856 resultados para moving boundary
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Magdeburg, Univ., Fak. für Mathematik, kumulative Habil.-Schr., 2011
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Magdeburg, Univ., Fak. für Naturwiss., Diss., 2011
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Moving grate, LEPOL, Particle, Limestone, Decomposition, Clinker, Fluidisation
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Magdeburg, Univ., Fak. für Elektrotechnik und Informationstechnik, Diss., 2010
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Magdeburg, Univ., Fak. für Naturwiss., Diss., 2010
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Magdeburg, Univ., Fak. für Maschinenbau, Diss., 2014
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Magdeburg, Univ., Fak. für Mathematik, Diss., 2015
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Ever since the appearance of the ARCH model [Engle(1982a)], an impressive array of variance specifications belonging to the same class of models has emerged [i.e. Bollerslev's (1986) GARCH; Nelson's (1990) EGARCH]. This recent domain has achieved very successful developments. Nevertheless, several empirical studies seem to show that the performance of such models is not always appropriate [Boulier(1992)]. In this paper we propose a new specification: the Quadratic Moving Average Conditional heteroskedasticity model. Its statistical properties, such as the kurtosis and the symmetry, as well as two estimators (Method of Moments and Maximum Likelihood) are studied. Two statistical tests are presented, the first one tests for homoskedasticity and the second one, discriminates between ARCH and QMACH specification. A Monte Carlo study is presented in order to illustrate some of the theoretical results. An empirical study is undertaken for the DM-US exchange rate.
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In this paper, a new class of generalized backward doubly stochastic differential equations is investigated. This class involves an integral with respect to an adapted continuous increasing process. A probabilistic representation for viscosity solutions of semi-linear stochastic partial differential equations with a Neumann boundary condition is given.
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Boundary equilibrium bifurcations in piecewise smooth discontinuous systems are characterized by the collision of an equilibrium point with the discontinuity surface. Generically, these bifurcations are of codimension one, but there are scenarios where the phenomenon can be of higher codimension. Here, the possible collision of a non-hyperbolic equilibrium with the boundary in a two-parameter framework and the nonlinear phenomena associated with such collision are considered. By dealing with planar discontinuous (Filippov) systems, some of such phenomena are pointed out through specific representative cases. A methodology for obtaining the corresponding bi-parametric bifurcation sets is developed.