Results 251 to 260 of about 72,925 (302)

White-Noise Representations in Stochastic Realization Theory

open access: yesSIAM Journal on Control and Optimization, 1993
Summary: It is proved that any random sequence can be exhibited as the output of a stochastic dynamical system driven by white noise. Further refinements are obtained for Markov, stationary, and ergodic sequences. This settles some open problems in stochastic realization theory posed by \textit{J. C. Willems} and \textit{J. H.
Vivek S Borkar
exaly   +4 more sources

A General Fractional White Noise Theory And Applications To Finance

Mathematical Finance, 2003
We present a new framework for fractional Brownian motion in which processes with all indices can be considered under the same probability measure. Our results extend recent contributions by Hu, Øksendal, Duncan, Pasik‐Duncan, and others. As an application we develop option pricing in a fractional Black‐Scholes market with a noise process driven by a ...
Robert J Elliott
exaly   +4 more sources

A QUARTER CENTURY OF WHITE NOISE THEORY

Quantum Information IV, 2002
Hui-Hsiung Kuo
exaly   +2 more sources

Some recent results in finitely additive white noise theory [PDF]

open access: yesActa Applicandae Mathematicae, 1994
We present a short survey of some very recent results on the finitely additive white noise theory. We discuss the Markov property of the solution of a stochastic differential equation driven directly by a white noise, study the Radon-Nikodym derivative ...
Arunabha Bagchi, Ravi R Mazumdar
exaly   +2 more sources

On Stochastic Integration for White Noise Distribution Theory.

open access: yes, 2022
This thesis consists of two parts, each part concentrating on a different problem from the theory of Stochastic Integration. Chapter 1 contains the introduction explaining the results in this dissertation in general terms. We use the infinite dimensional
Ngobi, Said Kalema
openaire   +3 more sources

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