Time-delayed stochastic volatility model
type: Item
instance of: scholarly article
title: Time-delayed stochastic volatility model
zbMATH Open document ID: 1483.91219
author: Hyeong-Ohk Bae
author: Seung-Yeal Ha
author: Myeongju Kang
author: Hyuncheul Lim
author: Yongsik Kim
author: Jane Yoo
published in: Physica D
publication date: 2022-02-22T00:00:00Z
Mathematics Subject Classification ID: 91G15
zbMATH DE Number: 7479427
zbMATH Keywords: aggregation
zbMATH Keywords: Cucker-Smale mechanism
zbMATH Keywords: flocking
zbMATH Keywords: regime-switching
zbMATH Keywords: time-delay
MaRDI profile type: Publication
full work available at URL: j.physd.2021.133088
OpenAlex ID: W3214592727
cites work: A new model for self-organized dynamics and its flocking behavior
cites work: What is life? A perspective of the mathematical kinetic theory of active particles
cites work: Emergent Behavior in Flocks
cites work: MULTISCALE BIOLOGICAL TISSUE MODELS AND FLUX-LIMITED CHEMOTAXIS FOR MULTICELLULAR GROWING SYSTEMS
cites work: Vehicular traffic, crowds, and swarms: From kinetic theory and multiscale methods to applications and research perspectives
cites work: A Cucker--Smale Model with Noise and Delay
cites work: Flocking of multi-agents with time delay
cites work: Nonlocality of reaction-diffusion equations induced by delay: biological modeling and nonlinear dynamics
cites work: Global Stability of a Biological Model with Time Delay
cites work: On the Use of Delay Equations in Engineering Applications
cites work: Kalman filtering for multiple time-delay systems
cites work: Q5423050
cites work: A stochastic delay financial model
cites work: A simple chaotic delay differential equation
cites work: Modifications of the optimal velocity traffic model to include delay due to driver reaction time
cites work: Stability of Traffic Flow Behavior with Distributed Delays Modeling the Memory Effects of the Drivers
cites work: Cucker-Smale model with normalized communication weights and time delay
cites work: Modeling and pricing of swaps for financial and energy markets with stochastic volatilities
cites work: Pricing variance swaps for stochastic volatilities with delay and jumps
cites work: On the difficult interplay between life, ``complexity'', and mathematical sciences
cites work: Fokker–Planck equations in the modeling of socio-economic phenomena
cites work: Sociophysics: A new approach of sociological collective behaviour. I. mean‐behaviour description of a strike
cites work: A mathematical model for volatility flocking with a regime switching mechanism in a stock market
cites work: Q4372026
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
cites work: Multivariate Stochastic Variance Models
cites work: Q3680030
cites work: A simple proof of the Cucker-Smale flocking dynamics and mean-field limit
cites work: Modeling and Forecasting Realized Volatility
cites work: A constrained consensus based optimization algorithm and its application to finance
DOI: 10.1016/J.PHYSD.2021.133088
description: scientific article; zbMATH DE number 7479427