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Key words: Discounted optimal stopping problem, finite horizon, geometric Brownian motion, maximum process, parabolic free-boundary problem, smooth fit, normal reflection, a
Keywords and phrases: Capacity on Wiener space, quasi-sure analysis, Ornstein–Uhlenbeck process, Brownian
Keywords Wiener space, Sobolev space, Stochastic integral, Fractional Brownian Motion, Itˆ o’s formula.. AMS Subject Classification (1991)
Keywords Wiener space, Sobolev spaces, Bismut-Driver formula, Logarithmic Sobolev inequal- ity, Capacities, Riemannian manifold path space.. AMS subject classification 60H07,
In the present paper we construct such a Hermitian matrix-valued process, whose entries are sums of Brownian motions and Brownian bridges given independently of each other, that
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
Abstract We give sharp rates of convergence for a natural Markov chain on the space of phylogenetic trees and dually for the natural random walk on the set of perfect matchings in
We define a Fractional Brownian Motion indexed by a sphere, or more generally by a compact rank one symmetric space, and prove that it exists if, and only if, 0 < H ≤ 1 / 2..
