Results 31 to 37 of about 897 (37)
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
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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
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Loop-Erased Walks and Random Matrices. [PDF]
J Stat Phys, 2019 Arista J, O'Connell N.
europepmc +1 more source
Precise small deviations in L 2 of some Gaussian processes appearing in the regression context
Open Mathematics, 2014 Kirichenko Alisa, Nikitin Ya.
doaj +1 more source
Analytical and Numerical Treatments of Conservative Diffusions and the Burgers Equation. [PDF]
Entropy (Basel), 2018 Prodanov D.
europepmc +1 more source