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Volatility Effects on the Escape Time in Financial Market Models

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  1. Koo, Eunho & Kim, Geonwoo, 2017. "Explicit formula for the valuation of catastrophe put option with exponential jump and default risk," Chaos, Solitons & Fractals, Elsevier, vol. 101(C), pages 1-7.
  2. Zhang, Xiaofeng & Yuan, Rong, 2021. "Forward attractor for stochastic chemostat model with multiplicative noise," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
  3. Xing, Dun-Zhong & Li, Hai-Feng & Li, Jiang-Cheng & Long, Chao, 2021. "Forecasting price of financial market crash via a new nonlinear potential GARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  4. Du, Chuanhong & Liu, Licai & Zhang, Zhengping & Yu, Shixing, 2021. "Double memristors oscillator with hidden stacked attractors and its multi-transient and multistability analysis," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).
  5. Yakimov, Arkady V. & Filatov, Dmitry O. & Gorshkov, Oleg N. & Klyuev, Alexey V. & Shtraub, Nikolay I. & Kochergin, Viktor S. & Spagnolo, Bernardo, 2021. "Influence of oxygen ion elementary diffusion jumps on the electron current through the conductive filament in yttria stabilized zirconia nanometer-sized memristor," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).
  6. dos Santos, Maike A.F. & Junior, Luiz Menon, 2021. "Random diffusivity models for scaled Brownian motion," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
  7. Leng, Na & Li, Jiang-Cheng, 2020. "Forecasting the crude oil prices based on Econophysics and Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
  8. Alsuwian, Turki & Kousar, Farhana & Rasheed, Umbreen & Imran, Muhammad & Hussain, Fayyaz & Arif Khalil, R.M. & Algadi, Hassan & Batool, Najaf & Khera, Ejaz Ahmad & Kiran, Saira & Ashiq, Muhammad Naeem, 2021. "First principles investigation of physically conductive bridge filament formation of aluminum doped perovskite materials for neuromorphic memristive applications," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
  9. Han, Ping & Wang, Liang & Xu, Wei & Zhang, Hongxia & Ren, Zhicong, 2021. "The stochastic P-bifurcation analysis of the impact system via the most probable response," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
  10. Zhang, Qingye & Gao, Yan, 2016. "Optimal consumption—portfolio problem with CVaR constraints," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 516-521.
  11. Li, Jiang-Cheng & Tao, Chen & Li, Hai-Feng, 2022. "Dynamic forecasting performance and liquidity evaluation of financial market by Econophysics and Bayesian methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
  12. Gong, Xiao-li & Zhuang, Xin-tian, 2016. "Option pricing and hedging for optimized Lévy driven stochastic volatility models," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 118-127.
  13. Zhou, Wei & Zhong, Guang-Yan & Li, Jiang-Cheng, 2022. "Stability of financial market driven by information delay and liquidity in delay agent-based model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
  14. Zhang, Wenyue & Shi, Peiming & Li, Mengdi & Han, Dongying, 2021. "A novel stochastic resonance model based on bistable stochastic pooling network and its application," Chaos, Solitons & Fractals, Elsevier, vol. 145(C).
  15. Lin, Lifeng & He, Minyue & Wang, Huiqi, 2022. "Collective resonant behaviors in two coupled fluctuating-mass oscillators with tempered Mittag-Leffler memory kernel," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
  16. Setoudeh, F. & Sedigh, A. Khaki, 2021. "Nonlinear analysis and minimum L2-norm control in memcapacitor-based hyperchaotic system via online particle swarm optimization," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).
  17. Mahata, Chandreswar & Kim, Sungjun, 2021. "Electrical and optical artificial synapses properties of TiN-nanoparticles incorporated HfAlO-alloy based memristor," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
  18. Zhong, Guang-Yan & He, Feng & Li, Jiang-Cheng & Mei, Dong-Cheng & Tang, Nian-Sheng, 2019. "Coherence resonance-like and efficiency of financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  19. Mikhaylov, A.N. & Guseinov, D.V. & Belov, A.I. & Korolev, D.S. & Shishmakova, V.A. & Koryazhkina, M.N. & Filatov, D.O. & Gorshkov, O.N. & Maldonado, D. & Alonso, F.J. & Roldán, J.B. & Krichigin, A.V. , 2021. "Stochastic resonance in a metal-oxide memristive device," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
  20. Song, Yi & Xu, Wei, 2021. "Asymmetric Lévy noise changed stability in a gene transcriptional regulatory system," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).
  21. Chen, Ruyin & Ruan, Xiaowei & Wang, Chaojie & Jiang, Luoluo, 2022. "Multiple sawtooth-shape current reversals of traveling wave system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
  22. Deng, Fangyu & Luo, Yuhui & Fang, Yuwen & Yang, Fengzao & Zeng, Chunhua, 2021. "Temperature and friction-induced tunable current reversal, anomalous mobility and diffusions," Chaos, Solitons & Fractals, Elsevier, vol. 147(C).
  23. Zhu, Ping, 2021. "An equivalent analytical method to deal with cross-correlated exponential type noises in the nonlinear dynamic system," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
  24. Surazhevsky, I.A. & Demin, V.A. & Ilyasov, A.I. & Emelyanov, A.V. & Nikiruy, K.E. & Rylkov, V.V. & Shchanikov, S.A. & Bordanov, I.A. & Gerasimova, S.A. & Guseinov, D.V. & Malekhonova, N.V. & Pavlov, D, 2021. "Noise-assisted persistence and recovery of memory state in a memristive spiking neuromorphic network," Chaos, Solitons & Fractals, Elsevier, vol. 146(C).
  25. Wang, Yan & Qi, Kai & Jiang, Daqing, 2021. "An HIV latent infection model with cell-to-cell transmission and stochastic perturbation," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).
  26. Wang, Weiwei & Ralescu, Dan A., 2021. "Valuation of lookback option under uncertain volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
  27. Yang, Jinwoong & Ryu, Hojeong & Kim, Sungjun, 2021. "Resistive and synaptic properties modulation by electroforming polarity in CMOS-compatible Cu/HfO2/Si device," Chaos, Solitons & Fractals, Elsevier, vol. 145(C).
  28. Li, Jiang-Cheng & Xu, Ming-Zhe & Han, Xu & Tao, Chen, 2022. "Dynamic risk resonance between crude oil and stock market by econophysics and machine learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
  29. Kim, Dahye & Kim, Sunghun & Kim, Sungjun, 2021. "Logic-in-memory application of CMOS compatible silicon nitride memristor," Chaos, Solitons & Fractals, Elsevier, vol. 153(P2).
  30. Batra, Luckshay & Taneja, H.C., 2021. "Approximate-Analytical solution to the information measure’s based quanto option pricing model," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
  31. Zhou, Baoquan & Han, Bingtao & Jiang, Daqing, 2021. "Ergodic property, extinction and density function of a stochastic SIR epidemic model with nonlinear incidence and general stochastic perturbations," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
  32. Setoudeh, Farbod & Dousti, Massoud, 2022. "Analysis and implementation of a meminductor-based colpitts sinusoidal oscillator," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
  33. Duan, Wei-Long & Lin, Ling, 2021. "Noise and delay enhanced stability in tumor-immune responses to chemotherapy system," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).
  34. Taheri, Alireza Ghomi & Setoudeh, Farbod & Tavakoli, Mohammad Bagher & Feizi, Esmaeil, 2022. "Nonlinear analysis of memcapacitor-based hyperchaotic oscillator by using adaptive multi-step differential transform method," Chaos, Solitons & Fractals, Elsevier, vol. 159(C).
  35. Ryu, Hojeong & Kim, Sungjun, 2021. "Implementation of a reservoir computing system using the short-term effects of Pt/HfO2/TaOx/TiN memristors with self-rectification," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
  36. Choi, Woo Sik & Jang, Jun Tae & Kim, Donguk & Yang, Tae Jun & Kim, Changwook & Kim, Hyungjin & Kim, Dae Hwan, 2022. "Influence of Al2O3 layer on InGaZnO memristor crossbar array for neuromorphic applications," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
  37. Akgül, Akif & Rajagopal, Karthikeyan & Durdu, Ali & Pala, Muhammed Ali & Boyraz, Ömer Faruk & Yildiz, Mustafa Zahid, 2021. "A simple fractional-order chaotic system based on memristor and memcapacitor and its synchronization application," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
  38. Wu, Anshun & Dong, Yang & Luo, Yuhui & Zeng, Chunhua, 2020. "Fluctuations-induced regime shifts in the Endogenous Credit system with time delay," Chaos, Solitons & Fractals, Elsevier, vol. 134(C).
  39. Rao, Feng & Luo, Junling, 2021. "Stochastic effects on an HIV/AIDS infection model with incomplete diagnosis," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
  40. Yablokov, A.A. & Glushkov, E.I. & Pankratov, A.L. & Gordeeva, A.V. & Kuzmin, L.S. & Il’ichev, E.V., 2021. "Resonant response drives sensitivity of Josephson escape detector," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).
  41. Kousar, Farhana & Rasheed, Umbreen & Khalil, R. M. Arif & Niaz, Niaz Ahmad & Hussain, Fayyaz & Imran, Muhammad & Shakoor, Umema & Algadi, Hassan & Ashiq, Naeem, 2021. "First principles investigation of oxygen vacancies filaments in polymorphic Titania and their role in memristor's applications," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).
  42. Zhang, Qiumei & Jiang, Daqing, 2021. "Dynamics of stochastic predator-prey systems with continuous time delay," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
  43. Park, Jinwoo & Kim, Tae-Hyeon & Kim, Sungjoon & Lee, Geun Ho & Nili, Hussein & Kim, Hyungjin, 2021. "Conduction mechanism effect on physical unclonable function using Al2O3/TiOX memristors," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
  44. Kim, Tae-Hyeon & Kim, Sungjoon & Hong, Kyungho & Park, Jinwoo & Hwang, Yeongjin & Park, Byung-Gook & Kim, Hyungjin, 2021. "Multilevel switching memristor by compliance current adjustment for off-chip training of neuromorphic system," Chaos, Solitons & Fractals, Elsevier, vol. 153(P2).
  45. Dong, Yang & Wen, Shu-hui & Hu, Xiao-bing & Li, Jiang-Cheng, 2020. "Stochastic resonance of drawdown risk in energy market prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
  46. Agudov, N.V. & Dubkov, A.A. & Safonov, A.V. & Krichigin, A.V. & Kharcheva, A.A. & Guseinov, D.V. & Koryazhkina, M.N. & Novikov, A.S. & Shishmakova, V.A. & Antonov, I.N. & Carollo, A. & Spagnolo, B., 2021. "Stochastic model of memristor based on the length of conductive region," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
  47. Ko, Bonggyun & Song, Jae Wook, 2018. "A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 398-412.
  48. Setoudeh, Farbod & Dezhdar, Mohammad Matin & Najafi, M., 2022. "Nonlinear analysis and chaos synchronization of a memristive-based chaotic system using adaptive control technique in noisy environments," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).
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