A study of maximizing skew Brownian motion with applications to option pricing

Article Thermodynamics

ENERGY AND MASS TRANSFER ANALYSIS OF 3-D BOUNDARY-LAYER FLOW OVER A ROTATING DISK WITH BROWNIAN MOTION AND THERMO-PHORETIC EFFECTS

Khuram Rafique et al.

Summary: This article investigates the boundary-layer flow of nanofluid over a rotating disk, taking into account chemical reaction and thermal radiation effects. The study reveals that the energy and mass transport rates of nanofluids are influenced by Brownian motion and thermophoretic factors.

THERMAL SCIENCE (2022)

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Article Mathematics, Applied

Resolution of the skew Brownian motion equations with stochastic calculus for signed measures

Fulgence Eyi Obiang

Summary: The paper is divided into two parts, with the first part contributing to the theory of stochastic calculus for signed measures, characterizing martingales and Brownian motion under signed measures, as well as studying uniformly integrable martingales and the class Σ(H). The second part focuses on constructing solutions for the homogeneous and inhomogeneous skew Brownian motion equations, utilizing techniques and results developed in the first part and inspired by previous methods.

STOCHASTIC ANALYSIS AND APPLICATIONS (2021)

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Article Engineering, Multidisciplinary

Bond and Option Prices under Skew Vasicek Model with Transaction Cost

Hossein Samimi et al.

Summary: This study focuses on European option pricing on zero-coupon bonds using the Skew Vasicek model to predict interest rates. By incorporating skew Brownian motion as a random component and constructing a portfolio containing options and bonds, the research establishes an analytical formula for pricing and demonstrates superior predictive results compared to other models. Transaction costs are introduced to the portfolio due to the non-martingale nature of skew Brownian motion, with the time between trades following an exponential distribution. Numerical results confirm the efficiency of the proposed model.

MATHEMATICAL PROBLEMS IN ENGINEERING (2021)

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Article Mathematics, Applied

Evans model for dynamic economics revised

Ji-Huan He et al.

Summary: This paper argues that economic phenomena should be observed in two different scales, and economic laws are scale-dependent. It proposes the concept of two-scale price dynamics and establishes a fractal variational theory for profit maximization. The paper explores the application of the Lagrange multiplier method to solve complex economic problems.

AIMS MATHEMATICS (2021)

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Article Neurosciences