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Exponential functionals of Brownian motion, I: Probability laws at fixed time
Brownian motion Bessel process Lamperti's relation Hartman-Watson distributions
2009/5/18
This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several rel...
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...