Estimation of relative intensity and relative finality of fBm

Technical report

Addie, Ron. 2019. Estimation of relative intensity and relative finality of fBm. Toowoomba, Australia. University of Southern Queensland.
Title

Estimation of relative intensity and relative finality of fBm

Report TypeTechnical report
Authors
AuthorAddie, Ron
Institution of OriginUniversity of Southern Queensland
Number of Pages22
Year2019
PublisherUniversity of Southern Queensland
Place of PublicationToowoomba, Australia
Abstract

This mathematica notebook is based on the one called fBmShiftTransformation10b.nb, which was in turn based on animate/animate3.nb. Section 1 includes basic definitions, Section 2 defines a function which estimates exit probability, for a process with a given down-crossing, by simulation. Section 3 then estimates the last exit density, which is carried out in detail for the cases H=0.75, 0.5, 0.85, and 0.35. Relative finality is found by fitting to the simulations, and this is then used to estimate the last exit density.

KeywordsfBm, last exit, simulation, mathematica
ANZSRC Field of Research 2020490506. Probability theory
Public Notes

This is a technical report which provides detailed technical information relevant to other publications.

Byline AffiliationsSchool of Agricultural, Computational and Environmental Sciences
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