搜索结果: 1-8 共查到“概率论 Brownian Motion”相关记录8条 . 查询时间(0.122 秒)
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...
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 ...
Quantum random walks and minors of Hermitian Brownian motion
Quantum random walks minors of Hermitian Brownian motion
2010/11/30
Considering quantum random walks, we construct discrete-time approximations of the eigenvalues processes of minors of Hermitian Brownian motion.