getdoc3f00. 166KB Jun 04 2011 12:04:18 AM
Teks penuh
Garis besar
Dokumen terkait
Yor studied the limit theorems for the one-dimensional symmetric stable process normalized by non-negative functions of the local times or by negative (killing)
We show that the Langevin equation with fractional Brownian mo- tion noise also has a stationary solution and that the decay of its auto-covariance function is like that of a
Key words: Long memory (Long range dependence), Fractional Brownian motion, Fractional Ornstein-Uhlenbeck process, Exponential process, Burkholder-Davis-Gundy inequalities..
We give a new representation of fractional Brownian motion with Hurst parameter H ≤ 1 2 using stochastic partial differential equations.. This representation allows us to use the
Recall that the excursions of the reflecting Brownian motion ξ from zero determine a family of rooted trees to which we add marks according to a Poisson point process of intensity 2
In order to identify the limit, we shall characterize the limit as the unique solution of the aforementioned SDE-like equation (cf. the initial position of a reflected Brownian
Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process.. (2)
Keywords: Volterra Gaussian process; Self-similar process; Ergodic transformation; Fractional Brownian
