Directory UMM :Data Elmu:jurnal:S:Stochastic Processes And Their Applications:Vol88.Issue2.2000:
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Keywords: Locally stationary processes; Nonlinear thresholding; Nonparametric curve estimation; Preperiodogram; Time series; Wavelet
Keywords: Stochastic Hamiltonian systems; Large deviations; Moderate deviations; Exponential convergence; Hyper-exponential
In this section, we will prove a large deviation principle of an average form for the Brownian motion on conguration space.. We assume, for example, the
Keywords: Financial asset pricing theory; Options; Arbitrage; Complete markets; Numeraire invariance; Semimartingale; Backwards stochastic dierential
We study a discrete time Markov process with particles being able to perform discrete time random walks and create new particles, known as branching random walk (BRW).. We suppose
On the other hand, in the literature, there are a lot of important examples in which, the simplest continuous semimartingale, that is, the Brownian motion, can be weakly approximated
Roughly stated, it says that if one starts a Brownian motion anywhere inside a ball of radius and evaluates the stochastic parallel transport at the exit time from the ball (at
The paper is organized as follows. The main results are stated in Section 2. In Section 3, we construct martingales based on the Poisson equation, and provide Wald equations and
