Brownian motion and stochastic flow systems. Wiley series inrprobability and mathematical statistics. Applied probability and statistics, ISSN. 0271-6232.Brownian motion is the seemingly random movement of particles suspended in a fluid or a. stochastic flow systems would be presented in this report.Harrison, J. Brownian motion and stochastic flow systems II. Originally published: New York : Wi...

This paper generalizes earlier work by G. Larcher and the author about hedging with short-term futures contracts, a problem which was considered in connection with the debacle of the German company Metallgesellschaft. While the original problem corresponded to the simplest possible model for the price process, i.e. Brownian motion, we give here solutions to more general models, i.e. a mean reve...

The problem of steady Magnetohydrodynamic boundary layer flow of an electrically conducting nanofluid due to an exponentially permeable stretching sheet with heat source/sink in presence of thermal radiation is numerically investigated. The effect of transverse Brownian motion and thermophoresis on heat transfer and nano particle volume fraction considered. The governing partial differential eq...

We review all recent contributions to the literature on stochastic processes. In particular, the Relativistic OrnsteinUhlenbeck Process is presented in detail, as is the intrinsic Brownian motion studied by Franchi and Le Jan. The Relativistic Brownian Motion of Dunkel and Hänggi is also reviewed, together with a model introduced by Oron and Horwitz. We finally suggest some possible future deve...

We work out the relation between Chern-Simons, 2d Yang-Mills on the cylinder, and Brownian motion. We show that for the unitary, orthogonal and symplectic groups, various observables in Chern-Simons theory on S3 and lens spaces are exactly given by counting the number of paths of a Brownian particle wandering in the fundamental Weyl chamber of the corresponding Lie algebra. We construct a fermi...

In the present paper, the classical Brownian motion of a particle suspended in an homogeneous liquid is modeled as a piecewise–deterministic Markov process with state space inculding position as well as velocity of the particle in motion. This model is less idealized than the classical Wiener or Ornstein–Uhlenbeck processes. It leads to more complex expressions for the transition densities, but...

In this paper we develop a stochastic version of a dynamic Cournot model. The model is dynamic because firms are slow to adjust output in response to changes in their economic environment. The model is stochastic because management may make errors in identifying the best course of action in a dynamic setting. We capture these behavioral errors with Brownian motion. The model demonstrates that t...

The geometric Brownian motion (GBM) model is a mathematical that has been used to asset price paths. By incorporating Hurst parameter GBM characterize long-memory phenomenon, the fractional (GFBM) was introduced, which allows its disjoint increments be correlated. This paper investigates accuracy of and GFBM in modelling Malaysia’s crude palm oil simulation, see display persistent or anti-persi...