Results 1 to 10 of about 980 (56)
Geometric fractional Brownian motion model for commodity market simulation
Alexandria Engineering Journal, 2021 The geometric Brownian motion (GBM) model is a mathematical model that has been used to model asset price paths. By incorporating Hurst parameter to GBM to characterize long-memory phenomenon, the geometric fractional Brownian motion (GFBM) model was ...
Siti Nur Iqmal Ibrahim +2 more
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Computational and Mathematical Biophysics, 2023 This article consists of a detailed and novel stochastic optimal control analysis of a coupled non-linear dynamical system. The state equations are modelled as an additional food-provided prey–predator system with Holling type III functional response for
Prakash Daliparthi Bhanu +1 more
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Exponential functionals of Brownian motion, II: Some related diffusion processes [PDF]
, 2005 This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the rst part.
Hiroyuki Matsumoto, M. Yor
semanticscholar +1 more source
Restrictions of Brownian motion [PDF]
, 2014 Let $\{ B(t) \colon 0\leq t\leq 1\}$ be a linear Brownian motion and let $\dim$ denote the Hausdorff dimension. Let $\alpha>\frac12$ and $1\leq \beta \leq 2$.
Balka, Richárd, Peres, Yuval
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Brownian Super-exponents [PDF]
, 2006 We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform.
Goodman, Victor
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Approximation of the Mean Escape Time for a Tilted Periodic Potential
Communications in Computational Physics, 2019 We present a formula approximating the mean escape time (MST) of a particle from a tilted multi-periodic potential well. The potential function consists of a weighted sum of a finite number of component functions, each of which is periodic.
Tamra Heberling +2 more
semanticscholar +1 more source
A scaling proof for Walsh's Brownian motion extended arc-sine law [PDF]
, 2012 We present a new proof of the extended arc-sine law related to Walsh's Brownian motion, known also as Brownian spider. The main argument mimics the scaling property used previously, in particular by D.
Vakeroudis, Stavros, Yor, Marc
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The moments of the area under reflected Brownian bridge conditional on its local time at zero
International Journal of Stochastic Analysis, Volume 13, Issue 2, Page 99-124, 2000., 2000 This paper develops a recursion formula for the conditional moments of the area under the absolute value of Brownian bridge given the local time at 0. The method of power series leads to a Hermite equation for the generating function of the coefficients which is solved in terms of the parabolic cylinder functions.
Frank B. Knight
wiley +1 more source
Sojourn times for the Brownian motion
International Journal of Stochastic Analysis, Volume 11, Issue 3, Page 231-246, 1998., 1998 In this paper explicit formulas are given for the distribution function, the density function and the moments of the sojourn time for the reflecting Brownian motion process.
Lajos Takács
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International Journal of Stochastic Analysis, Volume 8, Issue 3, Page 209-232, 1995., 1995 In this paper explicit formulas are given for the distribution functions and the moments of the local times of the Brownian motion, the reflecting Brownian motion, the Brownian meander, the Brownian bridge, the reflecting Brownian bridge and the Brownian excursion.
Lajos Takács
wiley +1 more source