Results 11 to 20 of about 1,549 (83)
New formulas concerning Laplace transforms of quadratic forms for general Gaussian sequences
International Journal of Stochastic Analysis, Volume 15, Issue 4, Page 309-325, 2002., 2002 Various methods to derive new formulas for the Laplace transforms of some quadratic forms of Gaussian sequences are discussed. In the general setting, an approach based on the resolution of an appropriate auxiliary filtering problem is developed; it leads to a formula in terms of the solutions of Volterra‐type recursions describing characteristics of ...
M. L. Kleptsyna, A. Le Breton, M. Viot
wiley +1 more source
Infinite secret sharing – Examples
Journal of Mathematical Cryptology, 2014 The motivation for extending secret sharing schemes to cases when either the set of players is infinite or the domain from which the secret and/or the shares are drawn is infinite or both, is similar to the case when switching to abstract probability ...
Dibert Alexander, Csirmaz László
doaj +1 more source
International Journal of Stochastic Analysis, Volume 14, Issue 3, Page 215-226, 2001., 2001 The optimal filtering problem for multidimensional continuous possibly non‐Markovian, Gaussian processes, observed through a linear channel driven by a Brownian motion, is revisited. Explicit Volterra type filtering equations involving the covariance function of the filtered process are derived both for the conditional mean and for the covariance of ...
M. L. Kleptsyna, A. Le Breton
wiley +1 more source
Geoestadística aplicada a series de tiempo autorregresivas: un estudio de simulación
Revista Integración, 2017 La geoestadística puede usarse como método de predicción de datos faltantes en series temporales. El procedimiento se basa en el estudio de la estructura de autocorrelación temporal de la serie de tiempo por medio de la función de variograma, que es ...
Ramón Giraldo +2 more
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Self‐similar processes in collective risk theory
International Journal of Stochastic Analysis, Volume 11, Issue 4, Page 429-448, 1998., 1998 Collective risk theory is concerned with random fluctuations of the total assets and the risk reserve of an insurance company. In this paper we consider self‐similar, continuous processes with stationary increments for the renewal model in risk theory. We construct a risk model which shows a mechanism of long range dependence of claims.
Zbigniew Michna
wiley +1 more source
Self-avoiding fractional Brownian motion - The Edwards model [PDF]
, 2010 In this work we extend Varadhan's construction of the Edwards polymer model to the case of fractional Brownian motions in $\R^d$, for any dimension $d\geq 2$, with arbitrary Hurst parameters $H\leq 1/d$.Comment: 14 ...
A. Pelissetto +21 more
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An approach to the stochastic calculus in the non‐Gaussian case
International Journal of Stochastic Analysis, Volume 8, Issue 4, Page 361-370, 1995., 1995 We introduce and study a class of operators of stochastic differentiation and integration for non‐Gaussian processes. As an application, we establish an analog of the Itô formula.
Andrey A. Dorogovtsev
wiley +1 more source
Square variation of Brownian paths in Banach spaces
International Journal of Mathematics and Mathematical Sciences, Volume 5, Issue 3, Page 605-607, 1982., 1982 It is known that if {W(t), 0 ≤ t ≤ 1} is a standard Brownian motion in ℝ then almost surely. We generalize this celebrated theorem of Levy to Brownian motion in real separable Banach spaces.
Mou-Hsiung Chang
wiley +1 more source
Packing-Dimension Profiles and Fractional Brownian Motion [PDF]
, 2007 In order to compute the packing dimension of orthogonal projections Falconer and Howroyd (1997) introduced a family of packing dimension profiles ${\rm Dim}_s$ that are parametrized by real numbers $s>0$.
DAVAR KHOSHNEVISAN +4 more
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Hitting times for Gaussian processes [PDF]
, 2007 We establish a general formula for the Laplace transform of the hitting times of a Gaussian process. Some consequences are derived, and particular cases like the fractional Brownian motion are discussed.Comment: Published in at http://dx.doi.org/10.1214 ...
Decreusefond, Laurent, Nualart, David
core +6 more sources