Stochastic Processes (stochastik Ii)

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....

Increasing Workload in a Stochastik Environment

We show that a steeply increasing workload before a deadline is compatible with time-consistent preferences. The key departure from the literature is that we consider a stochastic environment where success of effort is not guaranteed. JEL Classification: D91, J22, D81, D11.

Stochastik Ii

Skript zur Vorlesung Stochastik II (FU Berlin, Sommersemester 2012) Vorlesung Stochastik II

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...

Routing of Airplanes to Two Runways: Monotonicity of Optimal Controls Corrected Version

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 ...