Bi-Directional Grid Constrained Stochastic Processes' Link to Multi-Skew Brownian Motion
Article
Article Title | Bi-Directional Grid Constrained Stochastic Processes' Link to Multi-Skew Brownian Motion |
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ERA Journal ID | 41643 |
Article Category | Article |
Authors | Taranto, Aldo (Author), Addie, Ron (Author) and Khan, Shahjahan (Author) |
Journal Title | Journal of Applied Probability and Statistics |
Journal Citation | 17 (1), pp. 101-133 |
Number of Pages | 33 |
Year | 2022 |
Publisher | Islamic Countries Society of Statistical Sciences (ISOSS) |
Place of Publication | Pakistan |
ISSN | 1930-6792 |
Web Address (URL) | http://japs.isoss.net/April22.htm |
Abstract | Bi-directional grid constrained (BGC) stochastic processes (BGCSPs) are identified as a variant rather than a special case of the multi-skew Brownian motion (M-SBM). This is because they have their own complexities, such as the barriers being hidden (not known in advance) and not necessarily constant over time. We provide a M-SBM theoretical framework and also a simulation framework to elaborate deeper properties of BGCSPs. The simulation framework is then applied by generating numerous simulations of the constrained paths and the results are analysed. BGCSPs have applications in finance and indeed many other fields requiring graduated constraining, from both above and below the initial starting position. |
Keywords | Wiener Processes, Ito Processes, Reflecting Barriers, Stochastic Differential Equation (SDE), Stopping Times, First Passage Time (FPT), Multi-Skew Brownian Motion (M-SBM) |
ANZSRC Field of Research 2020 | 490510. Stochastic analysis and modelling |
490503. Computational statistics | |
490506. Probability theory | |
Public Notes | Files associated with this item cannot be displayed due to copyright restrictions. |
Byline Affiliations | School of Mathematics, Physics and Computing |
Institution of Origin | University of Southern Queensland |
https://research.usq.edu.au/item/q753w/bi-directional-grid-constrained-stochastic-processes-link-to-multi-skew-brownian-motion
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