This will provide a way of computing solutions of parabolic differential equations, which is a deterministic problem, by means of studying the transition probability density of the underlying stochastic process.doi:10.1142/9789811247101_0009Ovidiu Calin...
Maximizing the $p$-th moment of exit time of planar Brownian motion from a given domain geometrical method of excluding parts of the domain from consideration which makes use of a coupling argument and the conformal invariance of Brownian motion... M Boudabra,G Markowsky - 《Arxiv》 被引量...
We generalize Brownian motion on a Riemannian manifold to the case of a family of metrics which depends on time. Such questions are natural for equations like the heat equation with respect to time dependent Laplacians (inhomogeneous diffu- sions). In this paper we are in particular interested...
布朗运动在金融时间序列的应用12papers1fractional brownian motion and applications to fnancial modelling.pdf, §§ § § § 1 1 1 1
As an example we find the moments of processes representing an asset price in the lognormal volatility ans Stein models. We also present links among the geometric Brownian motion, the Markov processes studied by Matsumoto and Yor and the hyperbolic Bessel processes....
布朗运动在金融时间序列的应用12papers1fractional brownian motion and applications to fnancial modelling.pdf, §§ § § § 1 1 1 1
A simple path to asymptotics for the frontier of a branching Brownian motion We give short proofs of two classical results about the position of the extremal particle in a branching Brownian motion, one concerning the median positio... Roberts,I Matthew - 《Annals of Probability》 被引量: 81...
Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be ...
AbstractWe prove an It么鈥檚 formula for Walsh鈥檚 Brownian motion in the plane with angles according to a probability measure on . This extends Freidlin鈥揝heu formula which corresponds to the case where has finite support. We also give some applications.Hatem Hajri...
In Probability, Sta- tistics and their Applications: Papers in Honor of Rabi Bhattacharya, volume 41, 285 - 291. Institute of Mathematical Statistics.Zinde-Walsh, V., and P. C. B. Phillips (2003): "Fractional Brownian Motion as a Differentiable Generalized Gaussian Process," Working Paper ...