Results 21 to 30 of about 918 (56)
On the Moving Boundary Hitting Probability for the Brownian Motion [PDF]
, 2007 2000 Mathematics Subject Classification: 60J65.Consider the probability that the Brownian motion hits a moving two-sided boundary by a certain moment.
P. Kralchev, Dobromir
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Existence and uniqueness of solution for a fractional hepatitis B model
Computational and Mathematical BiophysicsUnderstanding 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 +5 more
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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
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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
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, 2011 We consider a mixed stochastic differential equation involving both standard Brownian motion and fractional Brownian motion with Hurst parameter $H>1/2$.
Mishura, Yulia, Shevchenko, Georgiy
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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
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The role of Skorokhod space in the development of the econometric analysis of time series [PDF]
This paper discusses the fundamental role played by Skorokhod space, through its underpinning of functional central limit theory, in the development of the paradigm of unit roots and co-integration.
Mc CRORIE, J. Roderick
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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
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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
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