Estimation of relative intensity and relative finality of fBm
Technical report
Title | Estimation of relative intensity and relative finality of fBm |
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Report Type | Technical report |
Authors | |
Author | Addie, Ron |
Institution of Origin | University of Southern Queensland |
Number of Pages | 22 |
Year | 2019 |
Publisher | University of Southern Queensland |
Place of Publication | Toowoomba, 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. |
Keywords | fBm, last exit, simulation, mathematica |
ANZSRC Field of Research 2020 | 490506. Probability theory |
Public Notes | This is a technical report which provides detailed technical information relevant to other publications. |
Byline Affiliations | School of Agricultural, Computational and Environmental Sciences |
https://research.usq.edu.au/item/q5415/estimation-of-relative-intensity-and-relative-finality-of-fbm
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