Results 11 to 20 of about 210,378 (309)
Risks, 2017 Diffusions are widely used in finance due to their tractability. Driftless diffusions are needed to describe ratios of asset prices under a martingale measure.
Peter Carr
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Physical Review Letters, 2010 We derive the generalized Markovian description for the non-equilibrium Brownian motion of a heated particle in a simple solvent with a temperature-dependent viscosity.
D. Frenkel +8 more
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Superstatistical Brownian motion [PDF]
Progress of Theoretical Physics Supplement, 2005 As a main example for the superstatistics approach, we study a Brownian particle moving in a d-dimensional inhomogeneous environment with macroscopic temperature fluctuations. We discuss the average occupation time of the particle in spatial cells with a
Beck, Christian
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Brownian motion reflected on Brownian motion [PDF]
Probability Theory and Related Fields, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Burdzy, Krzysztof, Nualart, David
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Brownian Motion of Graphene [PDF]
ACS Nano, 2010 We study the Brownian motion (BM) of optically trapped graphene flakes. These orient orthogonal to the light polarization, due to the optical constants anisotropy. We explain the flake dynamics, measure force and torque constants and derive a full electromagnetic theory of optical trapping. The understanding of two dimensional BM paves the way to light-
Marago' O M +11 more
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Brownian motion in a Brownian crack [PDF]
The Annals of Applied Probability, 1998 Let \(Y^\varepsilon(t)\) be the reflected two-dimensional Brownian motion in Wiener sausage \(D^\varepsilon\) of width \(\varepsilon>0\) around two-sided Brownian motion \(X_1(t)\).
Burdzy, Krzysztof, Khoshnevisan, Davar
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Physical Review A, 2008 14 pages, 4 figures, to appear in Physical Review ...
Kartashov, Yaroslav V. +2 more
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Limiting Behaviors for Brownian Motion Reflected on Brownian Motion [PDF]
Methods and Applications of Analysis, 2002 The authors study a law of iterated logarithm associated to a Brownian motion reflected to another independent Brownian motion.
Chen, X., Li, Wenbo
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Square of Brownian motion [PDF]
Nagoya Mathematical Journal, 1975 Let Xt be a stochastic process and Yt be its square process. The present note is concerned with the solution of the equation assuming Yt is given. In [4], F. A. Grünbaum proved that certain statistics of Yt are enough to determine those of Xt when it is a centered, nonvanishing, Gaussian process with continuous correlation function. In connection with
Hisao Nomoto
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