The returns and risks of investment portfolio in stock market crashes are investigated by considering a theoretical model, based on a modified Heston model with a cubic nonlinearity, proposed by Spagnolo and Valenti. Through numerically simulating probability density function of returns and the...

A time-delayed tumor cell growth model with correlated noises is investigated. In the condition of small delay time, the stationary probability distribution is derived and the stationary mean value (〈x〉st) and normalized varianceλ2 of the tumor cell population and state transition rate (κ)...

The returns and risks of investment portfolio in a financial system was investigated by constructing a theoretical model based on the Heston model. After the theoretical model and analysis of portfolio were calculated and analyzed, we find the following: (i) The statistical properties (i.e., the...

For the multisensor linear discrete system with correlated noises and same measurement matrix, the self-tuning weighted measurement fusion Kalman filtering algorithm is presented when the model parameters and noise variances are all unknown. It can handle the self-tuning fused Kalman filtering,...

The resonance behaviors, such as coherence resonance and stochastic resonance, are studied in a delayed bistable system subject to correlated noises and a weak harmonic excitation. For weak noise intensities and small feedback gains, the analytic expressions of output spectrum and linear...

The effects of correlations between additive and multiplicative noises on the state variable correlation function of a bistable system driven by cross-correlated noises were studied. Applying an approximate Fokker–Planck equation to the system, the analytic expression for the state variable...

Since switching systems are important in research and industry, the article is concerned about the stabilization of fractional order switching systems with the order of 1 q 2 and a time delay actuator. To this end, the so-called system was initially converted to a system with no delay using a...

Implicit in the text-book monopoly is an assumption of complete and instantaneous information or knowledge available to economic agents at free of charge. Under such circumstances, knowing the certain price and cost functions, the monopolist can make an optimal decision of price and output to...

This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a money market account, an ordinary share and a defaultable security are investment opportunities in a general non-Markovian economy incorporating random market parameters. The...

A policy-directed framework is developed to support US Department of Energy (DOE) counterterrorism efforts, specifically terrorist intrusion activities that affect of Environmental Management (EM) programs. The framework is called the Security Effectiveness and Resource Allocation Definition...