Stochastic Processes (stochastik Ii)
نویسندگان
چکیده
منابع مشابه
Continuous Time Approximations to GARCH and Stochastic Volatility Models
We collect some continuous time GARCH models and report on how they approximate discrete time GARCH processes. Similarly, certain continuous time volatility models are viewed as approximations to discrete time volatility models. 1 Stochastic volatility models and discrete GARCH Both stochastic volatility models and GARCH processes are popular models for the description of financial time series....
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Vorwort 2 1 Grundlagen der Maßund Integrationstheorie 2 1.1 Maßproblem, Mengensysteme, Maßraum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 1.2 Konstruktion von (Wahrscheinlichkeits-)Maßen . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 1.3 Integration messbarer Funktionen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 1.4 Konvergenzsätz...
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We consider the problem of routing incoming airplanes to two runways of an airport. Due to air turbulence, the necessary separation time between two successive landing operations depends on the types of the airplanes. When viewed as a queuing problem, this means that we have dependent service times. The aim is to minimize waiting times of aircrafts. We consider here a model where arrivals form ...
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