This paper proposes a Gaussian estimator for nonlinear continuous time models of the short-term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the...

We analyze an anisotropic fractional diffusion equation that extends some known diffusion equations by considering a diffusion coefficient with spatial and time dependence, the presence of external forces and time fractional derivatives. We obtain new exact classes of solutions for a linear...

The projection operator method is applied to isotropic random flow field. This application derives a model of a time correlation function with no assumption, and allows for quantitative evaluations of the nonlinear diffusion near initial time. We confirm that for wide range of Reynolds number,...

A motility mechanism based on a simple exclusion process, where the probability of movement of an agent depends on the number of unoccupied nearest-neighbor sites is considered. Such interacting agents are termed myopic. This problem is an extension of the famous blind or myopic ant in a...

Liquid fuel cells operated at room-temperature are promising candidates for the next-generation of power sources for microelectronic devices. Enabling high-concentrated or even neat fuel operation of fuel cells, which is currently limited by adverse fuel crossover through membrane, could...

A time-varying autoregression is considered with a similarity-based coefficient and possible drift. It is shown that the random walk model has a natural interpretation as the leading term in a small-sigma expansion of a similarity model with an exponential similarity function as its...

We consider a general nonlinear diffusion, typified by those deriving from Fitzhugh–Nagumo or Hindmarsh–Rose models of nerve-cell dynamics, perturbed also by 2-parameter white noise. In order to investigate the effects of the nonlinearity, we find for general boundary conditions the mean to...

We show by explicit closed form calculations that a Hurst exponent H≠12 does not necessarily imply long time correlations like those found in fractional Brownian motion (fBm). We construct a large set of scaling solutions of Fokker–Planck partial differential equations (pdes) where H≠12....

In a recent paper, Bauschke et al. study ρ\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\rho...