Results 31 to 40 of about 1,204,996 (162)
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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DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE [PDF]
Mathematical Finance, 2016 AbstractWe derive the joint density of a Skew Brownian motion, its last visit to the origin, its local and occupation times. The result enables us to obtain explicit analytical formulas for pricing European options under both a two‐valued local volatility model and a displaced diffusion model with constrained volatility.
Alexander Gairat, Vadim Shcherbakov
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Müntz linear transforms of Brownian motion [PDF]
, 2014 We consider a class of Volterra linear transforms of Brownian motion associated to a sequence of Müntz Gaussian spaces and determine explicitly their kernels; the kernels take a simple form when expressed in terms of Müntz-Legendre polynomials. These are
Wu, Ching-Tang, Alili, Larbi
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Exact power spectra of Brownian motion with solid friction [PDF]
, 2012 The accepted version of 'Exact power spectra of Brownian motion with solid friction'(v1: 14 pages, 5 figures; v2: new figures, some text added, typos corrected) was first deposited by Touchette, H., at Cornell University Library Repository(ArXiv).
Prellberg, T, Just, W, Touchette, H
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On the local time process of a skew Brownian motion [PDF]
Transactions of the American Mathematical Society, 2019 We derive a Ray–Knight type theorem for the local time process (in the space variable) of a skew Brownian motion up to an independent exponential time. It is known that the local time seen as a density of the occupation measure and taken with respect to the Lebesgue measure has a discontinuity at the skew point (in our case at zero), but the local time
Borodin, Andrei, Salminen, Paavo
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On the time inhomogeneous skew Brownian motion
Bulletin des Sciences Mathématiques, 2013 This paper is devoted to the construction of a solution for the "Inhomogenous skew Brownian motion" equation, which first appeared in a seminal paper by Sophie Weinryb, and recently, studied by Étoré and Martinez. Our method is based on the use of the Balayage formula. At the end of this paper we study a limit theorem of solutions.
Bouhadou, S., Ouknine, Y.
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On the multi-dimensional skew Brownian motion
Stochastic Processes and their Applications, 2015 We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic collisions.
Atar, Rami, Budhiraja, Amarjit
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Tracing the evolutionary history of the morpho‐anatomy of baculum in primates
The Anatomical Record, EarlyView.Abstract Animal morphology reflects both evolutionary history and present‐day adaptation. Male mammal copulatory structures such as the baculum (penile bone) are ideal for studying these processes because of their complexity and high interspecific variability. In primates, however, research has focused mostly on baculum length.
Federica Spani +3 more
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Energy Science &Engineering, EarlyView.TiO2/chlorophyll bio‐hybrid nanofluid achieved the highest PVT performance, increasing thermal efficiency to 38.74% and overall efficiency to 51.35%, compared with 35.96% and 48.45% for Al2O3/water and 27.77% and 40.18% for water. The results demonstrate the potential of bio‐hybrid nanofluids for high‐efficiency solar thermal energy conversion ...
Oluwaseyi Omotayo Alabi +2 more
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Maximum likelihood estimator for skew Brownian motion: The convergence rate
Scandinavian Journal of Statistics, 2023 AbstractWe give a thorough description of the asymptotic property of the maximum likelihood estimator (MLE) of the skewness parameter of a Skew Brownian Motion (SBM). Thanks to recent results on the Central Limit Theorem of the rate of convergence of estimators for the SBM, we prove a conjecture left open that the MLE has asymptotically a mixed normal ...
Lejay, Antoine, Mazzonetto, Sara
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