The existence of Wiener process is guarenteed by Kolmogorov extension theorem. Wiener process represent a continuous but still infinitly fluctuated process: small changes happen all the time, and smoothly. To understand why increment is Gaussian distributed, we can rely on the Central Limit theorem...
We consider integrals au_{ho}=\\int_0^1ho\\xi^2\\,dx au_{ho}=\\int_0^1ho\\xi^2\\,dx , where \\xi \\xi is Wiener process and ho ho is generalized function from some class of multipliers. In the case when multiplier ho ho belongs to the trace-class, it is shown that ...
P. Deheuvels, Invariance of Wiener processes and of Brownian bridges by integral transforms and applications, Stochastic. Process. Appl. 13 (3) (1982) 311-318.Deheuvels, P. (1982) Invariance of Wiener processes and of Brownian bridges by integral transformations and applications. Stochastic ...
分数Wiener过程 1. Based on some means in Csorgo M and Revesz P and the subsequence method, and some probability inequalities on the maximum offractional Winener processoffered by Zhang Li-xin et al. 主要讨论了阶为a(0 3) Wiener Hopf integral equation ...
39th IFF Spring School, Institut of Solid State Research, Research Centre Julich Consider a Wiener process W˙(t)=ξ(t) where ⟨ξ(t)ξ(t′)⟩=2Dδ(t−t′) . An observable on the stochastic path can be averaged by summation of all trajectories in the path ensemble. ⟨A...
We consider a random walk that converges weakly to a fractional Brownian motion with Hurst index H > 1/2. We construct an integral-type functional of this random walk and prove that it converges weakly to an integral constructed on the basis of the fractional Brownian motion.关键词: Random ...
The problem of finding the probability distribution of the first hitting time of a double integral process (DIP) such as the integrated Wiener process (IWP) has been an important and difficult endeavor in stochastic calculus. It has applications in many fields of physics (first exit time of a...
where t∗t∗ is random stopping time, and WtWt is Wiener process. In this simple situation, "can I just interchange the expectation and the integral sign" (By Fubini's result?) and get E[∫t(ω)∗∧T0c⋅dWt]=?=c⋅∫t(ω)∗∧T0E[dWt]=0?E[∫0t(ω)∗∧Tc⋅dWt]...
Wt本来是指Wiener process,具体定义如下: (乍一看有一点晦涩,没关系~我们一点点来看) An introduction to the mathematics of financial derivatives page 126 Bt本来是指Brownian motion,他们为什么会经常混用呢? 主要是因为他俩有太多相似之处。在这里有必要提一下他俩的区别: ...
Identification and control of Wiener type process applied to real-time heat exchanger A simple relay feedback method is proposed for the identification and control of Wiener-type nonlinear processes. Wiener-type processes comprise a linear d... A.,Srinivasan,P.,... - 《Asia Pacific Journal of...