WoS İndeksli Yayınlar Koleksiyonu

Permanent URI for this collectionhttps://hdl.handle.net/20.500.12416/8653

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Subject: search.filters.subject.Stochastic Processes

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  • Article
    Unit Root Testing in the Presence of Mean Reverting Jumps: Evidence From US T-Bond Yields
    (Walter de Gruyter GmbH, 2019) Ilalan, Deniz; Ozel, Ozgur
    Mean reversion of financial data, especially interest rates is often tested by linear unit root tests. However, there are times where linear unit root test results can be misleading especially when mean reverting jump formations are at stage. Considering this framework, we provide a new unit root testing methodology and compute its asymptotic critical values via Monte Carlo simulation. Moreover, we numerically compare the power of this generalized mean reversion test with the pioneering linear unit root test in the literature namely the Augmented Dickey Fuller (ADF) test. We deduce that our test is a refinement of ADF test with a higher power. Weapply our findings to US 10-year Treasury bond yields. We aim to shed light to the discussion among researchers whether interest rates can sometimes revert to a long-term constant mean or not from an unorthodox point of view.
  • Article
    Citation - WoS: 28
    Citation - Scopus: 27
    Competitive Numerical Analysis for Stochastic Hiv/Aids Epidemic Model in a Two-Sex Population
    (inst Engineering Technology-iet, 2019) Rafiq, Muhammad; Baleanu, Dumitru; Shoaib Arif, Muhammad; Naveed, Muhammad; Ashraf, Kaleem; Raza, Ali; Arif, Muhammad Shoaib
    This study is an attempt to explain a reliable numerical analysis of a stochastic HIV/AIDS model in a two-sex population considering counselling and antiretroviral therapy (ART). The authors are comparing the solutions of the stochastic and deterministic HIV/AIDS epidemic model. Here, an endeavour has been made to explain the stochastic HIV/AIDS epidemic model is comparatively more pragmatic in contrast with the deterministic HIV/AIDS epidemic model. The effect of threshold number H* holds on the stochastic HIV/AIDS epidemic model. If H* < 1 then condition helps us to control disease in a two-sex human population while H* > 1 explains the persistence of disease in the two-sex human population. Lamentably, numerical methods such as Euler-Maruyama, stochastic Euler, and stochastic Runge-Kutta do not work for large time step sizes. The recommended structure preserving framework of the stochastic non-standard finite difference (SNSFD) scheme conserve all vital characteristics such as positivity, boundedness, and dynamical consistency defined by Mickens. The effectiveness of counselling and ART may control HIV/AIDS in a two-sex population.
  • Article
    Citation - WoS: 17
    Citation - Scopus: 19
    Competitive Analysis for Stochastic Influenza Model With Constant Vaccination Strategy
    (inst Engineering Technology-iet, 2019) Raza, Ali; Rafiq, Muhammad; Arif, Muhammad Shoaib; Ali, Muhammad Asghar; Baleanu, Dumitru
    This manuscript discusses a competitive analysis of stochastic influenza model with constant vaccination strategy. The stochastic influenza model is comparatively more pragmatic versus the deterministic influenza model. The effect of influenza generation number holds in the stochastic model. If the value of this number is less than one, this situation will help us to control the disease in a population. A greater than one value of this threshold number shows the persistence of disease to become endemic. The proposed structure for the stochastic influenza model as stochastic non-standard finite difference scheme conserve all vital characteristics like positivity, boundedness and dynamical consistency defined by Mickens.