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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...
Two switching multiple disorder problems for Brownian motions
Multiple disorder problem optimal switching problem Brownian motion
2010/11/8
The multiple disorder problem seeks to determine a sequence of stopping times which are as close as possible to the unknown times of disorders at which the observation process changes its probability ...
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...
First of all we want to thank the editor, Michael Newton, for leading the review and discussion of our work.
Distance correlation is a new class of multivariate dependence coefficients applicable to random vectors of arbitrary and not necessarily equal dimension. Distance covariance and distance correlation...
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。
Suppose that X is a two-dimensional Brownian motion.
The trace X[O, I] contains a self-avoiding continuous path
whose Hausdorff dimension is equal to 2.
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...
Extreme values of derivatives of smoothed fractional Brownian motions
Extreme values of derivatives smoothed fractional Brownian motions
2009/9/22
Let B,(.) be a fractional Brownian motion on R
with parameter 1/2 < H < 1, and consider its smoothed version
b;Hj K((t- sj/b,)BH(s) ds, teR, where the kernel K ( . ) is a density function
and the b...
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...