Brownian-motion stochastic process
A strong uniform approximation of fractional Brownian motion by means of transport processes
... fractional Brownian motion uniformly on bounded intervals for any Hurst parameter H, and we derive a rate of convergence, which becomes better when H approaches 1 / ...Ness stochastic integral ...
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Stochastic delay evolution equations driven by sub fractional Brownian motion
... ther a semimartingale nor a Markov process when H = . The fBm is a suitable generaliza- tion of the standard Brownian motion, but exhibits long-range dependence, self-similarity and which has ...
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A Stochastic Approach for Determining Profit Rate of Islamic Financing Products
... reversion process is Ornstein‑Uhlenbeck arithmetic ...this process and Brownian motion process is a mean reversion process involves the nonstationary ...reversion process ...
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Malliavin calculus for backward stochastic differential equations and stochastic differential equations driven by fractional Brownian motion and numerical schemes
... The most important result in this chapter is the L p -H¨older continuity of the process Z. Here we emphasize that the main difficulty in constructing a numerical scheme for BSDEs is usually the approximation of ...
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Brownian motion: a random walk approximation
... a Brownian motion or a more general stochastic process spends at a certain level or state? It is possible to show that this occupation times are absolutely continuous measures, so that their ...
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A law of iterated logarithm for the subfractional Brownian motion and an application
... some stochastic volatility models used in quantitative finance and also, under an appropriate modification, to estimate the jumps of the processes under ...the process X t is a stochastic integral with ...
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The Petrov-Galerkin Method for Numerical Solution of Stochastic Volterra Integral Equations
... [1-9]. Stochastic Volterra integral equations arise when a random noise is introduced into Volterra integral ...The Brownian motion process B(t) serves as a basic model for the cumulative ...
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Large deviations for local time fractional Brownian motion and applications
... [4] B. Baeumer, M.M. Meerschaert, E. Nane, Brownian subordinators and fractional Cauchy problems, Trans. Amer. Math. Soc., in press. [5] R. Bañuelos, R.D. DeBlassie, The exit distribution for iterated ...
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Controllability of a stochastic functional differential equation driven by a fractional Brownian motion
... of Brownian motion, fractional Brownian motion (fBm) is a self- similar Gaussian processes which have the properties of long/short-range ...with Brownian motion, the ...
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Nonlocal fractional stochastic differential equations driven by fractional Brownian motion
... order stochastic differential equations driven by fractional Brow- nian motion or fractional stochastic differential equations with Wiener ...fractional stochastic differential equations driven ...
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On the non Lipschitz stochastic differential equations driven by fractional Brownian motion
... On most occasions, the coefficients of SDEs driven by fBm are assumed to satisfy the Lipschitz condition. The existence and uniqueness of solutions of SDEs driven by fBm with Lipschitz condition have been studied by many ...
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Stochastic modified Boussinesq approximate equation driven by fractional Brownian motion
... fractional Brownian motion (FBM) is a family of Gaussian process which is indexed by the Hurst parameter H ∈ (, ...the process are not ...Itô stochastic integral to FBM fails. The ...
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Beyond multifractional Brownian motion: new stochastic models for geophysical modelling
... In Echelard et al. (2010); Echelard and L´evy V´ehel (2012), experimental findings were reported indicating that, for cer- tain natural phenomena such as electrocardiograms or natu- ral terrains, there seems to exist a ...
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Dynamic demand and mean-field games
... the stochastic case, assuming that the microscopic dynamics is ...and stochastic stability is ...dependent stochastic disturbance which vanishes around the origin. The Brownian motion ...
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The Arc Sine Laws for the Skew Brownian Motion and Their Interpretation
... skew Brownian motion as a solution of some stochastic dif- ferential ...skew Brownian motion the analogues of the arc-sine laws for Wiener ...a stochastic differential equation ...
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Brownian Motion of Decaying Particles: Transition Probability, Computer Simulation, and First Passage Times
... of Brownian motion of decaying particles, a sub- ject that has received little previous ...same stochastic process. The differences arise because Brownian motion with particle ...
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Cylindrical fractional Brownian motion in Banach spaces
... the stochastic integral in a Banach ...Ornstein-Uhlenbeck process as the mild and weak solution of a abstract stochastic Cauchy problem in a Banach ...the stochastic heat equation with ...
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First passage times in integrate and fire neurons with stochastic thresholds
... We consider a leaky integrate–and–fire neuron with deterministic subthreshold dynamics and a firing threshold that evolves as an Ornstein–Uhlenbeck process. The formulation of this minimal model is motivated by ...
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A Lévy-Ciesielski expansion for quantum Brownian motion and the construction of quantum Brownian bridges
... quantum Brownian motion to be a certain family (Q(t), P (t), t ≥ 0) of pairs of non-commuting self-adjoint operators acting in a Hilbert space which is equipped with a distinguished unit vector to determine ...
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Some existence results for advanced backward stochastic differential equations with a jump time*,**
... a Brownian motion B and the martingale M associated to the jump process H ...the Brownian motion is a Brownian motion in the filtration generated by the pair (B, M) (which ...
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