z, which serves as an exogenous dynamic environment for the model...
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ژورنال
عنوان ژورنال: IOP Conference Series: Earth and Environmental Science
سال: 2018
ISSN: 1755-1315
DOI: 10.1088/1755-1315/212/1/012058