Results 271 to 280 of about 28,098 (306)

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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Symbolic Calculus of the Wiener Process and Wiener-Hermite Functionals

Journal of Mathematical Physics, 1965
A new definition is given for the ``ideal random function'' (derivative of the Wiener function), which separates out infinite factors by fullest exploitation of the possibilities of the Dirac delta function. By allowing all integrals to be written formally as sums, this facilitates the definition and manipulation of the Wiener-Hermite functionals ...
Tsutomu Imamura, William C. Meecham, Armand Siegel   +2 more
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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  

On the Transformation of the Diffusion Process to a Wiener Process

Theory of Probability & Its Applications, 1957
It is known that the conditional distribution density \[ f(t,x,\tau ,\xi ) = \frac{1}{{2\sqrt {\pi (\tau - t)} }}\exp \left[ { - \frac{{(\xi - x)^2 }}{{4(\tau - t)}}} \right] \] is a solution to the differential equation ${f_t} ^\prime + {f_{xx}} ^{\prime \prime } = 0$ and determines a continuous Markov process.
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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  

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  

Wiener Process

1987
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Degradation data analysis and remaining useful life estimation: A review on Wiener-process-based methods

European Journal of Operational Research, 2018
Zhengxin Zhang, Xiaosheng Si, Changhua Hu   +2 more
exaly