Results 21 to 30 of about 891 (38)

Blending Brownian motion and heat equation

, 2015
In this short communication we present an original way to couple the Brownian motion and the heat equation. More in general, we suggest a way for coupling the Langevin equation for a particle, which describes a single realization of its trajectory, with ...
Cristiani, Emiliano
core   +1 more source

A note on a.s. finiteness of perpetual integral functionals of diffusions [PDF]

, 2005
In this note, with the help of the boundary classification of diffusions, we derive a criterion of the convergence of perpetual integral functionals of transient real-valued diffusions.
Salminen, Paavo, Yor, Marc
core   +2 more sources

An Arctangent Law

, 2016
Let $M_r$ be the maximum value of an one-dimensional Brownian motion on the (time) interval $[0, r]$. We derive an explicit formula for the distribution of the time required (after $r$) for the Brownian motion to exceed $M_r$.Comment: 3 ...
Papanicolaou, Vassilis G.
core   +1 more source

Higher order PDE's and iterated Processes

, 2005
We introduce a class of stochastic processes based on symmetric $\alpha$-stable processes. These are obtained by taking Markov processes and replacing the time parameter with the modulus of a symmetric $\alpha$-stable process.
nane, Erkan
core   +1 more source

Existence and uniqueness of solution for a fractional hepatitis B model

Computational and Mathematical Biophysics
Understanding the dynamics of infectious diseases using mathematical modeling is essential for developing prevention and control measures. Hepatitis B is still a major public health issue in many places, including Kenya, where the high incidence of ...
Aguegboh Nnaemeka Stanley, Oranugo Dominic Obinna, Kiogora Phineas Roy, Felix Mutua, Netochukwu Onyiaji, Egwu Andrew Onyeka   +5 more
doaj   +1 more source

Sharp estimates of the spherical heat kernel

, 2018
We prove sharp two-sided global estimates for the heat kernel associated with a Euclidean sphere of arbitrary dimension. This solves a long-standing open problem.Comment: 9 pages, to appear in J. Math.
Nowak, Adam, Sjögren, Peter, Szarek, Tomasz Z.   +2 more
core   +1 more source

Stepping-stone model with circular Brownian migration [PDF]

, 2005
In this paper we consider a stepping-stone model on a circle with circular Brownian migration. We first point out a connection between Arratia flow and the marginal distribution of this model.
Zhou, Xiaowen
core   +2 more sources

Wiener integral for the coordinate process under the $ \sigma $-finite measure unifying Brownian penalisations [PDF]

, 2010
Wiener integral for the coordinate process is defined under the $ \sigma $-finite measure unifying Brownian penalisations, which has been introduced by Najnudel, Roynette and Yor. Its decomposition before and after last exit time from 0 is studied.
Yano, Kouji
core   +1 more source

A "One-line" Simulator for Maxima or Minima on Drifting Brownian Paths [PDF]

A simple transform of a standard uniform variate is given for simulation of the maximum attained by a Wiener process with drift, conditioned upon the level attained by the process over an arbitrary time interval.
Allen Abrahamson
core  

A white noise approach to insider trading

, 2015
We present a new approach to the optimal portfolio problem for an insider with logarithmic utility. Our method is based on white noise theory, stochastic forward integrals, Hida-Malliavin calculus and the Donsker delta function.Comment: arXiv admin note:
Røse, Elin, Øksendal, Bernt
core