getdoc3394. 193KB Jun 04 2011 12:04:14 AM
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Keywords: g –expectation, G –expectation, G –normal distribution, BSDE, SDE, nonlinear probability theory, nonlinear expectation, Brownian motion, Itˆo’s stochastic calculus,
and Shi, Z.: An iterated logarithm law for Cauchy’s principal value of Brownian local times. In: Exponential Functionals and Principal Values Related to Brownian
Key words: stochastic differential equations, Brownian motion, Law of the Iterated Logarithm, Motoo’s theorem, stochastic comparison principle, stationary processes,
Brownian motion, fine topology, local maxima, optional
GUE, eigenvalues of random matrices, Hermitian Brownian motion, non-colliding Brownian motions, Weyl chamber, queues in series, Burke’s theorem, reversibility, Pitman’s representa-
A proof of the increase in maturity of the expectation of a convex function of the arithmetic average of geometric brownian motion. Making Markov martingales meet marginals:
A closed formula for the mean of a maximum likelihood estimator associated with the Brownian bridge is obtained; the exact relation with that of the Brownian motion is
This result has consequences for the Hausdorff dimension of the frontier of planar Brownian motion, and also for the Hausdorff dimension of the set of cut-points of planar
