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A local volatility model, in mathematical finance and financial engineering, is an option pricing model that treats volatility as a function of both the current asset level and of time . As such, it is a generalisation of the Black–Scholes model , where the volatility is a constant (i.e. a trivial function of S t {\displaystyle S_{t}} and t ...
The model specifies that the instantaneous interest rate follows the stochastic differential equation: d r t = a ( b − r t ) d t + σ d W t {\displaystyle dr_{t}=a(b-r_{t})\,dt+\sigma \,dW_{t}} where W t is a Wiener process under the risk neutral framework modelling the random market risk factor, in that it models the continuous inflow of ...
The initial, "prediction" step, starts from a function fitted to the function-values and derivative-values at a preceding set of points to extrapolate ("anticipate") this function's value at a subsequent, new point.
Prognostic equation - in the context of physical (and especially geophysical) simulation, a prognostic equation predicts the value of variables for some time in the future on the basis of the values at the current or previous times.
The residence time distribution function is therefore a Dirac delta function at . A real plug flow reactor has a residence time distribution that is a narrow pulse around the mean residence time distribution. A typical plug flow reactor could be a tube packed with some solid material (frequently a catalyst). Typically these types of reactors ...
The basic form of a linear predictor function () for data point i (consisting of p explanatory variables), for i = 1, ..., n, is = + + +,where , for k = 1, ..., p, is the value of the k-th explanatory variable for data point i, and , …, are the coefficients (regression coefficients, weights, etc.) indicating the relative effect of a particular explanatory variable on the outcome.
In mathematics — specifically, in stochastic analysis — Dynkin's formula is a theorem giving the expected value of any suitably smooth function applied to a Feller process at a stopping time. It may be seen as a stochastic generalization of the (second) fundamental theorem of calculus. It is named after the Russian mathematician Eugene Dynkin.
An important prediction of Chapman–Enskog theory is that viscosity, , is independent of density (this can be seen for each molecular model in table 1, but is actually model-independent). This counterintuitive result traces back to James Clerk Maxwell , who inferred it in 1860 on the basis of more elementary kinetic arguments. [ 11 ]