Results 221 to 230 of about 21,524 (265)

Estimation of Variance Components of a Wiener Process

Communications in Statistics - Simulation and Computation, 1974
Let X(t) be a Wiener process with parameter σ2 . Suppose that the observations on X(t) are subject to random errors of measurement ∈(t), such that, e(t) is normally distributed with mean zero and variance τ2 . It is assumed that the measurement errors are independent of X(t) and among themselves.
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Extrema of Wiener Processes

SSRN Electronic Journal, 2017
The extrema of Wiener processes are relevant to the pricing of so-called exotic options, which have many financial applications. The probability den-sities of such extrema are well known for one dimensional Wiener processes. We employ elementary methods to derive analytical expressions for the den-sities for multidimensional Wiener processes, with ...
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Functionals of Wiener Processes

2013
Chapter 2 discusses scalar-and multidimensional processes which are based on the Wiener process, and consequently we apply them in the context of the benchmark approach introduced in Chap. 1. The first part of the chapter collects results from the literature on important functionals of scalar versions of the Wiener process, geometric Brownian motion ...
Jan Baldeaux, Eckhard Platen
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Reliability estimation from lifetime testing data and degradation testing data with measurement error based on evidential variable and Wiener process

Reliability Engineering and System Safety, 2021
, Shaoping Wang
exaly  

Wiener Processes (WP)

2016
The Wiener process (or the Brownian motion) is the starting point and the basis for all the following chapters. This is why we will consider this process more explicitly. It is a continuous-time process having as prominent a position in stochastic calculus as the Gaussian distribution in statistics. After introducing its defining properties intuitively,
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A reliability evaluation model of rolling bearings based on WKN-BiGRU and Wiener process

Reliability Engineering and System Safety, 2022
Junyu Guo
exaly  

Functionals of a Wiener Process

1980
The purpose of this chapter is to derive representations of square-integrable functionals on Wiener space. This is a topic of importance in the theory of nonlinear prediction and filtering. The three main results in the literature derive for a square-integrable functional of a Wiener process (see definition below) (a) An L 2-convergent expansion
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A long short-term memory neural network based Wiener process model for remaining useful life prediction

Reliability Engineering and System Safety, 2022
Zhen Liu
exaly  

Remaining useful life re-prediction methodology based on Wiener process: Subsea Christmas tree system as a case study

Computers and Industrial Engineering, 2021
Zengkai Liu, Yonghong Liu, Baoping Cai   +2 more
exaly  

Time interval of multiple crossings of the Wiener process and a fixed threshold in engineering

Mechanical Systems and Signal Processing, 2020
, , Zhenhao Zhang
exaly