搜索结果: 16-30 共查到“理学 Brownian motion”相关记录33条 . 查询时间(0.102 秒)
The tail of the maximum of Brownian motion minus a parabola
Brownian motion parabola
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2010/11/23
We give an asymptotic expression for the tail of the maximum of Brownian motion minus a parabola. This confirms a conjecture about the exponential term in the tail behavior, due to Svante Janson.
Is Brownian motion necessary to model high-frequency data?
Brownian motion high-frequency data
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2010/11/18
This paper considers the problem of testing for the presence of a continuous part in a semimartingale sampled at high frequency. We provide two tests, one where the null hypothesis is that a continuou...
The maximum of Brownian motion minus a parabola
Brownian motion parabola
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2010/11/8
We derive a simple integral representation for the distribution of the maximum of Brownian motion minus a parabola, which can be used for computing the density and moments of the distribution, both fo...
The greatest convex minorant of Brownian motion, meander, and bridge
convex minorant Brownian motion
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2010/11/19
This article contains both a point process and a sequential description of the greatest convex minorant of Brownian motion on a finite interval. We use these descriptions to provide new analysis of v...
Perturbation Theory for Fractional Brownian Motion in Presence of Absorbing Boundaries
Perturbation Theory Presence of Absorbing Boundaries
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2010/11/25
Fractional Brownian motion is a Gaussian process x(t) with zero mean and two-time correlations
hx(t1)x(t2)i = Dt2H 1 + t2H 2 jt1 t2j2H, where H, with 0 < H < 1 is called the Hu...
The Nyström method for functional quantization with an application to the fractional Brownian motion
integral equation Nyströ m method Gaussian semi-martingale functional quantization
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2010/12/1
In this article, the so-called "Nyström method" is tested to compute optimal quantizers of Gaussian processes. In particular, we derive the optimal quantization of the fractional Brownian motion ...
Survival of near-critical branching Brownian motion
ival near-critical branching Brownian motion
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2010/11/29
Consider a system of particles performing branching Brownian motion with negative
drift μ = √2 − " and killed upon hitting zero. Initially there is one particle at x > 0.
Kesten [12] showed th...
Isolated zeros for Brownian motion with variable drift
Brownian motion H¨older continuity Cantor function
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2010/12/8
It is well known that standard one-dimensional Brownian motion B(t) has no isolated zeros almost surely. We show that for any < 1/2 there are -H¨older continuous functions f(t) for which the proces...
Positive recurrence of reflecting Brownian motion in three dimensions
Reflecting Brownian motion transience Skorohod problem
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2010/12/14
Consider a semimartingale reflecting Brownian motion (SRBM)Z whose state space is the d-dimensional nonnegative orthant. The data for such a process are a drift vector , a nonsingular d×d covariance ...
Feller Processes: The Next Generation in Modeling. Brownian Motion, Lévy Processes and Beyond
Feller Processes The Next Generation in Modeling rownian Motion Lévy Processes Beyond
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2010/12/13
We present a simple construction method for Feller processes and a framework for the generation of sample paths of Feller processes. The construction is based on state space dependent mixing of L&acut...
Occupation and Local Times for Skew Brownian Motion with Applications to Dispersion Across an Interface
Skew Brownian motion advection-diffusion local time
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2010/12/14
Advective skew dispersion is a natural Markov process defined by a diffusion with drift across an interface of jump discontinuity in a piecewise constant diffusion coefficient.
Quantum random walks and minors of Hermitian Brownian motion
Quantum random walks minors of Hermitian Brownian motion
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2010/11/30
Considering quantum random walks, we construct discrete-time approximations of the eigenvalues processes of minors of Hermitian Brownian motion.
Further remarks on mixed fractional Brownian motion
Fractional Brownian Motion Fractional Calculus
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2010/9/15
We study linear combinations of independent fractional Brownian motions and generalize several recent results from [10] and [17]. As a first new result we calculate explicitly the Hausdorff dimension ...
On the fractional mixed fractional Brownian motion
Fractional mixed fractional Brownian motion α-differentiability
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2010/9/13
In this paper, we present some stochastic properties and characteristics of the fractional mixed fractional Brownian motion, and we study the α-differentiability of its sample paths.
The dimensions of the level sets of the generalized iterated Brownian motion
Hausdorff dimension packing dimension level set local time
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2010/9/13
The dimensions of the level sets of the generalized iterated Brownian motion.