Results 11 to 20 of about 637 (132)
Skew brownian motion and complexity of the alps algorithm [PDF]
Journal of Applied Probability, 2022 AbstractSimulated tempering is a popular method of allowing Markov chain Monte Carlo algorithms to move between modes of a multimodal target density $\pi$ . Tawn, Moores and Roberts (2021) introduces the Annealed Leap-Point Sampler (ALPS) to allow for rapid movement between modes.
Gareth O. Roberts +2 more
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Is a Brownian Motion Skew? [PDF]
Scandinavian Journal of Statistics, 2013 ABSTRACTWe study the asymptotic behaviour of the maximum likelihood estimator corresponding to the observation of a trajectory of a skew Brownian motion, through a uniform time discretization. We characterize the speed of convergence and the limiting distribution when the step size goes to zero, which in this case are non‐classical, under the null ...
Lejay, Antoine +2 more
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Bouncing Skew Brownian Motions [PDF]
Journal of Theoretical Probability, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gloter, Arnaud, Martinez, Miguel
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First Passage Time of Skew Brownian Motion [PDF]
Journal of Applied Probability, 2012 Nearly fifty years after the introduction of skew Brownian motion by Itô and McKean (1963), the first passage time distribution remains unknown. In this paper we first generalize results of Pitman and Yor (2011) and Csáki and Hu (2004) to derive formulae for the distribution of ranked excursion heights of skew Brownian motion, and then use these ...
Appuhamillage, Thilanka, Sheldon, Daniel
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Coalescence of Skew Brownian Motions [PDF]
, 2001 We prove that two skew Brownian motions with the same skewness parameter (different from 0) and driven by the same Brownian motion coalesce a.s.
Burdzy, Krzysztof +3 more
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Two consistent estimators for the skew Brownian motion [PDF]
ESAIM: Probability and Statistics, 2019 The skew Brownian motion (SBm) is of primary importance in modeling diffusion in media with interfaces which arise in many domains ranging from population ecology to geophysics and finance. We show that the maximum likelihood procedure estimates consistently the parameter of an SBm observed at discrete times. The difficulties arise because the observed
Lejay, Antoine +2 more
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Forecasting portfolio returns with skew‐geometric Brownian motions
Applied Stochastic Models in Business and Industry, 2022 AbstractThe gist of this work is to propose a minimum tracking error portfolio that could be adopted not only as an automated alternative to ETFs but, it could also be potentially used to anticipate market changes in the target index. This goal has been achieved by adopting skew Brownian motion as a general framework.
Bufalo M., Liseo B., Orlando G.
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Variably Skewed Brownian Motion
Electronic Communications in Probability, 2000 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Burdzy, Krzysztof +3 more
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An Ideal Class to Construct Solutions for Skew Brownian Motion Equations [PDF]
Journal of Theoretical Probability, 2021 17 ...
Fulgence Eyi Obiang +2 more
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Brownian Motion in a Wedge with Variable Skew Reflection [PDF]
Transactions of the American Mathematical Society, 1991 Does planar Brownian motion confined to a wedge by skew reflection on the sides approach the vertex of the wedge? This question has been answered by Varadhan and Williams in the case where the direction of reflection is constant on each of the sides, but here we address the question when the direction reflected is allowed to vary. A necessary condition,
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