搜索结果: 1-15 共查到“数学 Brownian Motion”相关记录26条 . 查询时间(0.094 秒)
A classical model of Brownian motion consists of a heavy molecule
submerged into a gas of light atoms in a closed container. In this work
we study a 2D version of this model, where the molecule is a...
Homogenization driven by a fractional Brownian motion:the shear layer case
Homogenization driven fractional Brownian motion shear layer case
2015/7/14
We consider a passive scalar in a periodic shear flow perturbed by an additive fractional noise with the Hurst exponent H ∈ (0, 1). We establish a diffusive homogenization limit for the tracer when th...
Derivative Formula, Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motion
Derivative formula integration by parts formula Harnack inequality stochastic differential equation fractional Brownian motion
2012/6/21
In the paper, the Bismut derivative formula is established for multidimensional SDEs driven by additive fractional noise ($1/2and moreover the Harnack inequality is given. Through a Lamperti t...
On the time inhomogeneous skew Brownian motion
Skew Brownian motion Local times Stochastic differential equation balayage formula Skorokhod problem
2012/4/23
This paper is devoted to the construction of a solution for the "Inhomogenous skew Brownian motion" equation, which first appeared in a seminal paper by Sophie Weinryb, and recently, studied by \'{E}t...
Stochastic differential equations with non-negativity constraints driven by fractional Brownian motion with Hurst parameter H $>$ 1/2
stochastic differential equations normal reflection fractional Brownian motion Young integral
2011/9/22
Abstract: In this paper we consider stochastic differential equations with non-negativity constraints, driven by a fractional Brownian motion with Hurst parameter $H>\1/2$. We first study an ordinary ...
A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter >1/2
Linear stochastic differential equation Fractional Brownian motion Stochastic calculus Ito formula
2011/9/15
Abstract: Given a fractional Brownian motion \,\,$(B_{t}^{H})_{t\geq 0}$,\, with Hurst parameter \,$> 1/2$\,\,we study the properties of all solutions of \,\,: {equation} X_{t}=B_{t}^{H}+\int_0^t X_{u...
Dynamics of stochastic non-Newtonian fluids driven by fractional Brownian motion with Hurst parameter $H \in (1/4,1/2)$
fractional Brownian motion stochastic non-Newtonian fluid random attractor
2011/9/6
Abstract: In this paper we consider the Stochastic isothermal, nonlinear, incompressible bipolar viscous fluids driven by a genuine cylindrical fractional Bronwnian motion with Hurst parameter $H \in ...
On the existence of a time inhomogeneous skew Brownian motion and some related laws
time inhomogeneous skew Brownian motion Probability
2011/9/2
Abstract: This article is devoted to the construction of a solution for the "skew inhomogeneous Brownian motion" equation, which first appear in a seminal paper by Sophie Weinryb (1983). We investigat...
Annealed Brownian motion in a heavy tailed Poissonian potential
Brownian motion random media parabolic Anderson model Poissonian potential
2011/9/5
Abstract: Consider a $d$-dimensional Brownian motion in a random potential defined by attaching a non-negative and polynomially decaying potential around Poisson points. We introduce a repulsive inter...
Superdiffusivity for Brownian motion in a Poissonian potential with long range correlation II: upper bound on the volume exponent
Streched Polymer Quenched Disorder Superdiffusivity Brownian Motion Poissonian Obstacles Correlation
2011/8/26
Abstract: This paper continues a study on trajectories of Brownian Motion in a field of soft trap whose radius distribution is unbounded. We show here for both point-to-point and point-to-plane model ...
On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
Reflecting Brownian motion Bessel process hitting time linear boundary
2011/1/20
Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary t 7→ a + bt, a ≥ 0, b ∈ R, by a reflecting Brownian motion.
We give an asymptotic expression for the tail of the maximum of Brownian motion minus a parabola. This confirms a conjecture about the exponential term in the tail behavior, due to Svante Janson.
Is Brownian motion necessary to model high-frequency data?
Brownian motion high-frequency data
2010/11/18
This paper considers the problem of testing for the presence of a continuous part in a semimartingale sampled at high frequency. We provide two tests, one where the null hypothesis is that a continuou...
We derive a simple integral representation for the distribution of the maximum of Brownian motion minus a parabola, which can be used for computing the density and moments of the distribution, both fo...
The greatest convex minorant of Brownian motion, meander, and bridge
convex minorant Brownian motion
2010/11/19
This article contains both a point process and a sequential description of the greatest convex minorant of Brownian motion on a finite interval. We use these descriptions to provide new analysis of v...