Brownian motions
Fuzzy Robust H Control for Uncertain Systems with Fractional Brownian Motions
... Motivated by the aforementioned concerns, H control problem for uncertain T-S fuzzy nonlinear systems with multi-state delays and fractional Brownian motions is considered. Fuzzy robust H controller is ...
7
Necessary and sufficient condition for the smoothness of intersection local time of subfractional Brownian motions
... of independent Brownian motions has been studied by several authors (see Wolpert [2], Geman et al. [3] and the references therein). In the general case, that is H = 1 2 , only the collision local time has ...
16
Correlation of Brownian Motions and Its Impact on a Reinsurer’s Optimal Investment Strategy and Reinsured Proportion under Exponential Utility Maximization and Constant Elasticity of Variance Model
... This work investigated a reinsurer’s optimal investment strategy and the proportion he accepted for reinsurance under proportional reinsurance and exponential utility preference in the cases where the Brownian ...
10
Asymptotic End-to-end Backlog Evaluation in a Packet Network with a Wide Range of Traffic Flows Including Fractional Brownian Motions
... This paper proposes a simple evaluation formula for the asymptotic tail probability of the end-to-end backlog in a tandem network with cross traffics in which input traffics are consisting of both fractional Brownian ...
8
Reflected BSDEs Driven by Lévy Processes and Countable Brownian Motions
... standard Brownian motions and { L t ; 0 ≤ ≤ t T } be a -valued pure jump Lévy process of the form L t = + bt l t independent of { B t j ; 0 ≤ ≤ t T } , which correspond to a standard Lévy measure ν ...
8
A stochastic differential equation SIS epidemic model with two correlated Brownian motions
... nian motions, they are very likely to be correlated ...of Brownian motions in dynamic ...correlated Brownian motions into the deter- ministic food chain ...correlated Brownian ...
13
Characterization of turbulence stability through the identification of multifractional Brownian motions
... multifractional Brownian motions (mBm). As a generalization of fractional Brownian motions (fBm), multifractional Brownian motions describe both regularity attributes varying ...
10
Coupling of Brownian motions in Banach spaces
... Apart from addressing the open question 5.1, one might also ask whether one could additionally couple functionals of the two Banach-valued Brownian motions, such as for example their Lévy stochastic areas. ...
15
Dyson's Brownian motions, intertwining and interlacing
... evolve independently until they first meet, after which they coalesce and move together. Such families of coalescing Brownian motions have been well-studied; for some recent works concerning them see [14] ...
19
Existence of weak solutions of stochastic delay differential systems with Schrödinger–Brownian motions
... By using new Schrödinger type inequalities appearing in Jiang and Usó [1], we studied the existence of weak solutions of stochastic delay differential systems with Schrödinger– Brownian motions. By using the ...
15
Studies in stochastic processes : adaptive wavelet decompositions and operator fractional Brownian motions
... The thesis is centered around the themes of wavelet methods for stochastic processes (Chapters 2 and 3), and of operator self-similarity (Chapter 4). The wavelet analysis of a random process involves expressing it in ...
140
Dirichlet Brownian Motions
... In this work we introduce a Brownian motion in random environment which is a Brownian con- structions by an exchangeable sequence based on Dirichlet processes samples. We next compute a stochastic calculus ...
11
Hausdorff measure of arcs and Brownian motion on Brownian spatial trees
... to check that, when equipped with the topology induced by this metric, the collection of graph spatial trees is separable. Applying this topology without the spatial element, it was shown in [8] how to deduce the ...
30
Multivariate Asset Models Using Levy Processes and Applications
... subordinated Brownian motions, whilst the exact features of the subordinator processes are not necessary (see, for example Ballotta and Kyriacou, 2014, for the construction based on Proposition 1 of a ...
40
Minimising the time to a decision
... two Brownian motions on [0, 1], and we stop once one of the processes hits an ...several Brownian motions is considered in ...first Brownian motion and preference for the ...the ...
31
One dimensional annihilating and coalescing particle systems as extended Pfaffian point processes
... Consider a system of annihilating Brownian motions (ABMs) on the real line, where the particles move independently except for instantaneous annihilation when they meet. Assume that the initial distribution ...
8
Gibbs-non-Gibbs transitions and vector-valued integration
... the Brownian motion over time t is given ...independent Brownian motions the minimising problem for the two-layer model and the minimising problem for the trajectories are equivalent by showing that ...
250
WAVELET-BASED MULTIFRACTAL FORMALISM TO ASSIST IN DIAGNOSIS IN DIGITIZED MAMMOGRAMS
... Keywords: breast tissue, fractional Brownian motions, Hurst exponent, image analysis, mammogram, microcalcifications, multifractal formalism, rough surface, scale invariance, wavelet tra[r] ...
6
From Dynamic Linear Evaluation Rule to Dynamic CAPM in a Fractional Brownian Motion Environment
... evaluation operator satisfying some axioms is linear. Based on the dynamic linear evaluation mechanism of contingent claims, studying this evaluation rule in the market driven by fractional Brownian motions ...
6
On the distribution of the largest real Eigenvalue for the real Ginibre Ensemble
... 4s of the rightmost particle for annihilating Brownian motions at time s . An instance of edge statistics (1.1) outside the random matrix theory and Pfaf- fian point processes is for the symmetric exclusion ...
20