We investigate arbitrary stochastic partial differential equations subject to translation invariant and temporally white noise correlations from a nonperturbative framework. The method that we expose first casts the stochastic equations into a functional integral form, then it makes use of the...

We present the results of experimental study of an intensive source of wide-band 1/f noise whose generation appears in a system of two interacting nonequilibrium phase transitions. Such a process has been realized in the region of superposition of a superconductor–normal conductor phase...

Starting from the developed generalized point process model of 1/f noise [B. Kaulakys et al., Phys. Rev. E 71 (2005) 051105] we derive the nonlinear stochastic differential equations for the signal exhibiting 1/fβ noise and 1/xλ distribution density of the signal intensity with different...

We present a derivative pricing and estimation methodology for a class of stochastic volatility models that exploits the observed 'bursty' or persistent nature of stock price volatility. Empirical analysis of high-frequency S&P 500 index data confirms that volatility reverts slowly to its mean...

It is shown that, asymptotically, the behavior of a system of one-dimensional stochastic equations is the same whether one starts with a stationary solution or some initial state.

We present a derivative pricing and estimation methodology for a class of stochastic volatility models that exploits the observed 'bursty' or persistent nature of stock price volatility. Empirical analysis of high-frequency S&P 500 index data confirms that volatility reverts slowly to its mean...

Mastering the underlying characteristics of carbon price changes can help governments formulate correct policies to keep efficient operation of carbon markets, and investors take effective measures to evade their investment risks. Empirical mode decomposition (EMD), a self-adaption data analysis...

We consider models for the valuation of derivative securities that depend on foreign exchange rates. We derive partial differential equations for option prices in an arbitrage-free market with stochastic volatility. By use of standard techniques, and under the assumption of fast mean reversion...

Environmental assessment needs of Decision Support Systems (DSSs) able to consider several aspects in a unique analysis framework. The complexity of interaction among ecological, economic and political variables and a widespread lack of data availability lead to difficulty in bringing together...