Results 21 to 30 of about 63 (62)
Uniform Convergence in some Limit Theorems for Multiple Particle Systems [PDF]
, 1996 For n particles diffusing throughout R (or R d ), let j n;t (A), A 2 B, t 0, be the random measure that counts the number of particles in A at time t.
Wellner, Jon A. +3 more
core +1 more source
A jump to default extended CEV model: an application of Bessel processes
, 2006 Default, Credit spread, Corporate bonds, Equity derivatives, Credit derivatives, Implied volatility skew, CEV model, Bessel processes, 60J35, 60J60, 60J65, 60G70, G12, G13,
Vadim Linetsky, Peter Carr
core +1 more source
On Convergence of a Family of Random Walks in the Infinite Dimensional Stiefel Manifold
International Journal of Mathematics and Mathematical Sciences, Volume 2026, Issue 1, 2026.In this paper, we study random walks taking values in an infinite‐dimensional space—either a Hilbert space or an infinite‐dimensional manifold embedded in it, such as the Stiefel manifold. These random walks arise in problems in shape theory, particularly when stochastic optimization is applied.
Andrea C. G. Mennucci, Shikha Binwal
wiley +1 more source
Нови резултати в областта на аномалните дифузии
, 2023 [Savov Mladen; Савов Младен]In this paper we review briefly some of the results in the area of anomalous diffusions which are related to the anomalous aggregation phenomenon. Loosely, speaking this phenomenon occurs when a particle moves in a milieu with
Savov, Mladen
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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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A characterization of the Brownian ratchet by a Skorohod-type equation [PDF]
, 2014 We formulate using a Skorohod-type equation a process with the following properties and call it a Brownian ratchet with the integer-valued moving boundary(BRIMB).
Itomoto, Masahiko, Isozaki, Yasuki
core +1 more source
Pricing equity default swaps under the jump-to-default extended CEV model
Default, Credit default swaps, Equity default swaps, Credit spread, Corporate bonds, Equity derivatives, Credit derivatives, CEV model, Jump-to-default extended CEV model, 60J35, 60J60, 60J65, 60G70, G12, G13,
Rafael Mendoza-Arriaga, Vadim Linetsky
core +1 more source
On the Local Time of Anisotropic Random Walk on Z2
We study the local time of the anisotropic random walk on the two-dimensional lattice Z2 , by establishing the exact asymptotic behavior of the N- step return probability to the origin.
Csáki, Endre, Földes, Antónia
core +1 more source
, 1996 The paper deals with one-dimensional Brownian motion perturbed when it hits its minimum and/or its maximum. It first presents some features of perturbed reflected Brownian motion defined as jBj \Gamma ¯` where B is standard Brownian motion, ` its local ...
Mihael Perman, Wendelin Werner
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, 2006 The paper deals with one-dimensional homogeneous stochastic differential inclusions without drift with a Borel measurable right side. Using a new method of explicit solutions, the necessary and sufficient conditions for the existence of weak solutions of
Anton
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