Invariance principles for stochastic area and related stochastic integrals

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Random Generation of Stochastic Area Integrals

We describe a method of random generation of the integrals A 1;2 (t; t + h) = Z t+h t Z s t dw 1 (r)dw 2 (s) ? Z t+h t Z s t dw 2 (r)dw 1 (s) together with the increments w 1 (t+h)?w 1 (t) and w 2 (t+h)?w 2 (t) of a two-dimensional Brownian path (w 1 (t);w 2 (t)). The method chosen is based on Marsaglia's `rectangle-wedge-tail' method, gen-eralised to higher dimensions. The motivation is the ne...

متن کامل

Path Integrals for Stochastic Neurodynamics Path Integrals for Stochastic Neurodynamics

We present here a method for the study of stochastic neurodynamics in the framework of the "Neural Network Master Equation" proposed by Cowan. We consider a model neural network composed of two{state neurons subject to simple stochastic kinetics. We introduce a method based on a spin choerent state path integral to compute the moment generating function of such a network. A formal construction ...

متن کامل

Conditionally Gaussian stochastic integrals

We derive conditional Gaussian type identities of the form E [ exp ( i ∫ T 0 utdBt ) ∣∣∣∣ ∫ T 0 |ut|dt ] = exp ( − 2 ∫ T 0 |ut|dt ) , for Brownian stochastic integrals, under conditions on the process (ut)t∈[0,T ] specified using the Malliavin calculus. This applies in particular to the quadratic Brownian integral ∫ t 0 ABsdBs under the matrix condition A †A2 = 0, using a characterization of Yo...

متن کامل

Stochastic Integrals and Their Expectations

Stochastic calculus is famous for providing the foundations for modern mathematical finance and is also used extensively in a large number of other areas of applied probability. The introductory text by Øksendal [3] strikes an excellent balance between theory and accessibility. Here we give a very brief review of the underlying concepts. A central notion for stochastic calculus is that of a (co...

متن کامل

Stochastic Integrals and Abelian Processes

We study triangulation schemes for the joint kernel of a diffusion process with uniformly continuous coefficients and an adapted, non-resonant Abelian process. The prototypical example of Abelian process to which our methods apply is given by stochastic integrals with uniformly continuous coefficients. The range of applicability includes also a broader class of processes of practical relevance,...

متن کامل

ذخیره 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: Stochastic Processes and their Applications

سال: 1984

ISSN: 0304-4149

DOI: 10.1016/0304-4149(84)90176-5