搜索结果: 1-9 共查到“统计调查分析理论 Brownian motion”相关记录9条 . 查询时间(0.165 秒)
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...
On the constructions of the skew Brownian motion
skew Brownian motion PDE with singular drift PDE with transmission condition SDE with local time excursions of Brownian motion
2009/5/18
This article summarizes the various ways one may use to construct the Skew Brownian motion, and shows their connections. Recent applications of this process in modelling and numerical simulation motiv...
Fractional Brownian Motion and the Markov Property
Gaussian processes Markov Processes Numerical Approximation Ergodic Theorem
2009/5/8
Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process. This leads naturally to:
1. A...
Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon
Gaussian random walk maximum Riemann zeta function Euler-Maclaurin summation equidistant sampling of Brownian motion finite horizon
2009/4/29
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
heat equation white noise stochastic partial differential equations
2009/4/29
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...
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.