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Author : Hans R. Lerche
Publisher :
ISBN 13 : 9781461565703
Total Pages : 152 pages
Book Rating : 4.5/5 (657 download)
Download or read book Boundary Crossing of Brownian Motion written by Hans R. Lerche and published by . This book was released on 2014-01-15 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hans R. Lerche
Publisher : Springer Science & Business Media
ISBN 13 : 1461565693
Total Pages : 147 pages
Book Rating : 4.4/5 (615 download)
Download or read book Boundary Crossing of Brownian Motion written by Hans R. Lerche and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a research report about my work on sequential statistic~ during 1980 - 1984. Two themes are treated which are closely related to each other and to the law of the iterated logarithm:· I) curved boundary first passage distributions of Brownian motion, 11) optimal properties of sequential tests with parabolic and nearly parabolic boundaries. In the first chapter I discuss the tangent approximation for Brownianmotion as a global approximation device. This is an extension of Strassen' s approach to t'he law of the iterated logarithm which connects results of fluctuation theory of Brownian motion with classical methods of sequential statistics. In the second chapter I make use of these connections and derive optimal properties of tests of power one and repeated significance tests for the simpiest model of sequential statistics, the Brownian motion with unknown drift. To both topics:there under1ies an asymptotic approach which is closely linked to large deviation theory: the stopping boundaries recede to infinity. This is a well-known approach in sequential stötistics which is extensively discussed in Siegmund's recent book ·Sequential Analysis". This approach also leads to some new insights about the law of the iterated logarithm (LIL). Although the LIL has been studied for nearly seventy years the belief is still common that it applies only for large sampIe sizes which can never be obser ved in practice.
Author : Thomas H. Scheike
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (912 download)
Download or read book Working paper written by Thomas H. Scheike and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Liqun Wang
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (314 download)
Download or read book Boundary Crossing Probability for Brownian Motion and General Boundaries written by Liqun Wang and published by . This book was released on 1994 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas H. Scheike
Publisher :
ISBN 13 :
Total Pages : 5 pages
Book Rating : 4.:/5 (315 download)
Download or read book A Boundary Crossing Result for the Brownian Motion written by Thomas H. Scheike and published by . This book was released on 1990 with total page 5 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tung-Lung Wu (Jr.)
Publisher :
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.:/5 (855 download)
Download or read book Linear and Non-linear Boundary Crossing Probabilities for Brownian Motion and Related Processes written by Tung-Lung Wu (Jr.) and published by . This book was released on 2012 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a simple and general method to obtain the boundary crossing probability for Brownian motion. This method can be easily extended to higher dimensional of Brownian motion. It also covers certain classes of stochastic processes associated with Brownian motion. The basic idea of the method is based on being able to construct a nite Markov chain such that the boundary crossing probability of Brownian motion is obtained as the limiting probability of the nite Markov chain entering a set of absorbing states induced by the boundary. Numerical results are given to illustrate our method.
Author : Moshe Pollak
Publisher :
ISBN 13 :
Total Pages : 92 pages
Book Rating : 4.:/5 (69 download)
Download or read book Asymptotic Problems Related to Boundary Crossing of One-dimensional Shifted Brownian Motion written by Moshe Pollak and published by . This book was released on 1973 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tung-Lung Jr Wu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Linear and Non-linear Boundary Crossing Probabilities for Brownian Motion and Related Processes written by Tung-Lung Jr Wu and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a simple and general method to obtain the boundary crossing probability for Brownian motion. This method can be easily extended to higher dimensional of Brownian motion. It also covers certain classes of stochastic processes associated with Brownian motion. The basic idea of the method is based on being able to construct a nite Markov chain such that the boundary crossing probability of Brownian motion is obtained as the limiting probability of the nite Markov chain entering a set of absorbing states induced by the boundary. Numerical results are given to illustrate our method.
Author : Ioannis Karatzas
Publisher : Springer
ISBN 13 : 1461209498
Total Pages : 490 pages
Book Rating : 4.4/5 (612 download)
Download or read book Brownian Motion and Stochastic Calculus written by Ioannis Karatzas and published by Springer. This book was released on 2014-03-27 with total page 490 pages. Available in PDF, EPUB and Kindle. Book excerpt: A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The whole is backed by a large number of problems and exercises.
Author : Zhiyong Jin
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book A New Approach to the Computation of First Passage Time Distribution for Brownian Motion written by Zhiyong Jin and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of two novel contributions to the computation of first passage time distribution for Brownian motion. First, we extend the known formula for boundary crossing probabilities for Brownian motion to the discontinuous piecewise linear boundary. Second, we derive explicit formula for the first passage time density of Brownian motion crossing piecewise linear boundary. Further, we demonstrate how to approximate the boundary crossing probabilities and density for general nonlinear boundaries. Moreover, we use Monte Carlo simulation method and develop algorithms for the numerical computation. This method allows one to assess the accuracy of the numerical approximation. Our approach can be further extended to compute two-sided boundary crossing probabilities.
Author : Wolfgang Bischoff
Publisher :
ISBN 13 :
Total Pages : 7 pages
Book Rating : 4.:/5 (163 download)
Download or read book A Lower Bound for Boundary Crossing Probabilities of Brownian Bridge, Motion with Trend written by Wolfgang Bischoff and published by . This book was released on 2004 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank B. Knight
Publisher : American Mathematical Soc.
ISBN 13 : 0821815180
Total Pages : 220 pages
Book Rating : 4.8/5 (218 download)
Download or read book Essentials of Brownian Motion and Diffusion written by Frank B. Knight and published by American Mathematical Soc.. This book was released on 1981 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents some gratuitous generalities on scientific method as it relates to diffusion theory. This book defines Brownian motion by the characterization of P Levy, and then constructed in three basic ways and these are proved to be equivalent in the appropriate sense.
Author : Joseph L. Doob
Publisher :
ISBN 13 :
Total Pages : 86 pages
Book Rating : 4.3/5 (91 download)
Download or read book Conditional Brownian Motion and the Boundary Limits of Harmonic Functions written by Joseph L. Doob and published by . This book was released on 1957 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wolfgang Bischoff
Publisher :
ISBN 13 :
Total Pages : 7 pages
Book Rating : 4.:/5 (13 download)
Download or read book A Lower Bound for Boundary Crossing Probabilities of Brownian Bridge written by Wolfgang Bischoff and published by . This book was released on 2018 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nils Berglund
Publisher : Springer Science & Business Media
ISBN 13 : 1846281865
Total Pages : 283 pages
Book Rating : 4.8/5 (462 download)
Download or read book Noise-Induced Phenomena in Slow-Fast Dynamical Systems written by Nils Berglund and published by Springer Science & Business Media. This book was released on 2006-02-07 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Differential Equations have become increasingly important in modelling complex systems in physics, chemistry, biology, climatology and other fields. This book examines and provides systems for practitioners to use, and provides a number of case studies to show how they can work in practice.
Author : Victor H. Peña
Publisher : Springer Science & Business Media
ISBN 13 : 3540856366
Total Pages : 273 pages
Book Rating : 4.5/5 (48 download)
Download or read book Self-Normalized Processes written by Victor H. Peña and published by Springer Science & Business Media. This book was released on 2008-12-25 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Self-normalized processes are of common occurrence in probabilistic and statistical studies. A prototypical example is Student's t-statistic introduced in 1908 by Gosset, whose portrait is on the front cover. Due to the highly non-linear nature of these processes, the theory experienced a long period of slow development. In recent years there have been a number of important advances in the theory and applications of self-normalized processes. Some of these developments are closely linked to the study of central limit theorems, which imply that self-normalized processes are approximate pivots for statistical inference. The present volume covers recent developments in the area, including self-normalized large and moderate deviations, and laws of the iterated logarithms for self-normalized martingales. This is the first book that systematically treats the theory and applications of self-normalization.
Author : Roberto Moreno-Díaz
Publisher : Springer Nature
ISBN 13 : 3030450937
Total Pages : 535 pages
Book Rating : 4.0/5 (34 download)
Download or read book Computer Aided Systems Theory – EUROCAST 2019 written by Roberto Moreno-Díaz and published by Springer Nature. This book was released on 2020-04-15 with total page 535 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two-volume set LNCS 12013 and 12014 constitutes the thoroughly refereed proceedings of the 17th International Conference on Computer Aided Systems Theory, EUROCAST 2019, held in Las Palmas de Gran Canaria, Spain, in February 2019. The 123 full papers presented were carefully reviewed and selected from 172 submissions. The papers are organized in the following topical sections: Part I: systems theory and applications; pioneers and landmarks in the development of information and communication technologies; stochastic models and applications to natural, social and technical systems; theory and applications of metaheuristic algorithms; model-based system design, verification and simulation. Part II: applications of signal processing technology; artificial intelligence and data mining for intelligent transportation systems and smart mobility; computer vision, machine learning for image analysis and applications; computer and systems based methods and electronic technologies in medicine; advances in biomedical signal and image processing; systems concepts and methods in touristic flows; systems in industrial robotics, automation and IoT.
