نتایج جستجو برای: fractional brownian motion
تعداد نتایج: 274967 فیلتر نتایج به سال:
An application of fractional Brownian motion (fBm) is considered in stochastic financial engineering models. For the known Fokker–Planck equation for fBm case, a solution transition probability density path integral method was built. It shown that mentioned does not result from Gaussian unit with precise covariance. expression approximation covariance found which solutions are based on measure ...
We apply the techniques of stochastic integration with respect to the fractional Brownian motion and the theory of regularity and supremum estimation for stochastic processes to study the maximum likelihood estimator (MLE) for the drift parameter of stochastic processes satisfying stochastic equations driven by fractional Brownian motion with any level of Hölder-regularity (any Hurst parameter)...
Given an integer m, a probability measure ν on [0, 1], a process X and a real function g, we define the m-order ν-integral having as integrator X and as integrand g(X). In the case of the fractional Brownian motion B , for any locally bounded function g, the corresponding integral vanishes for all odd indices m > 1 2H and any symmetric ν. One consequence is an Itô-Stratonovich type expansion fo...
We study a family of importance sampling estimators for the problem of computing the probability of level crossing when the crossing level is large, or when the intensity of the noise is small. We give general results concerning centered gaussian processes with drift and develop a method which allows to compute explicitly the asymptotics of the second order moment, with a special mention for th...
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