Local Time and Stochastic Area 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

Local-time representation of path integrals.

We derive a local-time path-integral representation for a generic one-dimensional time-independent system. In particular, we show how to rephrase the matrix elements of the Bloch density matrix as a path integral over x-dependent local-time profiles. The latter quantify the time that the sample paths x(t) in the Feynman path integral spend in the vicinity of an arbitrary point x. Generalization...

متن کامل

On Some Inequalities of Local times of Iterated Stochastic Integrals

Let X = (Xt,Ft)t≥0 be a continuous local martingale with quadratic variation process 〈X〉 and X0 = 0. Define iterated stochastic integrals In(X) = (In(t, X),Ft) (n ≥ 0), inductively by

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

Robust continuous-time smoothers without two-sided stochastic integrals

We consider the problem of fixed-interval smoothing of a continuous-time partially observed nonlinear stochastic dynamical system. Existing results for such smoothers require the use of two-sided stochastic calculus. The main contribution of this paper is to present a robust formulation of the smoothing equations. Under this robust formulation, the smoothing equations are nonstochastic paraboli...

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: The Annals of Probability

سال: 1991

ISSN: 0091-1798

DOI: 10.1214/aop/1176990435