Results 51 to 60 of about 257,172 (325)
Geometrical optics of large deviations of fractional Brownian motion
Physical Review E, 2022 9 pages, 7 ...
Meerson, Baruch, Oshanin, Gleb
openaire +3 more sources
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
core +1 more source
Unravelling intermittent features in single particle trajectories by a local convex hull method [PDF]
, 2017 We propose a new model-free method to detect change points between distinct phases in a single random trajectory of an intermittent stochastic process. The local convex hull (LCH) is constructed for each trajectory point, while its geometric properties ...
Grebenkov, D. S., Lanoiselée, Y.
core +3 more sources
Exponential functionals of Brownian motion, I: Probability laws at fixed time [PDF]
Probability Surveys 2005, Vol. 2, 312-347, 2005 This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.
arxiv +1 more source
Generalizing Geometric Brownian Motion
, 2018 To convert standard Brownian motion $Z$ into a positive process, Geometric Brownian motion (GBM) $e^{ Z_t}, >0$ is widely used. We generalize this positive process by introducing an asymmetry parameter $ \geq 0$ which describes the instantaneous volatility whenever the process reaches a new low.
Carr, Peter, Zhang, Zhibai
openaire +2 more sources
Processes That Can Be Embedded in a Geometric Brownian Motion [PDF]
Theory of Probability & Its Applications, 2016 The main result is a counterpart of the theorem of Monroe [\emph{Ann. Probability} \textbf{6} (1978) 42--56] for a geometric Brownian motion: A process is equivalent to a time change of a geometric Brownian motion if and only if it is a nonnegative supermartingale. We also provide a link between our main result and Monroe [\emph{Ann. Math.
Gushchin, A. A., Urusov, Mikhail
openaire +4 more sources
Advanced Functional Materials, EarlyView.An all‐in‐one analog AI accelerator is presented, enabling on‐chip training, weight retention, and long‐term inference acceleration. It leverages a BEOL‐integrated CMO/HfOx ReRAM array with low‐voltage operation (<1.5 V), multi‐bit capability over 32 states, low programming noise (10 nS), and near‐ideal weight transfer.
Donato Francesco Falcone +11 more
wiley +1 more source
APPROXIMATION METHODS FOR INHOMOGENEOUS GEOMETRIC BROWNIAN MOTION [PDF]
International Journal of Theoretical and Applied Finance, 2019 We present an accurate and easy-to-compute approximation of the transition probabilities and the associated Arrow-Debreu (AD) prices for the inhomogeneous geometric Brownian motion (IGBM) model for interest rates, default intensities or volatilities. Through this procedure, dubbed exponent expansion, transition probabilities and AD prices are obtained
LUCA CAPRIOTTI +2 more
openaire +3 more sources
Advanced Healthcare Materials, EarlyView.Porosity governs transport mechanics in hydrogels, yet characterization in its native state remains challenging. This work harnesses particle tracking to uncover three‐dimensional pore geometric features in polyethylene glycol hydrogels. Measurements in the native state reveal pores characteristics are comparable to those obtained by cryogenic scanning
M. A. Kristine Tolentino +5 more
wiley +1 more source
Alexandria Engineering Journal, 2022 The performance of financial trading in any country depends significantly on the role of exchange rate, specifically the activity of international trading.
Mohammed Alhagyan
doaj