Stochastic particle methods for the coagulation-fragmentation Smoluchowski equation are developed and a general variance reduction technique is suggested. This method generalizes the mass-flow approach due to H. Babovsky, and has in focus the desired band of the size spectrum. Estimations of the...

We propose a flexible dynamic panel stochastic frontier model with a feasible estimation strategy. The model accommodates individual heterogeneity and allows for an ARMA (p, q) specification of the model's serial correlations. Distribution assumptions are also flexible. The dynamics are...

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the asymptotic hedging error for options under a...

This paper provides a general framework for the quantitative analysis of stochastic dynamic models. We review the convergence properties of some numerical algorithms and available methods to bound approximation errors. We then address the convergence and accuracy properties of the simulated...

Process outputs of many production processes like chemical, food processing and pharmaceutical industry follow a stationary Gaussian process. Some amount of measurement error always present in the measured data due to inaccurate measuring processes. Throughout this paper, we discuss some...