搜索结果: 31-45 共查到“统计学 Brownian Motion”相关记录52条 . 查询时间(0.102 秒)
We define a Fractional Brownian Motion indexed by a sphere, or more generally by a compact rank one symmetric space, and prove that it exists if, and only if, 0< H leq 1/2. We then prove that Fraction...
Boundary Crossings of Brownian Motion
Brownian motion with trend boundary crossing probability large deviations
2009/4/27
Let B be a standard Brownian motion and let b_gamma be a piecewise linear continuous boundary function. In this paper we obtain an exact asymptotic expansion of P{ B(t)< b_gamma(t), forall tin [0,1]} ...
An Extreme-Value Analysis of the LIL for Brownian Motion
The law of the iterated logarithm Brownian motion extreme values
2009/4/27
We use excursion theory and the ergodic theorem to present an extreme-value analysis of the classical law of the iterated logarithm (LIL) for Brownian motion. A simplified version of our method also p...
FKG Inequality for Brownian Motion and Stochastic Differential Equations
FKG inequality Brownian motion stochastic dierential equations
2009/4/24
The purpose of this work is to study some possible application of FKG inequality to the Brownian motion and to Stochastic Differential Equations. We introduce a special ordering on the Wiener space an...
On the occupation measure of super-Brownian motion
super-Brownian motion,occupation measure limit distribution
2009/4/23
We derive the asymptotic behavior of the total occupation measure of the unit ball for super-Brownian motion started from the Dirac measure at a distant point and conditioned to hit the unit ball. In ...
Pathwise uniqueness for reflecting Brownian motion in certain planar Lipschitz domains
reecting Brownian motion
2009/4/22
We give a simple proof that in a Lipschitz domain in two dimensions with Lipschitz constant one, there is pathwise uniqueness for the Skorokhod equation governing reflecting Brownian motion.
Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon
Brownian motion finite horizon
2009/4/22
A Brownian motion observed at equidistant sampling points renders a random walk with normally distributed increments. For the difference between the expected maximum of the Brownian mo- tion and its s...
A connection between the stochastic heat equation and fractional Brownian motion, and a simple proof of a result of Talagrand
stochastic fractional Brownian motion
2009/4/22
We give a new representation of fractional Brownian motion with Hurst parameter $Hleqfrac{1}{2}$ using stochastic partial differential equations. This representation allows us to use the Markov proper...
Reflected Brownian motion in a wedge: sum-of-exponential stationary densities
wedge sum-of-exponential
2009/4/22
We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relyin...
A process very similar to multifractional Brownian motion
Fractional Brownian motion wavelet series expansions multifractionalBrownian motion Holder regularity
2010/3/17
Multifractional Brownian motion (mBm), denoted here by X, is one
of the paradigmatic examples of a continuous Gaussian process whose pointwise
H¨older exponent depends on the location. Recall that X...
FKG Inequality for Brownian Motion and Stochastic Differential Equations
FKG inequality Brownian Motion Stochastic Differential Equations
2009/4/7
The purpose of this work is to study some possible application of FKG inequality to the Brownian motion and to Stochastic Differential Equations. We introduce a special ordering on the Wiener space an...
On the occupation measure of super-Brownian motion
total occupation measure super-Brownian motion
2009/4/3
We derive the asymptotic behavior of the total occupation measure of the unit ball for super-Brownian motion started from the Dirac measure at a distant point and conditioned to hit the unit ball. In ...
Pathwise uniqueness for reflecting Brownian motion in certain planar Lipschitz domains
Brownian motion Lipschitz domains
2009/4/2
We give a simple proof that in a Lipschitz domain in two dimensions with Lipschitz constant one, there is pathwise uniqueness for the Skorokhod equation governing reflecting Brownian motion.
Some Extensions of Fractional Brownian Motion and Sub-Fractional Brownian Motion Related to Particle Systems
self-similar long-range dependence Gaussian processes Brownian Motion
2009/3/27
In this paper we study three self-similar, long-range dependence, Gaussian processes. The first one, with covariance ∫0min(s,t) ua [(t-u)b+(s-u)b]du,parameters a > -1, -1 < b ≤ 1, |b| ≤ 1 + a, corresp...
Some Extensions of Fractional Brownian Motion and Sub-Fractional Brownian Motion Related to Particle Systems
Brownian Motion three self-similar long-range dependence Gaussian processes
2009/3/23
In this paper we study three self-similar, long-range dependence, Gaussian processes. The first one, with covariance ∫0min(s,t) ua [(t-u)b+(s-u)b]du,parameters a > -1, -1 < b ≤ 1, |b| ≤ 1 + a, corresp...