Results 1 to 10 of about 891 (38)
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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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
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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
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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
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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
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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
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Computational and Mathematical BiophysicsIn this article, we study a fractional-order prey-predator model incorporating prey refuge and predator harvesting, employing a Holling type III functional response.
Aguegboh Nnaemeka Stanley +5 more
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Macroscopic limit of a Fokker-Planck model of swarming rigid bodies
European Journal of Applied MathematicsWe consider self-propelled rigid bodies interacting through local body-attitude alignment modelled by stochastic differential equations. We derive a hydrodynamic model of this system at large spatio-temporal scales and particle numbers in any dimension
Pierre Degond, Amic Frouvelle
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Computational and Mathematical BiophysicsInfectious illnesses like hepatitis place a heavy cost on global health, and precise mathematical models must be created in order to understand and manage them.
Aguegboh Nnaemeka S. +4 more
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