Results 41 to 50 of about 210,378 (309)
Tail estimates for the Brownian excursion area and other Brownian areas [PDF]
, 2007 Several Brownian areas are considered in this paper: the Brownian excursion area, the Brownian bridge area, the Brownian motion area, the Brownian meander area, the Brownian double meander area, the positive part of Brownian bridge area, the positive ...
Janson, Svante, Louchard, Guy
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Exact distributions of the maximum and range of random diffusivity processes
New Journal of Physics, 2021 We study the extremal properties of a stochastic process x _t defined by the Langevin equation ${\dot {x}}_{t}=\sqrt{2{D}_{t}}\enspace {\xi }_{t}$ , in which ξ _t is a Gaussian white noise with zero mean and D _t is a stochastic ‘diffusivity’, defined as
Denis S Grebenkov +4 more
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A Spurious Brownian Motion [PDF]
Proceedings of the American Mathematical Society, 1985 There exists an R d {{\mathbf {R}}^d} -valued mean-zero Gaussian process, all of whose projections agree with the projections of standard Brownian motion, yet which is not standard Brownian motion.
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On the Integral of the Fractional Brownian Motion and Some Pseudo-Fractional Gaussian Processes
Mathematics, 2019 We investigate the main statistical parameters of the integral over time of the fractional Brownian motion and of a kind of pseudo-fractional Gaussian process, obtained as a classical Gauss−Markov process from Doob representation by replacing ...
Mario Abundo, Enrica Pirozzi
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Oscillating Brownian motion [PDF]
Journal of Applied Probability, 1978 An ‘oscillating' version of Brownian motion is defined and studied. ‘Ordinary' Brownian motion and ‘reflecting' Brownian motion are shown to arise as special cases. Transition densities, first-passage time distributions, and occupation time distributions for the process are obtained explicitly.
Julian Keilson, Jon A. Wellner
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Hydrothermal analysis of magneto hydrodynamic nanofluid flow between two parallel by AGM
Case Studies in Thermal Engineering, 2019 In this paper, heat and mass transfer process of steady nanofluid flow between two parallel plates is investigated in existence of uniform magnetic field.
R. Derakhshan +4 more
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Operator Fractional Brownian Motion and Martingale Differences
Abstract and Applied Analysis, 2014 It is well known that martingale difference sequences are very useful in applications and theory. On the other hand, the operator fractional Brownian motion as an extension of the well-known fractional Brownian motion also plays an important role in both
Hongshuai Dai +2 more
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Cluster Analysis on Locally Asymptotically Self-Similar Processes with Known Number of Clusters
Fractal and Fractional, 2022 We conduct cluster analysis of a class of locally asymptotically self-similar stochastic processes with finite covariance structures, which includes Brownian motion, fractional Brownian motion, and multifractional Brownian motion as paradigmatic examples.
Nan Rao, Qidi Peng, Ran Zhao
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G-Brownian Motion as Rough Paths and Differential Equations Driven by G-Brownian Motion
, 2013 The present paper is devoted to the study of sample paths of G-Brownian motion and stochastic differential equations (SDEs) driven by G-Brownian motion from the view of rough path theory.
B.M. Hambly +24 more
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Relativistic Brownian motion [PDF]
Physics Reports, 2009 Stimulated by experimental progress in high energy physics and astrophysics, the unification of relativistic and stochastic concepts has re-attracted considerable interest during the past decade. Focusing on the framework of special relativity, we review, here, recent progress in the phenomenological description of relativistic diffusion processes ...
Dunkel, Jörn, Hänggi, Peter
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