搜索结果: 1-15 共查到“理论统计学 Brownian Motion”相关记录36条 . 查询时间(0.142 秒)
On the Maximum Workload of a Queue Fed by Fractional Brownian Motion
Long-range dependence queues fractional Brownian motion extreme values
2015/7/8
Consider a queue with a stochastic fluid input process modeled as fractional Brownian motion (fBM). When the queue is stable, we prove that the maximum of the workload process observed over an interva...
Reconstruction of Fractional Brownian Motion Signals From Its Sparse Samples Based on Compressive Sampling
Compressive Sampling fractional Brownian motion interpolation financial time-series fractal
2011/6/21
This paper proposes a new fBm (fractional Brownian
motion) interpolation/reconstruction method from partially
known samples based on CS (Compressive Sampling). Since 1/f
property implies power law ...
Identification of the Multivariate Fractional Brownian Motion
Self similarity Multivariate process Long-range dependence Discrete variations Parametric estimation
2011/3/21
This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case. This process is a $p...
Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus
discrete Wick calculus fractional Brownian motion weak convergence
2010/10/19
We approximate the solution of some linear systems of SDEs driven by a fractional Brownian motion $B^H$ with Hurst parameter $H\in(\frac{1}{2},1)$ in the Wick--It\^{o} sense, including a geometric fra...
On the almost sure convergence of the square variation of the Brownian motion
the almost sure convergence the square variation the Brownian motion
2009/9/24
On the almost sure convergence of the square variation of the Brownian motion。
Weak convergence to the Brownian motion of the partial sums of infima of independent random variables
Weak convergence the Brownian motion independent random variables
2009/9/23
Weak convergence to the Brownian motion of the partial sums of infima of independent random variables。
On the rate of convergence to Brownian motion of the partial sums of infima of independent random variables
the rate of convergence to Brownian motion the partial sums of infima
2009/9/23
On the rate of convergence to Brownian motion of the partial sums of infima of independent random variables。
Admissible translations of the Brownian motion on a Lie group
Admissible translations the Brownian motion on a Lie group
2009/9/23
Admissible translations of the Brownian motion on a Lie group。
The reflected Brownian motion on the Sierpiński gasket
The reflected Brownian motion the Sierpiński gasket
2009/9/22
The paper identifies the Dirichlet form of the "path- '
wise-defined" reflected Brownian motion on the Sierpiriski gasket with
the Dirichlet form on the Sierpiliski gasket introduced by Fukushima
a...
Asymptotic behavior for the surviving Brownian motion on the Sierpiński gasket with Poisson obstacles
Asymptotic behavior the surviving Brownian motion the Sierpiński gasket with Poisson obstacles
2009/9/22
A Brownian motion on the Sierpiriski gasket gets
absorbed at the boundary of a cloud of balls with centers distributed
according to an independent Poisson law. The aim of this paper is to
investiga...
A variational representation for positive functionals of infinite dimensional Brownian motion
Large deviations Laplace principle stochastic control cylindrical Brownian motion
2009/9/22
A variational representation for positive functionals of
a Hilbert space valued Wiener process (w(.)is) p roved. This representation
is then used to prove a large deviations principle for the family...
Sojourn time of some reflected Brownian motion in the unit disk
reflected Brownian motion boundary value problems fractional linear transformation
2009/9/22
We study the heat diffusion in a domain with an obstacle
inside. More precisely, we are interested in the quantity of heat
in so far as a function of the position of the heat source at time 0. This
...
Asymptotics of the supremum of scaled Brownian motion
Brownian motion exponential bound fractional Brownian motion Gaussian process local time
2009/9/21
We consider the problem of estimating the tail of the
distribution of the supremum of scaled Brownian motion ~ ( j ( t )p)ro -
cesses with hear drift.
I Using the local time technique we obtain asy...
ON TWE RENlARRABLE DISTRIBUTIONS OF MAXIPMA OF SOME FRAGMENTS OF THE STANI)ARD REFLECTING RANDOM WALK AND BROWNIAN MOTION
Standard random walk standard Brownian motion excursion meander comeander infinite divisibility
2009/9/18
In this paper, we consider some distributions of maxima
of excursions and related variables for standard random walk and
Brownian motion. We discuss the infinite divisibility properties of
these di...
FINE STRUCTURE OF THE COMPLEX HYPERBOLIC BROWNIAN MOTION AND RUDIN’S QUESTION
Complex hyperbolic space complex hyperbolic Brownian motion invariant Laplace operator
2009/9/18
We investigate the fine structure of the complex hyperbolic
Brownian motion in the unit ball of Cn. It turns out that the generator of the
process is locally very close to the generator of some simp...