0601035v2. 294KB Jun 04 2011 12:07:14 AM
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The purpose of this note is to prove a central limit theorem for the third integrated moment of the Brownian local time increments using techniques of stochastic analysis.. This
We end this introduction by resuming the fact that results in this paper light up some explicit examples of conditioned stochastic differential equation locally equivalent to a
Key words: stochastic differential equations, Brownian motion, Law of the Iterated Logarithm, Motoo’s theorem, stochastic comparison principle, stationary processes,
In the paper [STW], it was shown that “a Brownian motion reflected on an independent time-reversed Brownian motion is again a Brownian motion” combining the fact that the
When the migration is Brownian motion and the initial state of the model consists of the same mixture of different types of individuals over each site, the evolution of the clusters
Abstract: In this paper we give a solution for the one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an
backward stochastic differential equation (BSDE), stability of BSDEs, weak convergence of filtrations,
We prove here (by showing convergence of Chen’s series) that linear stochastic differential equa- tions driven by analytic fractional Brownian motion [6, 7] with arbitrary Hurst index
