Search Results - subject:"Laplace transform"

Response of an Unconfined Sloping Aquifer to Constant Recharge and Seepage from the Stream of Varying Water Level

Bansal, Rajeev; Das, Samir - In: Water Resources Management 25 (2011) 3, pp. 893-911

in the aquifer are obtained by solving the seepage model using Laplace transform. The expressions derived here can …

Persistent link: https://www.econbiz.de/10010794353

Truncation functions and Laplace transform

Yen, Ju-Yi; Yor, Marc - In: Statistics & Probability Letters 81 (2011) 3, pp. 417-419

We note the increase in the parameter c of the symmetrized Laplace transform of a random variable truncated at level c …

Persistent link: https://www.econbiz.de/10008868914

Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift -- Their characteristics and applications

Lochowski, Rafal Marcin - In: Stochastic Processes and their Applications 121 (2011) 2, pp. 378-393

the prices of the asset follows a geometric Brownian motion process. We calculate the Laplace transform with respect to …

Persistent link: https://www.econbiz.de/10008873701

Radial anomalous diffusion in an annulus

Wang, Shaowei; Zhao, Moli; Li, Xicheng - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 20, pp. 3397-3403

In this study, time fractional radial diffusion has been modeled in cylindrical coordinates in order to analyze the anomalous diffusion in an annulus. By using an integral transform technique, the analytical solution of the concentration distribution formula is obtained. The establishing of the...

Persistent link: https://www.econbiz.de/10011062156

Laplace transforms and suprema of stochastic processes

Schürger, Klaus - 2002

can be expressed by the Laplace transform of X. Applying these results of certain first passage times gives explicit …

Persistent link: https://www.econbiz.de/10010263064

Laplace transforms and suprema of stochastic processes

Schürger, Klaus - University of Bonn, Germany - 2002

can be expressed by the Laplace transform of X. Applying these results of certain first passage times gives explicit …

Persistent link: https://www.econbiz.de/10005001488

Comparsion of Solutions of Second Order Linear Differential Equations With Constant Coefficients

Marcel, Abas - In: Research Papers Faculty of Materials Science and … 18 (2010) 28, pp. 151-155

solve them by Laplace transform. On the other hand, some of them are solvable by Laplace transform and are unsolvable by the …

Persistent link: https://www.econbiz.de/10011008374

Comparsion of Solutions of Second Order Linear Differential Equations With Constant Coefficients

Marcel, Abas - In: Research Papers Faculty of Materials Science and … 18 (2010) 28, pp. 151-155

solve them by Laplace transform. On the other hand, some of them are solvable by Laplace transform and are unsolvable by the …

Persistent link: https://www.econbiz.de/10010534206

Perturbed Brownian motion and its application to Parisian option pricing

Dassios, Angelos; Wu, Shanle - In: Finance and Stochastics 14 (2010) 3, pp. 473-494

Persistent link: https://www.econbiz.de/10008456131

PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL

JEANNIN, MARC; PISTORIUS, MARTIJN - In: International Journal of Theoretical and Applied … 13 (2010) 05, pp. 657-681

In this paper, we develop an algorithm to calculate the prices and Greeks of barrier options in a hyper-exponential additive model with piecewise constant parameters. We obtain an explicit semi-analytical expression for the first-passage probability. The solution rests on a randomization and an...

Persistent link: https://www.econbiz.de/10008461848