Results 1 to 10 of about 908 (31)
A generalized clark-ocone formula [PDF]
, 2000 60H25 (60H07 60H40 60J55 60J65)We extend the Clark-Ocone formula to a suitable class of generalized Brownian functionals.
Faria, Margarida de +2 more
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Polymer Measure: Varadhan's Renormalization Revisited [PDF]
, 2014 Through chaos decomposition we improve the Varadhan estimate for the rate of convergence of the centered approximate self-intersection local time of planar Brownian motion.Comment: 5 ...
Bock, Wolfgang +3 more
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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
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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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
wiley +1 more source
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
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
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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A note on local asymptotic behaviour for Brownian motion in Banach spaces
International Journal of Mathematics and Mathematical Sciences, Volume 2, Issue 4, Page 669-676, 1979., 1979 In this paper we obtain an integral characterization of a two‐sided upper function for Brownian motion in a real separable Banach space. This characterization generalizes that of Jain and Taylor [2] where B = ℝn. The integral test obtained involves the index of a mean zero Gaussian measure on the Banach space, which is due to Kuelbs [3].
Mou-Hsiung Chang
wiley +1 more source
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
core +4 more sources