Results 31 to 36 of about 897 (36)

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  

An isoperimetric inequality for the Wiener sausage

, 2011
Let $(\xi(s))_{s\geq 0}$ be a standard Brownian motion in $d\geq 1$ dimensions and let $(D_s)_{s \geq 0}$ be a collection of open sets in $\R^d$. For each $s$, let $B_s$ be a ball centered at 0 with $\vol(B_s) = \vol(D_s)$. We show that $\E[\vol(\cup_{s \
Peres, Yuval, Sousi, Perla
core   +1 more source

FRACTALS WITH POINT IMPACT IN FUNCTIONAL LINEAR REGRESSION. [PDF]

Ann Stat, 2010
McKeague IW, Sen B.
europepmc   +1 more source

Occupation Times on the Legs of a Diffusion Spider. [PDF]

Entropy (Basel)
Salminen P, Stenlund D.
europepmc   +1 more source

Some Open Questions About the Anisotropic Random Walks. [PDF]

Entropy (Basel)
Csáki E, Földes A.
europepmc   +1 more source