Hidden geometry of bidirectional grid-constrained stochastic processes
Article
Article Title | Hidden geometry of bidirectional grid-constrained stochastic processes |
---|---|
Article Category | Article |
Authors | Taranto, Aldo (Author) and Khan, Shahjahan (Author) |
Journal Title | Journal of Probability and Statistics |
Journal Citation | 2021, pp. 1-13 |
Article Number | 9944543 |
Number of Pages | 13 |
Year | 2021 |
Publisher | Hindawi Publishing Corporation |
Place of Publication | United Kingdom |
ISSN | 1687-952X |
1687-9538 | |
Digital Object Identifier (DOI) | https://doi.org/10.1155/2021/9944543 |
Web Address (URL) | https://www.hindawi.com/journals/jps/2021/9944543/ |
Abstract | Bidirectional Grid Constrained (BGC) stochastic processes (BGCSPs) are constrained Ito diffusions with the property that the further they drift away from the origin, the more the resistance to movement in that direction they undergo. The underlying characteristics of the BGC parameter Psi(X-t, t) are investigated by examining its geometric properties. The most appropriate convex form for Psi, that is, the parabolic cylinder is identified after extensive simulation of various possible forms. The formula for the resulting hidden reflective barrier(s) is determined by comparing it with the simpler Ornstein-Uhlenbeck process (OUP). Applications of BGCSP arise when a series of semipermeable barriers are present, such as regulating interest rates and chemical reactions under concentration gradients, which gives rise to two hidden reflective barriers. |
Keywords | dimensional random-walk |
Contains Sensitive Content | Does not contain sensitive content |
ANZSRC Field of Research 2020 | 490510. Stochastic analysis and modelling |
490506. Probability theory | |
490399. Numerical and computational mathematics not elsewhere classified | |
Byline Affiliations | School of Sciences |
Institution of Origin | University of Southern Queensland |
https://research.usq.edu.au/item/q6v08/hidden-geometry-of-bidirectional-grid-constrained-stochastic-processes
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