搜索结果: 1-15 共查到“知识库 随机过程”相关记录125条 . 查询时间(2.359 秒)
乘法噪声驱动的保守律方程的遍历性（董昭）
乘法噪声驱动 保守律方程 遍历性
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2023/4/10
We proved that there exists a unique invariant measure for solutions of stochastic conservation laws with Dirichlet boundary condition driven by multiplicative noise. Moreover, a polynomial mixing pro...
随机效应Wiener过程退化可靠性分析方法
性能退化 随机效应 Wiener过程 可靠性分析
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2018/11/15
针对工程中很多产品的初始退化量具有不确定性的情况，提出一种性能退化随机效应Wiener过程可靠性分析方法，同时考虑初始退化量和漂移系数的随机性.然后，根据首达时的定义，推导出了失效时间概率分布函数和概率密度函数的解析表达式.其次，结合产品性能退化测试情况，给出退化模型未知参数的极大似然估计.最后，通过对磁盘性能退化可靠性实例分析，验证了本文方法的适用性和有效性，与随机效应退化轨迹模型相比，本文方法...
随机和认知混合不确定系统的全局灵敏度分析方法
证据理论 不确定系统 随机不确定性 认知不确定性
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2018/11/15
为计算具有随机不确定性和认知不确定性的混合不确定系统灵敏度，提出一种基于证据理论和条件概率理论的全局灵敏度分析方法.用证据理论对认知不确定性变量进行表征，并提出两种基于证据理论的随机采样方法，包括一次随机抽样法和二次随机抽样法.运用条件概率理论，提出存在认知不确定性条件下混合不确定系统的Sobol'全局灵敏度指标，经过理论推导给出一阶灵敏度及总灵敏度的计算公式，并设置单循环的拟蒙特卡罗方法实现灵敏...
检验环境变化影响下水文过程是否保持平稳性是开展水文分析与计算、水文模拟预报等的重要前提.本研究提出了水文随机过程平稳性检验方法，首先利用离散小波变换分离水文序列中的确定成分与随机成分，然后选择合适方程描述随机成分，利用Akaike information criterion和Bayesian information criterion计算最优时间滞后阶数，再采用单位根检验方法判别随机成分是否具有平...
基于波动率分解的期权定价
期权定价 随机波动率 波动率分解 偏度与峰度
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2018/11/15
文章通过将标的资产波动率分解为不相关的两个组成部分，构建了期权定价模型，并求解了相应的期权定价公式.分析新模型在标的资产收益率的偏度与峰度、隐含波动率等方面的重要特征，并利用市场数据对模型进行了拟合.研究表明：将波动率进行分解，以适应于其组件不同的运动过程，从而扩展了模型的适用场景；利用波动率组件的相互作用，即使在波动率参数较低时，也可以令短期期权获得明显的尖峰、波动率微笑等形态特征，从而有效地规...
NON-PERTURBATIVE APPROACH TO RANDOM WALK IN MARKOVIAN ENVIRONMENT
Random Walk Random environment CLT Gibbs
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2015/9/29
The study of random walk in random evolving environment has attracted much attention lately.
The basic idea is that, due to the time mixing properties of the environment, the CLT should hold
in any ...
LIMIT THEOREMS FOR RANDOM WALKS ON A STRIP IN SUBDIFFUSIVE REGIMES
RWRE random walks on a strip quenched random environments
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2015/9/29
We study the asymptotic behaviour of occupation times of a transient random walk in a
quenched random environment on a strip in a sub-di usive regime. The asymptotic behaviour of hitting
times, whic...
SAMPLE PATH PROPERIES OF RANDOM TRANSFORMATIONS
TRANSFORMATIONS SAMPLE PATH PROPERIES
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2015/9/29
In other words where is the boundary between truly random and
almost deterministic behavior? I believe that very little randomness
is needed. For example consider the following model. Let f1 : : : f...
SAMPLE PATH PROPERTIES OF THE STOCHASTIC FLOWS
STOCHASTIC FLOWS PATH PROPERTIES
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2015/9/29
We consider a stochastic flow driven by a finite-dimensional Brownian
motion. We show that almost every realization of such a flow exhibits strong
statistical properties such as th...
HAUSDORFF DIMENSION IN STOCHASTIC DISPERSION
STOCHASTIC DISPERSION HAUSDORFF DIMENSION
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2015/9/29
We consider the evolution of a connected set in Euclidean space
carried by a periodic incompressible stochastic
ow. While for almost every
realization of the random
ow at time t most of the part...
Deterministic and stochastic perturbations of area preserving flows on a two-dimensional torus
Averaging Markov Process Hamiltonian Flow Gluing Conditions Diffusion on a Graph
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2015/9/28
We study deterministic and stochastic perturbations of incompressible flows on a two-dimensional torus. Even in the case of purely deterministic perturbations, the long-time behavior of such ...
GAUSSIAN ESTIMATES FOR MARKOV CHAINS AND RANDOM WALKS ON GROUPS
GROUPS MARKOV CHAINS
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2015/8/26
A Gaussian upper bound for the iterated kernels of Markov chains is obtained under some natural conditions. This result applies in particular to simple random walks on any locally compact unimodular g...
Analysis on Riemannian co-compact covers
co-compact covers random
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2015/8/26
This is a survey on analysis on non-compact co-compact Riemannian
covers and how it relates to random walks on finitely generated groups. The
focus is on the long time behavior of the heat kernel an...
Matrix Completion from Noisy Entries
matrix completion low-rank matrices spectral methods manifold optimization
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2015/8/21
Given a matrix M of low-rank, we consider the problem of reconstructing it from noisy observations of a small, random subset of its entries. The problem arises in a variety of applications, from colla...
Asymptotic Analysis of a Random Walk on a Hypercube with Many Dimensions
Analysis of random stroll super cube dimension
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2015/7/14
Asymptotic Analysis of a Random Walk on a Hypercube with Many Dimensions。