Accedi

Bibliografie tematiche / Brownian motion processes / Articoli di riviste

Segui questo link per vedere altri tipi di pubblicazioni sul tema: Brownian motion processes.

Articoli di riviste sul tema "Brownian motion processes"

Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 30 luglio 2024

Cita una fonte nei formati APA, MLA, Chicago, Harvard e in molti altri stili

Scegli il tipo di fonte:

Vedi i top-50 articoli di riviste per l'attività di ricerca sul tema "Brownian motion processes".

Accanto a ogni fonte nell'elenco di riferimenti c'è un pulsante "Aggiungi alla bibliografia". Premilo e genereremo automaticamente la citazione bibliografica dell'opera scelta nello stile citazionale di cui hai bisogno: APA, MLA, Harvard, Chicago, Vancouver ecc.

Puoi anche scaricare il testo completo della pubblicazione scientifica nel formato .pdf e leggere online l'abstract (il sommario) dell'opera se è presente nei metadati.

Vedi gli articoli di riviste di molte aree scientifiche e compila una bibliografia corretta.

1

Suryawan, Herry P., e José L. da Silva. "Green Measures for a Class of Non-Markov Processes". Mathematics 12, n. 9 (27 aprile 2024): 1334. http://dx.doi.org/10.3390/math12091334.

Testo completo

Abstract (sommario):

In this paper, we investigate the Green measure for a class of non-Gaussian processes in Rd. These measures are associated with the family of generalized grey Brownian motions Bβ,α, 0<β≤1, 0<α≤2. This family includes both fractional Brownian motion, Brownian motion, and other non-Gaussian processes. We show that the perpetual integral exists with probability 1 for dα>2 and 1<α≤2. The Green measure then generalizes those measures of all these classes.

Gli stili APA, Harvard, Vancouver, ISO e altri

2

Takenaka, Shigeo. "Integral-geometric construction of self-similar stable processes". Nagoya Mathematical Journal 123 (settembre 1991): 1–12. http://dx.doi.org/10.1017/s0027763000003627.

Testo completo

Abstract (sommario):

Recently, fractional Brownian motions are widely used to describe complex phenomena in several fields of natural science. In the terminology of probability theory the fractional Brownian motion is a Gaussian process {X(t) : t є R} with stationary increments which has a self-similar property, that is, there exists a constant H (for the Brownian motion H = 1/2, in general 0 < H < 1 for Gaussian processes) called the exponent of self-similarity of the process, such that, for any c > 0, two processes are subject to the same law (see [10]).

Gli stili APA, Harvard, Vancouver, ISO e altri

3

Rosen, Jay, e Jean-Dominique Deuschel. "motion, super-Brownian motion and related processes". Annals of Probability 26, n. 2 (aprile 1998): 602–43. http://dx.doi.org/10.1214/aop/1022855645.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

4

Rao, Nan, Qidi Peng e Ran Zhao. "Cluster Analysis on Locally Asymptotically Self-Similar Processes with Known Number of Clusters". Fractal and Fractional 6, n. 4 (14 aprile 2022): 222. http://dx.doi.org/10.3390/fractalfract6040222.

Testo completo

Abstract (sommario):

We conduct cluster analysis of a class of locally asymptotically self-similar stochastic processes with finite covariance structures, which includes Brownian motion, fractional Brownian motion, and multifractional Brownian motion as paradigmatic examples. Given the true number of clusters, a new covariance-based dissimilarity measure is introduced, based on which we obtain approximately asymptotically consistent algorithms for clustering locally asymptotically self-similar stochastic processes. In the simulation study, clustering data sampled from fractional and multifractional Brownian motions with distinct Hurst parameters illustrates the approximated asymptotic consistency of the proposed algorithms. Clustering global financial markets’ equity indexes returns and sovereign CDS spreads provides a successful real world application. Implementations in MATLAB of the proposed algorithms and the simulation study are publicly shared in GitHub.

Gli stili APA, Harvard, Vancouver, ISO e altri

5

SOTTINEN, TOMMI, e LAURI VIITASAARI. "CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS". International Journal of Theoretical and Applied Finance 21, n. 02 (marzo 2018): 1850015. http://dx.doi.org/10.1142/s0219024918500152.

Testo completo

Abstract (sommario):

We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian motions. As an application, we consider conditional-mean hedging under transaction costs in Black–Scholes type pricing models where the Brownian motion is replaced with a more general regular invertible Gaussian Volterra process.

Gli stili APA, Harvard, Vancouver, ISO e altri

6

Andres, Sebastian, e Lisa Hartung. "Diffusion processes on branching Brownian motion". Latin American Journal of Probability and Mathematical Statistics 15, n. 2 (2018): 1377. http://dx.doi.org/10.30757/alea.v15-51.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

7

Ouknine, Y. "“Skew-Brownian Motion” and Derived Processes". Theory of Probability & Its Applications 35, n. 1 (gennaio 1991): 163–69. http://dx.doi.org/10.1137/1135018.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

8

Katori, Makoto, e Hideki Tanemura. "Noncolliding Brownian Motion and Determinantal Processes". Journal of Statistical Physics 129, n. 5-6 (13 ottobre 2007): 1233–77. http://dx.doi.org/10.1007/s10955-007-9421-y.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

9

Jedidi, Wissem, e Stavros Vakeroudis. "Windings of planar processes, exponential functionals and Asian options". Advances in Applied Probability 50, n. 3 (settembre 2018): 726–42. http://dx.doi.org/10.1017/apr.2018.33.

Testo completo

Abstract (sommario):

Abstract Motivated by a common mathematical finance topic, we discuss the reciprocal of the exit time from a cone of planar Brownian motion which also corresponds to the exponential functional of Brownian motion in the framework of planar Brownian motion. We prove a conjecture of Vakeroudis and Yor (2012) concerning infinite divisibility properties of this random variable and present a novel simple proof of the result of DeBlassie (1987), (1988) concerning the asymptotic behavior of the distribution of the Bessel clock appearing in the skew-product representation of planar Brownian motion, as t→∞. We use the results of the windings approach in order to obtain results for quantities associated to the pricing of Asian options.

Gli stili APA, Harvard, Vancouver, ISO e altri

10

Adler, Robert J., e Ron Pyke. "Scanning Brownian Processes". Advances in Applied Probability 29, n. 2 (giugno 1997): 295–326. http://dx.doi.org/10.2307/1428004.

Testo completo

Abstract (sommario):

The ‘scanning process' Z(t), t ∈ ℝk of the title is a Gaussian random field obtained by associating with Z(t) the value of a set-indexed Brownian motion on the translate t + A0 of some ‘scanning set' A0. We study the basic properties of the random field Z relating, for example, its continuity and other sample path properties to the geometrical properties of A0. We ask if the set A0 determines the scanning process, and investigate when, and how, it is possible to recover the structure of A0 from realisations of the sample paths of the random field Z.

Gli stili APA, Harvard, Vancouver, ISO e altri

11

Adler, Robert J., e Ron Pyke. "Scanning Brownian Processes". Advances in Applied Probability 29, n. 02 (giugno 1997): 295–326. http://dx.doi.org/10.1017/s0001867800028007.

Testo completo

Abstract (sommario):

The ‘scanning process' Z(t), t ∈ ℝk of the title is a Gaussian random field obtained by associating with Z(t) the value of a set-indexed Brownian motion on the translate t + A 0 of some ‘scanning set' A 0. We study the basic properties of the random field Z relating, for example, its continuity and other sample path properties to the geometrical properties of A 0. We ask if the set A 0 determines the scanning process, and investigate when, and how, it is possible to recover the structure of A 0 from realisations of the sample paths of the random field Z.

Gli stili APA, Harvard, Vancouver, ISO e altri

12

Sun, Xichao, Rui Guo e Ming Li. "Some Properties of Bifractional Bessel Processes Driven by Bifractional Brownian Motion". Mathematical Problems in Engineering 2020 (17 ottobre 2020): 1–13. http://dx.doi.org/10.1155/2020/7037602.

Testo completo

Abstract (sommario):

Let B = B t 1 , … , B t d t ≥ 0 be a d -dimensional bifractional Brownian motion and R t = B t 1 2 + ⋯ + B t d 2 be the bifractional Bessel process with the index 2 HK ≥ 1 . The Itô formula for the bifractional Brownian motion leads to the equation R t = ∑ i = 1 d ∫ 0 t B s i / R s d B s i + HK d − 1 ∫ 0 t s 2 HK − 1 / R s d s . In the Brownian motion case K = 1 and H = 1 / 2 , X t ≔ ∑ i = 1 d ∫ 0 t B s i / R s d B s i , d ≥ 1 is a Brownian motion by Lévy’s characterization theorem. In this paper, we prove that process X t is not a bifractional Brownian motion unless K = 1 and H = 1 / 2 . We also study some other properties and their application of this stochastic process.

Gli stili APA, Harvard, Vancouver, ISO e altri

13

Lim, S. C., e C. H. Eab. "Some fractional and multifractional Gaussian processes: A brief introduction". International Journal of Modern Physics: Conference Series 36 (gennaio 2015): 1560001. http://dx.doi.org/10.1142/s2010194515600010.

Testo completo

Abstract (sommario):

This paper gives a brief introduction to some important fractional and multifractional Gaussian processes commonly used in modelling natural phenomena and man-made systems. The processes include fractional Brownian motion (both standard and the Riemann-Liouville type), multifractional Brownian motion, fractional and multifractional Ornstein-Uhlenbeck processes, fractional and mutifractional Reisz-Bessel motion. Possible applications of these processes are briefly mentioned.

Gli stili APA, Harvard, Vancouver, ISO e altri

14

Manurung, Tohap. "Hubungan Antara Brownian Motion (The Winner Process) dan Surplus Process". JURNAL ILMIAH SAINS 12, n. 1 (30 aprile 2012): 47. http://dx.doi.org/10.35799/jis.12.1.2012.401.

Testo completo

Abstract (sommario):

HUBUNGAN ANTARA BROWNIAN MOTION (THE WIENER PROCESS) DAN SURPLUS PROCESS ABSTRAK Suatu analisis model continous-time menjadi cakupan yang akan dibahas dalam tulisan ini. Dengan demikian pengenalan proses stochastic akan sangat berperan. Dua proses akan di analisis yaitu proses compound Poisson dan Brownian motion. Proses compound Poisson sudah menjadi model standard untuk Ruin analysis dalam ilmu aktuaria. Sementara Brownian motion sangat berguna dalam teori keuangan modern dan juga dapat digunakan sebagai approksimasi untuk proses compound Poisson. Hal penting dalam tulisan ini adalah menujukkan bagaimana surplus process berdasarkan proses resiko compound Poisson dihubungkan dengan Brownian motion with Drift Process. Kata kunci: Brownian motion with Drift process, proses surplus, compound Poisson RELATIONSHIP BETWEEN BROWNIAN MOTION (THE WIENER PROCESS) AND THE SURPLUS PROCESS ABSTRACT An analysis of continous-time models is covered in this paper. Thus, this requires an introduction to stochastic processes. Two processes are analyzed: the compound Poisson process and Brownian motion. The compound Poisson process has been the standard model for ruin analysis in actuarial science, while Brownian motion has found considerable use in modern financial theory and also can be used as an approximation to the compound Pisson process. The important thing is to show how the surplus process based on compound poisson risk process is related to Brownian motion with drift process. Keywords: Brownian motion with drift process, surplus process, compound Poisson

Gli stili APA, Harvard, Vancouver, ISO e altri

15

Golmankhaneh, Alireza Khalili, e Renat Timergalievich Sibatov. "Fractal Stochastic Processes on Thin Cantor-Like Sets". Mathematics 9, n. 6 (15 marzo 2021): 613. http://dx.doi.org/10.3390/math9060613.

Testo completo

Abstract (sommario):

We review the basics of fractal calculus, define fractal Fourier transformation on thin Cantor-like sets and introduce fractal versions of Brownian motion and fractional Brownian motion. Fractional Brownian motion on thin Cantor-like sets is defined with the use of non-local fractal derivatives. The fractal Hurst exponent is suggested, and its relation with the order of non-local fractal derivatives is established. We relate the Gangal fractal derivative defined on a one-dimensional stochastic fractal to the fractional derivative after an averaging procedure over the ensemble of random realizations. That means the fractal derivative is the progenitor of the fractional derivative, which arises if we deal with a certain stochastic fractal.

Gli stili APA, Harvard, Vancouver, ISO e altri

16

Didier, Kumwimba Seya, Walo Omana Rebecca, Mabela Matendo Rostin, Badibi Omak Christopher, Kankolongo Kadilu Patient e Marcel Remon. "FUZZY ORNSTEIN-UHLENBECK AND BROWNIAN GEOMETRIC MOTION PROCESSES DRIVEN BY A FUZZY BROWNIAN MOTION". Advances in Fuzzy Sets and Systems 27, n. 1 (3 marzo 2022): 95–110. http://dx.doi.org/10.17654/0973421x22005.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

17

Adler, Robert J., e Gennady Samorodnitsky. "Super Fractional Brownian Motion, Fractional Super Brownian Motion and Related Self-Similar (Super) Processes". Annals of Probability 23, n. 2 (aprile 1995): 743–66. http://dx.doi.org/10.1214/aop/1176988287.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

18

Dung, Nguyen Tien. "JACOBI PROCESSES DRIVEN BY FRACTIONAL BROWNIAN MOTION". Taiwanese Journal of Mathematics 18, n. 3 (maggio 2014): 835–48. http://dx.doi.org/10.11650/tjm.18.2014.3288.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

19

Inoue, A., e V. V. Anh. "Prediction of Fractional Brownian Motion-Type Processes". Stochastic Analysis and Applications 25, n. 3 (2 maggio 2007): 641–66. http://dx.doi.org/10.1080/07362990701282971.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

20

Abundo, Mario, e Enrica Pirozzi. "On the Integral of the Fractional Brownian Motion and Some Pseudo-Fractional Gaussian Processes". Mathematics 7, n. 10 (18 ottobre 2019): 991. http://dx.doi.org/10.3390/math7100991.

Testo completo

Abstract (sommario):

We investigate the main statistical parameters of the integral over time of the fractional Brownian motion and of a kind of pseudo-fractional Gaussian process, obtained as a classical Gauss–Markov process from Doob representation by replacing Brownian motion with fractional Brownian motion. Possible applications in the context of neuronal models are highlighted. A fractional Ornstein–Uhlenbeck process is considered and relations with the integral of the pseudo-fractional Gaussian process are provided.

Gli stili APA, Harvard, Vancouver, ISO e altri

21

El-Nouty, Charles. "THE GENERALIZED BIFRACTIONAL BROWNIAN MOTION". International Journal for Computational Civil and Structural Engineering 14, n. 4 (21 dicembre 2018): 81–89. http://dx.doi.org/10.22337/2587-9618-2018-14-4-81-89.

Testo completo

Abstract (sommario):

To extend several known centered Gaussian processes, we introduce a new centered Gaussian process, named the generalized bifractional Brownian motion. This process depends on several parameters, namely α > 0 , β>0 , 0<H<1 and 0<K≤1 . When K=1, we investigate its convexity properties. Then, when 2HK≤ 1, we prove that this process is an element of the QHASI class, a class of centered Gaussian processes, which was introduced in 2015

Gli stili APA, Harvard, Vancouver, ISO e altri

22

Perry, D., W. Stadje e S. Zacks. "The first rendezvous time of Brownian motion and compound Poisson-type processes". Journal of Applied Probability 41, n. 4 (dicembre 2004): 1059–70. http://dx.doi.org/10.1239/jap/1101840551.

Testo completo

Abstract (sommario):

The ‘rendezvous time’ of two stochastic processes is the first time at which they cross or hit each other. We consider such times for a Brownian motion with drift, starting at some positive level, and a compound Poisson process or a process with one random jump at some random time. We also ask whether a rendezvous takes place before the Brownian motion hits zero and, if so, at what time. These questions are answered in terms of Laplace transforms for the underlying distributions. The analogous problem for reflected Brownian motion is also studied.

Gli stili APA, Harvard, Vancouver, ISO e altri

23

Perry, D., W. Stadje e S. Zacks. "The first rendezvous time of Brownian motion and compound Poisson-type processes". Journal of Applied Probability 41, n. 04 (dicembre 2004): 1059–70. http://dx.doi.org/10.1017/s0021900200020829.

Testo completo

Abstract (sommario):

The ‘rendezvous time’ of two stochastic processes is the first time at which they cross or hit each other. We consider such times for a Brownian motion with drift, starting at some positive level, and a compound Poisson process or a process with one random jump at some random time. We also ask whether a rendezvous takes place before the Brownian motion hits zero and, if so, at what time. These questions are answered in terms of Laplace transforms for the underlying distributions. The analogous problem for reflected Brownian motion is also studied.

Gli stili APA, Harvard, Vancouver, ISO e altri

24

El-Nouty, Charles, e Darya Filatova. "ON THE QHASI CLASS AND ITS EXTENSION TO SOME GAUSSIAN SHEETS". International Journal for Computational Civil and Structural Engineering 18, n. 3 (27 settembre 2022): 54–64. http://dx.doi.org/10.22337/2587-9618-2022-18-3-54-64.

Testo completo

Abstract (sommario):

Introduced in 2018 the generalized bifractional Brownian motion is considered as an element of the quasi-helix with approximately stationary increment class of real centered Gaussian processes conditioning by parameters. This paper proves that the generalized bifractional Brownian motion is an element of the above mentioned class with no condition on parameters. The quasi-helix with approximately stationary increment class of real centered Gaussian processes is extended to two-dimensional processes as the fractional Brownian sheet, the sub-fractional Brownian sheet, and the bifractional Brownian sheet. This generalized presentation of the class of stochastic processes is used to augment the training samples for generative adversarial networks in computer vision problem.

Gli stili APA, Harvard, Vancouver, ISO e altri

25

Mishura, Yuliya, e Kostiantyn Ralchenko. "Asymptotic Growth of Sample Paths of Tempered Fractional Brownian Motions, with Statistical Applications to Vasicek-Type Models". Fractal and Fractional 8, n. 2 (25 gennaio 2024): 79. http://dx.doi.org/10.3390/fractalfract8020079.

Testo completo

Abstract (sommario):

Tempered fractional Brownian motion (TFBM) and tempered fractional Brownian motion of the second kind (TFBMII) modify the power-law kernel in the moving average representation of fractional Brownian motion by introducing exponential tempering. We construct least-square estimators for the unknown drift parameters within Vasicek models that are driven by these processes. To demonstrate their strong consistency, we establish asymptotic bounds with probability 1 for the rate of growth of trajectories of tempered fractional processes.

Gli stili APA, Harvard, Vancouver, ISO e altri

26

Le Gall, Jean-François, e Armand Riera. "Growth-fragmentation processes in Brownian motion indexed by the Brownian tree". Annals of Probability 48, n. 4 (luglio 2020): 1742–84. http://dx.doi.org/10.1214/19-aop1406.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

27

ENGELKE, SEBASTIAN, e JEANNETTE H. C. WOERNER. "A UNIFYING APPROACH TO FRACTIONAL LÉVY PROCESSES". Stochastics and Dynamics 13, n. 02 (4 marzo 2013): 1250017. http://dx.doi.org/10.1142/s0219493712500177.

Testo completo

Abstract (sommario):

Starting from the moving average representation of fractional Brownian motion, there are two different approaches to constructing fractional Lévy processes in the literature. Applying L2-integration theory, one can keep the same moving average kernel and replace the driving Brownian motion by a pure jump Lévy process with finite second moments. Alternatively, in the framework of alpha-stable random measures, the Brownian motion is replaced by an alpha-stable Lévy process and the exponent in the kernel is reparametrized by H - 1/α. We now provide a unified approach taking kernels of the form [Formula: see text], where γ can be chosen according to the existing moments and the Blumenthal–Getoor index of the underlying Lévy process. These processes may exhibit both long and short range dependence. In addition we will examine further properties of the processes, e.g., regularity of the sample paths and the semimartingale property.

Gli stili APA, Harvard, Vancouver, ISO e altri

28

Munis, Rafaele Almeida, Diego Aparecido Camargo, Richardson Barbosa Gomes da Silva, Miriam Harumi Tsunemi, Siti Nur Iqmal Ibrahim e Danilo Simões. "Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approach". Forests 13, n. 3 (18 marzo 2022): 478. http://dx.doi.org/10.3390/f13030478.

Testo completo

Abstract (sommario):

Choosing the ideal number of rotations of planted forests under a silvicultural management regime results in uncertainties in the cash flows of forest investment projects. We verified if there is parity in the Eucalyptus wood price modeling through fractional Brownian motion and geometric Brownian motion to incorporate managerial flexibilities into investment projects in planted forests. We use empirical data from three production cycles of forests planted with Eucalyptus grandis × E. urophylla in the projection of discounted cash flows. The Eucalyptus wood price, assumed as uncertainty, was modeled using fractional and geometric Brownian motion. The discrete-time pricing of European options was obtained using the Monte Carlo method. The root mean square error of fractional and geometric Brownian motions was USD 1.4 and USD 2.2, respectively. The real options approach gave the investment projects, with fractional and geometric Brownian motion, an expanded present value of USD 8,157,706 and USD 9,162,202, respectively. Furthermore, in both models, the optimal harvest ages execution was three rotations. Thus, with an indication of overvaluation of 4.9% when assimilating the geometric Brownian motion, there is no parity between stochastic processes, and three production cycles of Eucalyptus planted forests are economically viable.

Gli stili APA, Harvard, Vancouver, ISO e altri

29

Pagnini, Gianni, Antonio Mura e Francesco Mainardi. "Generalized Fractional Master Equation for Self-Similar Stochastic Processes Modelling Anomalous Diffusion". International Journal of Stochastic Analysis 2012 (16 ottobre 2012): 1–14. http://dx.doi.org/10.1155/2012/427383.

Testo completo

Abstract (sommario):

The Master Equation approach to model anomalous diffusion is considered. Anomalous diffusion in complex media can be described as the result of a superposition mechanism reflecting inhomogeneity and nonstationarity properties of the medium. For instance, when this superposition is applied to the time-fractional diffusion process, the resulting Master Equation emerges to be the governing equation of the Erdélyi-Kober fractional diffusion, that describes the evolution of the marginal distribution of the so-called generalized grey Brownian motion. This motion is a parametric class of stochastic processes that provides models for both fast and slow anomalous diffusion: it is made up of self-similar processes with stationary increments and depends on two real parameters. The class includes the fractional Brownian motion, the time-fractional diffusion stochastic processes, and the standard Brownian motion. In this framework, the M-Wright function (known also as Mainardi function) emerges as a natural generalization of the Gaussian distribution, recovering the same key role of the Gaussian density for the standard and the fractional Brownian motion.

Gli stili APA, Harvard, Vancouver, ISO e altri

30

Fu, James C., e Tung-Lung Wu. "Linear and Nonlinear Boundary Crossing Probabilities for Brownian Motion and Related Processes". Journal of Applied Probability 47, n. 4 (dicembre 2010): 1058–71. http://dx.doi.org/10.1239/jap/1294170519.

Testo completo

Abstract (sommario):

We propose a new method to obtain the boundary crossing probabilities or the first passage time distribution for linear and nonlinear boundaries for Brownian motion. The method also covers certain classes of stochastic processes associated with Brownian motion. The basic idea of the method is based on being able to construct a finite Markov chain, and the boundary crossing probability of Brownian motion is cast as the limiting probability of the finite Markov chain entering a set of absorbing states induced by the boundaries. Error bounds are obtained. Numerical results for various types of boundary studied in the literature are provided in order to illustrate our method.

Gli stili APA, Harvard, Vancouver, ISO e altri

31

Fu, James C., e Tung-Lung Wu. "Linear and Nonlinear Boundary Crossing Probabilities for Brownian Motion and Related Processes". Journal of Applied Probability 47, n. 04 (dicembre 2010): 1058–71. http://dx.doi.org/10.1017/s0021900200007361.

Testo completo

Abstract (sommario):

We propose a new method to obtain the boundary crossing probabilities or the first passage time distribution for linear and nonlinear boundaries for Brownian motion. The method also covers certain classes of stochastic processes associated with Brownian motion. The basic idea of the method is based on being able to construct a finite Markov chain, and the boundary crossing probability of Brownian motion is cast as the limiting probability of the finite Markov chain entering a set of absorbing states induced by the boundaries. Error bounds are obtained. Numerical results for various types of boundary studied in the literature are provided in order to illustrate our method.

Gli stili APA, Harvard, Vancouver, ISO e altri

32

López, Sergio I. "Convergence of tandem Brownian queues". Journal of Applied Probability 53, n. 2 (giugno 2016): 585–92. http://dx.doi.org/10.1017/jpr.2016.22.

Testo completo

Abstract (sommario):

AbstractIt is known that in a stationary Brownian queue with both arrival and service processes equal in law to Brownian motion, the departure process is a Brownian motion, identical in law to the arrival process: this is the analogue of Burke's theorem in this context. In this paper we prove convergence in law to this Brownian motion in a tandem network of Brownian queues: if we have an arbitrary continuous process, satisfying some mild conditions, as an initial arrival process and pass it through an infinite tandem network of queues, the resulting process weakly converges to a Brownian motion. We assume independent and exponential initial workloads for all queues.

Gli stili APA, Harvard, Vancouver, ISO e altri

33

Kleptsyna, M. L., P. E. Kloeden e V. V. Anh. "Linear filtering with fractional Brownian motion in the signal and observation processes". Journal of Applied Mathematics and Stochastic Analysis 12, n. 1 (1 gennaio 1999): 85–90. http://dx.doi.org/10.1155/s1048953399000076.

Testo completo

Abstract (sommario):

Integral equations for the mean-square estimate are obtained for the linear filtering problem, in which the noise generating the signal is a fractional Brownian motion with Hurst index h∈(3/4,1) and the noise in the observation process includes a fractional Brownian motion as well as a Wiener process.

Gli stili APA, Harvard, Vancouver, ISO e altri

34

Araman, Victor F., e Peter W. Glynn. "Fractional Brownian Motion with H < 1/2 as a Limit of Scheduled Traffic". Journal of Applied Probability 49, n. 3 (settembre 2012): 710–18. http://dx.doi.org/10.1239/jap/1346955328.

Testo completo

Abstract (sommario):

In this paper we show that fractional Brownian motion with H < ½ can arise as a limit of a simple class of traffic processes that we call ‘scheduled traffic models’. To our knowledge, this paper provides the first simple traffic model leading to fractional Brownnian motion with H < ½. We also discuss some immediate implications of this result for queues fed by scheduled traffic, including a heavy-traffic limit theorem.

Gli stili APA, Harvard, Vancouver, ISO e altri

35

Herzog, Bodo. "Adopting Feynman–Kac Formula in Stochastic Differential Equations with (Sub-)Fractional Brownian Motion". Mathematics 10, n. 3 (23 gennaio 2022): 340. http://dx.doi.org/10.3390/math10030340.

Testo completo

Abstract (sommario):

The aim of this work is to establish and generalize a relationship between fractional partial differential equations (fPDEs) and stochastic differential equations (SDEs) to a wider class of stochastic processes, including fractional Brownian motions {BtH,t≥0} and sub-fractional Brownian motions {ξtH,t≥0} with Hurst parameter H∈(12,1). We start by establishing the connection between a fPDE and SDE via the Feynman–Kac Theorem, which provides a stochastic representation of a general Cauchy problem. In hindsight, we extend this connection by assuming SDEs with fractional- and sub-fractional Brownian motions and prove the generalized Feynman–Kac formulas under a (sub-)fractional Brownian motion. An application of the theorem demonstrates, as a by-product, the solution of a fractional integral, which has relevance in probability theory.

Gli stili APA, Harvard, Vancouver, ISO e altri

36

Vasylyk, O. I., e I. I. Lovytska. "Simulation of a strictly φ-sub-Gaussian generalized fractional Brownian motion". Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics, n. 1 (2021): 11–19. http://dx.doi.org/10.17721/1812-5409.2021/1.1.

Testo completo

Abstract (sommario):

In the paper, we consider the problem of simulation of a strictly φ-sub-Gaussian generalized fractional Brownian motion. Simulation of random processes and fields is used in many areas of natural and social sciences. A special place is occupied by methods of simulation of the Wiener process and fractional Brownian motion, as these processes are widely used in financial and actuarial mathematics, queueing theory etc. We study some specific class of processes of generalized fractional Brownian motion and derive conditions, under which the model based on a series representation approximates a strictly φ-sub-Gaussian generalized fractional Brownian motion with given reliability and accuracy in the space C([0; 1]) in the case, when φ(x) = (|x|^p)/p, |x| ≥ 1, p > 1. In order to obtain these results, we use some results from the theory of φ-sub-Gaussian random processes. Necessary simulation parameters are calculated and models of sample pathes of corresponding processes are constructed for various values of the Hurst parameter H and for given reliability and accuracy using the R programming environment.

Gli stili APA, Harvard, Vancouver, ISO e altri

37

Vasylyk, O. I., I. V. Rozora, T. O. Ianevych e I. I. Lovytska. "On some method on model construction for strictly φ-sub-Gaussian generalized fractional Brownian motion". Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics, n. 2 (2021): 18–25. http://dx.doi.org/10.17721/1812-5409.2021/2.3.

Testo completo

Abstract (sommario):

In the paper, we consider the problem of simulation of a strictly φ-sub-Gaussian generalized fracti-onal Brownian motion. Simulation of random processes and fields is used in many areas of natural and social sciences. A special place is occupied by methods of simulation of the Wiener process and fractional Brownian motion, as these processes are widely used in financial and actuarial mathematics, queueing theory etc. We study some specific class of processes of generalized fractional Brownian motion and derive conditions, under which the model based on a series representation approximates a strictly φ-sub-Gaussian generalized fractional Brownian motion with given reliability and accuracy in the space C([0; 1]) in the case, when φ(x) = exp{|x|} − |x| − 1, x ∈ R. In order to obtain these results, we use some results from the theory of φ-sub-Gaussian random processes. Necessary simulation parameters are calculated and models of sample pathes of corresponding processes are constructed for various values of the Hurst parameter H and for given reliability and accuracy using the R programming environment.

Gli stili APA, Harvard, Vancouver, ISO e altri

38

Caramellino, Lucia, e Barbara Pacchiarotti. "Large deviation estimates of the crossing probability for pinned Gaussian processes". Advances in Applied Probability 40, n. 2 (giugno 2008): 424–53. http://dx.doi.org/10.1239/aap/1214950211.

Testo completo

Abstract (sommario):

The paper deals with the asymptotic behavior of the bridge of a Gaussian process conditioned to stay in n fixed points at n fixed past instants. In particular, functional large deviation results are stated for small time. Several examples are considered: integrated or not fractional Brownian motions and m-fold integrated Brownian motion. As an application, the asymptotic behavior of the exit probability is studied and used for the practical purpose of the numerical computation, via Monte Carlo methods, of the hitting probability up to a given time of the unpinned process.

Gli stili APA, Harvard, Vancouver, ISO e altri

39

Caramellino, Lucia, e Barbara Pacchiarotti. "Large deviation estimates of the crossing probability for pinned Gaussian processes". Advances in Applied Probability 40, n. 02 (giugno 2008): 424–53. http://dx.doi.org/10.1017/s0001867800002597.

Testo completo

Abstract (sommario):

The paper deals with the asymptotic behavior of the bridge of a Gaussian process conditioned to stay in n fixed points at n fixed past instants. In particular, functional large deviation results are stated for small time. Several examples are considered: integrated or not fractional Brownian motions and m-fold integrated Brownian motion. As an application, the asymptotic behavior of the exit probability is studied and used for the practical purpose of the numerical computation, via Monte Carlo methods, of the hitting probability up to a given time of the unpinned process.

Gli stili APA, Harvard, Vancouver, ISO e altri

40

Marouby, Matthieu. "Micropulses and Different Types of Brownian Motion". Journal of Applied Probability 48, n. 3 (settembre 2011): 792–810. http://dx.doi.org/10.1239/jap/1316796915.

Testo completo

Abstract (sommario):

In this paper we study sums of micropulses that generate different kinds of processes. Fractional Brownian motion and bifractional Brownian motion are obtained as limit processes. Moreover, we not only prove the convergence of finite-dimensional laws but also, in some cases, convergence in distribution in the space of right-continuous functions with left limits. Finally, we obtain generalizations with multidimensional indices.

Gli stili APA, Harvard, Vancouver, ISO e altri

41

Marouby, Matthieu. "Micropulses and Different Types of Brownian Motion". Journal of Applied Probability 48, n. 03 (settembre 2011): 792–810. http://dx.doi.org/10.1017/s0021900200008329.

Testo completo

Abstract (sommario):

In this paper we study sums of micropulses that generate different kinds of processes. Fractional Brownian motion and bifractional Brownian motion are obtained as limit processes. Moreover, we not only prove the convergence of finite-dimensional laws but also, in some cases, convergence in distribution in the space of right-continuous functions with left limits. Finally, we obtain generalizations with multidimensional indices.

Gli stili APA, Harvard, Vancouver, ISO e altri

42

Araman, Victor F., e Peter W. Glynn. "Fractional Brownian Motion with H < 1/2 as a Limit of Scheduled Traffic". Journal of Applied Probability 49, n. 03 (settembre 2012): 710–18. http://dx.doi.org/10.1017/s0021900200009487.

Testo completo

Abstract (sommario):

In this paper we show that fractional Brownian motion with H < ½ can arise as a limit of a simple class of traffic processes that we call ‘scheduled traffic models’. To our knowledge, this paper provides the first simple traffic model leading to fractional Brownnian motion with H < ½. We also discuss some immediate implications of this result for queues fed by scheduled traffic, including a heavy-traffic limit theorem.

Gli stili APA, Harvard, Vancouver, ISO e altri

43

Xie, Huantian, e Nenghui Kuang. "Least squares type estimations for discretely observed nonergodic Gaussian Ornstein-Uhlenbeck processes of the second kind". AIMS Mathematics 7, n. 1 (2021): 1095–114. http://dx.doi.org/10.3934/math.2022065.

Testo completo

Abstract (sommario):

<abstract><p>We consider the nonergodic Gaussian Ornstein-Uhlenbeck processes of the second kind defined by $ dX_t = \theta X_tdt+dY_t^{(1)}, t\geq 0, X_0 = 0 $ with an unknown parameter $ \theta > 0, $ where $ dY_t^{(1)} = e^{-t}dG_{a_{t}} $ and $ \{G_t, t\geq 0\} $ is a mean zero Gaussian process with the self-similar index $ \gamma\in (\frac{1}{2}, 1) $ and $ a_t = \gamma e^{\frac{t}{\gamma}} $. Based on the discrete observations $ \{X_{t_i}:t_i = i\Delta_n, i = 0, 1, \cdots, n\} $, two least squares type estimators $ \hat{\theta}_n $ and $ \tilde{\theta}_n $ of $ \theta $ are constructed and proved to be strongly consistent and rate consistent. We apply our results to the cases such as fractional Brownian motion, sub-fractional Brownian motion, bifractional Brownian motion and sub-bifractional Brownian motion. Moreover, the numerical simulations confirm the theoretical results.</p></abstract>

Gli stili APA, Harvard, Vancouver, ISO e altri

44

Ascione, Giacomo, Nikolai Leonenko e Enrica Pirozzi. "Skorokhod Reflection Problem for Delayed Brownian Motion with Applications to Fractional Queues". Symmetry 14, n. 3 (19 marzo 2022): 615. http://dx.doi.org/10.3390/sym14030615.

Testo completo

Abstract (sommario):

Several queueing systems in heavy traffic regimes are shown to admit a diffusive approximation in terms of the Reflected Brownian Motion. The latter is defined by solving the Skorokhod reflection problem on the trajectories of a standard Brownian motion. In recent years, fractional queueing systems have been introduced to model a class of queueing systems with heavy-tailed interarrival and service times. In this paper, we consider a subdiffusive approximation for such processes in the heavy traffic regime. To do this, we introduce the Delayed Reflected Brownian Motion by either solving the Skorohod reflection problem on the trajectories of the delayed Brownian motion or by composing the Reflected Brownian Motion with an inverse stable subordinator. The heavy traffic limit is achieved via the continuous mapping theorem. As a further interesting consequence, we obtain a simulation algorithm for the Delayed Reflected Brownian Motion via a continuous-time random walk approximation.

Gli stili APA, Harvard, Vancouver, ISO e altri

45

Kobryn, Hayashi e Arimitsu. "QUANTUM STOCHASTIC PROCESSES: BOSON AND FERMION BROWNIAN MOTION". Condensed Matter Physics 6, n. 4 (2003): 637. http://dx.doi.org/10.5488/cmp.6.4.637.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

46

MANCINO, MARIA ELVIRA. "DIFFUSION PROCESSES WITH RESPECT TO FREE BROWNIAN MOTION". Infinite Dimensional Analysis, Quantum Probability and Related Topics 03, n. 03 (settembre 2000): 435–43. http://dx.doi.org/10.1142/s0219025700000273.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

47

Macedo-Junior, A. F., e A. M. S. Macêdo. "Brownian-motion ensembles: correlation functions of determinantal processes". Journal of Physics A: Mathematical and Theoretical 41, n. 1 (12 dicembre 2007): 015004. http://dx.doi.org/10.1088/1751-8113/41/1/015004.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

48

McCauley, Joseph L., Gemunu H. Gunaratne e Kevin E. Bassler. "Hurst exponents, Markov processes, and fractional Brownian motion". Physica A: Statistical Mechanics and its Applications 379, n. 1 (giugno 2007): 1–9. http://dx.doi.org/10.1016/j.physa.2006.12.028.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

49

Abramson, Joshua, e Steven N. Evans. "Lipschitz minorants of Brownian motion and Lévy processes". Probability Theory and Related Fields 158, n. 3-4 (30 marzo 2013): 809–57. http://dx.doi.org/10.1007/s00440-013-0497-9.

Testo completo

Gli stili APA, Harvard, Vancouver, ISO e altri

50

Chronopoulou, Alexandra, e Georgios Fellouris. "Optimal Sequential Change Detection for Fractional Diffusion-Type Processes". Journal of Applied Probability 50, n. 1 (marzo 2013): 29–41. http://dx.doi.org/10.1239/jap/1363784422.

Testo completo

Abstract (sommario):

The problem of detecting an abrupt change in the distribution of an arbitrary, sequentially observed, continuous-path stochastic process is considered and the optimality of the CUSUM test is established with respect to a modified version of Lorden's criterion. We apply this result to the case that a random drift emerges in a fractional Brownian motion and we show that the CUSUM test optimizes Lorden's original criterion when a fractional Brownian motion with Hurst index H adopts a polynomial drift term with exponent H+1/2.

Gli stili APA, Harvard, Vancouver, ISO e altri

Offriamo sconti su tutti i piani premium per gli autori le cui opere sono incluse in raccolte letterarie tematiche. Contattaci per ottenere un codice promozionale unico!