Nonlinear Compartment Models with Time-Dependent Parameters

Models Nonlinear by Parameters

In this work we spoke about the method of construction of models nonlinear by parameters with solution of system of nonlinear algebraic equations by combination of methods. We observed that method of shortest downhill is though universal, but rough for obtaining amplified values, we can use more subtle NewtonRafson’s method but we must take into account initial meanings of parameters rather clo...

Option Risk Measurement with Time-dependent Parameters

In value-at-risk (VaR) methodology of option risk measurement, the determination of market values of the current option positions under various market scenarios is critical. Under the full revaluation and factor sensitivity approach which are accepted by regulators, accurate revaluation and precise factor sensitivity calculation of options in response to significant moves in market variables ar...

Supply disruptions with time-dependent parameters

We consider a firm that faces random demand and receives product from a single supplier who faces random supply. The supplier’s availability may be affected by events such as storms, strikes, machine breakdowns, and congestion due to orders from its other customers. In our model, we consider a dynamic environment: the probability of disruption, as well as the demand intensity, can be time depen...

Nonlinear time series models and weakly dependent innovations

This paper provides a strict stationarity proof for general nonlinear regression models. In particular, it shows the existence of a strictly stationary solution to first order dynamic nonlinear models when the innovations are only assumed to satisfy a strict stationarity or strong mixing condition. The results of this paper can be applied to show the strict stationarity of threshold unit root m...

Space-time models with time-dependent covariates