For stochastic systems with discrete time delay, the Fokker–Planck equation (FPE) of the
one-time probability density function (PDF) does not provide a complete, self-contained …

We consider a finite element approximation of a general semi-linear stochastic partial
differential equation (SPDE) driven by space-time multiplicative and additive noise. We …

In commodity futures pricing models, the commodity present price is generally considered to
reflect all information in the markets and past information is not regarded important …

In this work, we approach the solution of a differential problem for pricing commodity futures
when the spot price follows a stochastic diffusion process with memory, that is, it depends on …

The nonequilibrium behavior of nanoscopic and biological systems, which are typically
strongly fluctuating, is a major focus of current research. Lately, much progress has been …

This work introduces a new stochastic volatility model with delay parameters in the volatility
process, extending the Barndorff–Nielsen and Shephard model. It establishes an analytical …

Although the concept of symmetry is widely used in many fields, it is almost not discussed in
finance. This concept appears to be relevant in relation, for example, to mathematical …

Stochastic functional differential equation (SFDE) with constant delay has been used for
modelling the price of a firm and European option. However, we can find some weak points …

This paper aims to present how to estimate a model parameter, namely the fixed rate of the
investment return in the stochastic delay difference equation in financial time series using …

This thesis focuses on delay in time series data. The first delay involves the m-delay
autoregressive model. This approach considers only the first and the last previous …