This paper provides a nonparametric model of multi-step ahead forecasting in diffusion processes. The model is constructed from the local linear model with the Gaussian kernel. The paper provides simulation studies to evaluate its performance of multi-step ahead forecasting by comparing with the...

We analyze, by means of the nonparametric estimation of the hazard function, the distribution of the earthquake occurrences in two regions of Spain. First, we present the method of estimation and the framework, and next we compare the seismic risk in the region of Galicia (northwest of Spain)...

The dynamical hysteresis is studied in the kinetic Ising model in the presence of a sinusoidal magnetic field both by Monte Carlo simulation and by solving the dynamical mean-field equation for the averaged magnetisation. The frequency variations of the dynamic coercive field are studied below...

The simulation of the Libor Market Model (LMM) is extensively studied in the framework of quantum finance. The imperfectly correlated Libor rates are simulated based on a Gaussian quantum field and a recursion equation of nontrivial stochastic drift. The Libor options are studied using both the...

The standard Dickey–Fuller (DF) test is routinely employed to analyse the integrated nature of economic and financial time series. However, recent research has shown the test to suffer severe size distortion in the presence of breaks in innovation variance under the unit root null hypothesis....

The Penna bit-string model of biological aging is implemented on a square lattice. Hence, there is no need to manipulate the population size by the Verhulst factor. Instead, the spatial lattice relations between neighboring individuals are considered. Mortality obtained in the lattice asexual...

The configurational entropy of straight rigid rods of length k (k-mers) adsorbed on square, honeycomb, and triangular lattices is studied by combining theory and Monte Carlo (MC) simulations in grand canonical and canonical ensembles. Three theoretical models to treat k-mer adsorption on...

Phase behaviors of argon in several types of cylindrical and slit pores are examined by grand-canonical Monte Carlo simulations. Condensation processes in single- and multi-walled carbon nanotubes along with those in hard-wall tubes are compared. Effects of the pore size on pressure–tensor...

Crack growth in an anisotropically rolled thin plate, which contains many initial defects, is investigated by Monte Carlo simulation on a square lattice. Each initial defect is assumed to have two crack tips like the Griffith crack and the effect of anisotropy of a medium on crack growth...

Consider two species that diffuse through space. Consider further that they differ only in initial densities and, possibly, in diffusion constants. Otherwise they are identical. What happens if they compete with each other in the same environment? What is the influence of the discrete nature of...