Results 71 to 80 of about 1,204,996 (162)
De Finetti’s control for refracted skew Brownian motion
Advances in Applied ProbabilityAbstract In this paper we propose a refracted skew Brownian motion as a risk model with endogenous regime switching, which generalizes the refracted diffusion risk process introduced by Gerber and Shiu. We consider an optimal dividend problem for the refracted skew Brownian risk model and identify sufficient conditions, respectively ...
Gao, Zhongqin, Lv, Yan, Zhou, Xiaowen
openaire +2 more sources
Comprehensive Reviews in Food Science and Food Safety, Volume 25, Issue 5, September 2026.ABSTRACT The current trend of individualized food items (nutrient content and flavor) can be particularly valuable to support people's health and well‐being in isolated environments where access to fresh foods and diverse nutrition is difficult. At the same time, bioactive compounds and micronutrients can be employed to countermeasure any health ...
Svenja Schmidt +4 more
wiley +1 more source
Decay of correlations and limit theorems for random intermittent maps
Journal of the London Mathematical Society, Volume 114, Issue 3, September 2026.Abstract In this paper, we revisit the problem of polynomial memory loss and the central limit theorem (CLT) for time‐dependent LSV maps. More precisely, we show that for random LSV maps corresponding to a random parameter β(·)$\beta (\cdot)$ we obtain quenched memory loss, decay of correlations, CLTs with rates, moment bounds, and almost sure ...
Davor Dragičević +2 more
wiley +1 more source
Fractional Brownian Motion as a Differentiable Generalized Gaussian Process [PDF]
Brownian motion can be characterized as a generalized random process and, as such, has a generalized derivative whose covariance functional is the delta function. In a similar fashion, fractional Brownian motion can be interpreted as a generalized random
Peter C.B. Phillips +1 more
core
Dyson's Brownian motions, intertwining and interlacing [PDF]
, 2007 A reflected Brownian motion in the Gelfand-Tsetlin cone is used to construct Dyson's process of non-colliding Brownian motions. The key step of the construction is to consider two interlaced families of Brownian paths with paths belonging to the second ...
Warren, Jon
core
Stochastic flows and sticky Brownian motion [PDF]
Sticky Brownian motion is a one-dimensional diffusion with the property that the amount of time the process spends at zero is of positive Lebesgue measure and yet the process does not stay at zero for any positive interval of time ...
Howitt, Christopher John
core
On Portenko's approximation of skew Brownian motion
34 ...
Bobrowski, Adam, Pilipenko, Andrey
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Barrier Options and a Reflection Principle of the Fractional Brownian Motion [PDF]
The purpose of this paper is to obtain the price of the barrier options in a fractional Brownian motion environment in the special case of zero interest rate. As a consequence we derive a reflection principle for the fractional Brownian motion.fractional
Cipian Necula
core
Three-Dimensional Brownian Motion and the Golden Ratio Rule [PDF]
Let X =(Xt)t=0 be a transient diffusion processin (0,8) with the diffusion coeffcient s> 0 and the scale function L such that Xt ?8 as t ?8 ,let It denote its running minimum for t = 0, and let ? denote the time of its ultimate minimum I8 .Setting c(i,x)=
Hardy Hulley +2 more
core
Stationary distributions for diffusions with inert drift [PDF]
, 2010 Consider reflecting Brownian motion in a bounded domain in $${\mathbb R^d}$$ that acquires drift in proportion to the amount of local time spent on the boundary of the domain.
Hairer, Martin +3 more
core +1 more source