نتایج جستجو برای: standard brownian motion

تعداد نتایج: 723228  

2004
Yaozhong Hu David Nualart

Let B = {(B1 t , . . . , Bd t ) , t ≥ 0} be a d-dimensional fractional Brownian motion with Hurst parameter H and let Rt = √ (B1 t ) 2 + · · · + (Bd t )2 be the fractional Bessel process. Itô’s formula for the fractional Brownian motion leads to the equation Rt = ∑d i=1 ∫ t 0 Bi s Rs dBi s + H(d − 1) ∫ t 0 s2H−1 Rs ds . In the Brownian motion case (H = 1/2), Xt = ∑d i=1 ∫ t 0 Bi s Rs dBi s is a...

2003
XIA CHEN WENBO V. LI W. V. LI

Suppose that g(t) and Wt are independent Brownian motions starting from g(0) = W0 = 0. Consider the Brownian motion Yt reflected on g(t), obtained from Wt by the means of the Skorohod lemma. The upper and lower limiting behaviors of Yt are presented. The upper tail estimate on exit time is computed via principal eigenvalue.

2000
Chi-Ok Hwang Michael Mascagni

We describe two efficient methods of estimating the fluid permeability of standard models of porous media by using the statistics of continuous Brownian motion paths that initiate outside a sample and terminate on contacting the porous sample. The first method associates the ‘‘penetration depth’’ with a specific property of the Brownian paths, then uses the standard relation between penetration...

2009
B. A. Carreras

Abstract. Fractional Lévy motion (fLm) is the natural generalization of fractional Brownian motion in the context of self-similar stochastic processes and stable probability distributions. In this paper we give an explicit derivation of the propagator of fLm by using path integral methods. The propagators of Brownian motion and fractional Brownian motion are recovered as particular cases. The f...

2017
Zhengyan Lin Li-Xin Zhang

G-Brownian motion has a very rich and interesting new structure that nontrivially generalizes the classical Brownian motion. Its quadratic variation process is also a continuous process with independent and stationary increments. We prove a self-normalized functional central limit theorem for independent and identically distributed random variables under the sub-linear expectation with the limi...

2003
E. KHMALADZE Nicholas Vakhania

Set-parametric Brownian motion b in a star-shaped set G is considered when the values of b on the boundary of G are given. Under the conditional distribution given these boundary values the process b becomes some set-parametrics Gaussian process and not Brownian motion. We define the transformation of this Gaussian process into another Brownian motion which can be considered as “martingale part...

Journal: :Physical review. E 2016
Mathieu Delorme Kay Jörg Wiese

Fractional Brownian motion is a self-affine, non-Markovian, and translationally invariant generalization of Brownian motion, depending on the Hurst exponent H. Here we investigate fractional Brownian motion where both the starting and the end point are zero, commonly referred to as bridge processes. Observables are the time t_{+} the process is positive, the maximum m it achieves, and the time ...

Journal: :IEEE Trans. Information Theory 1991
Fumio Kanaya Kenji Nakagawa

A theorem characterizing fractional Brownian motion by Index Terms -Wavelet transform, fractional Brownian motion.the covariance structure of its wavelet transform is established.

Journal: :Current Biology 2006
Vladimir Lizunov Joshua Zimmerberg

Purposeful motion of biological processes can be driven by Brownian motion of macromolecular complexes with one-sided binding biasing movement in one direction: a Brownian ratchet, now proposed to explain membrane motion during a phagocytosis-like process in bacteria.

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