منابع مشابه
Brownian penalisations related to excursion lengths, VII
Limiting laws, as t →∞, for Brownian motion penalised by the longest length of excursions up to t , or up to the last zero before t , or again, up to the first zero after t , are shown to exist, and are characterized. Résumé. Il est prouvé que les lois limites, lorsque t → ∞, du mouvement brownien pénalisé par la plus grande longueur des excursions jusqu’en t , ou bien jusqu’au dernier zéro ava...
متن کاملThe Heath - Jarrow - Morton Framework
The Heath-Jarrow-Morton framework refers to a class of models that are derived by directly modeling the dynamics of instantaneous forward-rates. The central insight of this framework is to recognize that there is an explicit relationship between the drift and volatility parameters of the forward-rate dynamics in a no-arbitrage world. The familiar short-rate models can be derived in the HJM fram...
متن کاملAn Excursion to the Kolmogorov Random Strings
We study the set of resource bounded Kolmogorov random strings: R t = fx j K t (x) jxjg for t a time constructible function such that t(n) 2 n 2 and t(n) 2 2 n O(1). We show that the class of sets that Tur-ing reduce to R t has measure 0 in EXP with respect to the resource-bounded measure introduced by 17]. From this we conclude that R t is not Turing-complete for EXP. This contrasts the resour...
متن کاملImportance Sampling in the Heath-jarrow-morton Framework Importance Sampling in the Heath-jarrow-morton Framework
LIMITED DISTRIBUTION NOTICE: This report has been submitted for publication outside of IBM and will probably be copyrighted if accepted for publication. It has been issued as a Research Report for early dissemination of its contents. In view of the transfer of copyright to the outside publisher, its distribution outside of IBM prior to publication should be limited to peer communications and sp...
متن کاملExcursion Theory Revisited
Excursions from a fixed point b are studied in the framework of a general Borel right process X, with a fixed excessive measure m serving as background measure; such a measure always exists if b is accessible from every point of the state space of X. In this context the left-continuous moderate Markov dual process b X arises naturally and plays an important role. This allows the basic quantitie...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Proceedings of the Geologists' Association
سال: 1919
ISSN: 0016-7878
DOI: 10.1016/s0016-7878(19)80018-4