A Realistic Continuous-Time Option Pricing Target for Discrete-Time Option Replication in Frictional Capital Market

2010 ◽  
Author(s):  
Chen Guo
Keyword(s):  
Option Pricing ◽  
Discrete Time ◽  
Capital Market ◽  
Continuous Time

Design of Programmable Wideband Low Pass Filter with Continuous-Time/Discrete-Time Hybrid Architecture

2017 ◽  
Vol E100.C (10) ◽  
pp. 858-865 ◽  
Author(s):  
Yohei MORISHITA ◽  
Koichi MIZUNO ◽  
Junji SATO ◽  
Koji TAKINAMI ◽  
Kazuaki TAKAHASHI
Keyword(s):  
Discrete Time ◽  
Continuous Time ◽  
Hybrid Architecture ◽  
Pass Filter ◽  
Low Pass Filter ◽  
Low Pass

scholarly journals Time to Intervene: A Continuous-Time Approach to Network Analysis and Centrality

Psychometrika ◽  
2021 ◽  
Author(s):  
Oisín Ryan ◽  
Ellen L. Hamaker
Keyword(s):  
Network Analysis ◽  
Discrete Time ◽  
Continuous Time ◽  
Centrality Measures ◽  
Time Interval ◽  
Direct Effects ◽  
Network Approach ◽  
Var Models ◽  
Auto Regressive ◽  
Conceptual Shift

AbstractNetwork analysis of ESM data has become popular in clinical psychology. In this approach, discrete-time (DT) vector auto-regressive (VAR) models define the network structure with centrality measures used to identify intervention targets. However, VAR models suffer from time-interval dependency. Continuous-time (CT) models have been suggested as an alternative but require a conceptual shift, implying that DT-VAR parameters reflect total rather than direct effects. In this paper, we propose and illustrate a CT network approach using CT-VAR models. We define a new network representation and develop centrality measures which inform intervention targeting. This methodology is illustrated with an ESM dataset.

On quasi-stationary distributions in absorbing continuous-time finite Markov chains

1967 ◽  
Vol 4 (1) ◽  
pp. 192-196 ◽  
Author(s):  
J. N. Darroch ◽  
E. Seneta
Keyword(s):  
Markov Chains ◽  
Discrete Time ◽  
Continuous Time ◽  
Present Note ◽  
Time Parameter ◽  
Stationary Distributions ◽  
Finite State ◽  
Absorbing Markov Chains ◽  
Finite Markov Chains ◽  
Finite State Space

In a recent paper, the authors have discussed the concept of quasi-stationary distributions for absorbing Markov chains having a finite state space, with the further restriction of discrete time. The purpose of the present note is to summarize the analogous results when the time parameter is continuous.

The Design of Optimum Controllers for Linear Processes With Energy Limitations

1963 ◽  
Vol 85 (2) ◽  
pp. 181-192 ◽  
Author(s):  
Bernard Friedland
Keyword(s):  
Energy Consumption ◽  
Discrete Time ◽  
Continuous Time ◽  
Analog Computer ◽  
Minimum Time ◽  
Linear Processes

A special-purpose analog computer which can be used as the optimum controller for linear processes with energy-limited control inputs is described. The computer may be used to force the process state to a desired state in minimum time; or to minimize the terminal error at a specified time; or to minimize the energy consumption, if the error can be reduced to zero in the specified time. Continuous-time and discrete-time processes are both considered.

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