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1. Simulation of heterogeneous motorised traffic at a signalised intersection

The characteristics of heterogeneous traffic (with variation in vehicle length) are significantly different from those for homogeneous traffic. The present study describes an overview of the developme...

2. Almost sure subexponential decay rates of scalar Ito-Volterra equations.

The paper studies the subexponential convergence of solutions of scalar Itˆo-Volterra equations. First, we consider linear equations with an instantaneous multiplicative noise term with intensity ....

3. Polynomial asymptotic stability of damped stochastic differential equations.

The paper studies the polynomial convergence of solutions of a scalar nonlinear Itˆo stochastic differential equation dX(t) = −f(X(t)) dt + (t) dB(t) where it is known, a priori, that limt!1 X(t) =...

4. Cross-correlation dynamics in financial time series

The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the...

5. Large Fluctuations of Stochastic Differential Equations with Regime Switching: Applications to Simulation and Finance