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Solution of the space-fractional diffusion equation on bounded domains of superdiffusive phenomena
DA Monroy, EP Raposo - Physical Review E, 2024 - APS
Space-fractional diffusion equations find widespread application in nature. They govern the
anomalous dynamics of many stochastic processes, generalizing the standard diffusion …
anomalous dynamics of many stochastic processes, generalizing the standard diffusion …
Pricing, risk and volatility in subordinated market models
We consider several market models, where time is subordinated to a stochastic process.
These models are based on various time changes in the Lévy processes driving asset …
These models are based on various time changes in the Lévy processes driving asset …
Closed-form option pricing for exponential Lévy models: a residue approach
Exponential Lévy processes provide a natural and tractable generalization of the classic
Black–Scholes–Merton model which account for several stylized features of financial …
Black–Scholes–Merton model which account for several stylized features of financial …
On the quantitative properties of some market models involving fractional derivatives
We review and discuss the properties of various models that are used to describe the
behavior of stock returns and are related in a way or another to fractional pseudo-differential …
behavior of stock returns and are related in a way or another to fractional pseudo-differential …