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31.
Jeannette H. C. Woerner 《商业与工业应用随机模型》2005,21(1):27-44
In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd. 相似文献
32.
We establish a relation between stable distributions in probability theory and the fractional integral. Moreover, it turns out that the parameter of the stable distribution coincides with the exponent of the fractional integral. It follows from an analysis of the obtained results that equations with the fractional time derivative describe the evolution of some physical system whose time degree of freedom becomes stochastic, i.e., presents a sum of random time intervals subject to a stable probability distribution. We discuss relations between the fractal Cantor set (Cantor strips) and the fractional integral. We show that the possibility to use this relation as an approximation of the fractional integral is rather limited. 相似文献
33.
34.
Miklós Csörgő 《Periodica Mathematica Hungarica》2005,50(1-2):1-27
Summary This article provides a glimpse of some of the highlights of the joint work of Endre Csáki and Pál Révész since 1979. The topics of this short exploration of the rich stochastic milieu of this inspiring collaboration revolve around Brownian motion, random walks and their long excursions, local times and additive functionals, iterated processes, almost sure local and global central limit theorems, integral functionals of geometric stochastic processes, favourite sites--favourite values and jump sizes for random walk and Brownian motion, random walking in a random scenery, and large void zones and occupation times for coalescing random walks. 相似文献
35.
Artūras Dubickas 《Proceedings Mathematical Sciences》2005,115(4):391-397
Suppose that α > 1 is an algebraic number and ξ > 0 is a real number. We prove that the sequence of fractional partsξα
n
, n = 1, 2, 3, …, has infinitely many limit points except when α is a PV-number and ξ ∈ ℚ(α). For ξ = 1 and α being a rational
non-integer number, this result was proved by Vijayaraghavan. 相似文献
36.
The concept and application of phase-space reconstructions are reviewed. Fractional derivatives are then proposed for the purpose of reconstructing dynamics from a single observed time history. A procedure is presented in which the fractional derivatives of time series data are obtained in the frequency domain. The method is applied to the Lorenz system. The ability of the method to unfold the data is assessed by the method of global false nearest neighbors. The reconstructed data is used to compute recurrences and correlation dimensions. The reconstruction is compared to the commonly used method of delays in order to assess the choice of reconstruction parameters, and also the quality of results. 相似文献
37.
Jocelyn Sabatier Serge Poullain Patrick Latteux Jean Luc Thomas Alain Oustaloup 《Nonlinear dynamics》2004,38(1-2):383-400
Robust speed control of a low damped electromechanical system with backlash is studied, controlled load angular speed being not measured. The proposed control strategy combines a Luenberger observer (load angular speed and load torque disturbance estimations) and a robust CRONE controller. The observer provides estimation of the load angular speed and of the disturbance torque applied on the load. Through the computation of only three independent parameters (as many as a PID controller), the CRONE controller permits to ensure the robust speed control of the load in spite of plant parametric variations and speed observation errors. The proposed control strategy is applied to a four mass experimental test bench. 相似文献
38.
K. Kubilius 《Acta Appl Math》2003,78(1-3):233-242
We consider the integral equation driven by a standard Brownian motion and by a fractional Brownian motion. Sufficient conditions under which the equation has a weak solution are obtained. 相似文献
39.
In-time motion adjustment in laser cladding manufacturing process for improving dimensional accuracy and surface finish of the formed part 总被引:2,自引:0,他引:2
This paper presents in-time motion adjustment in laser cladding manufacturing process as a means to improve dimensional accuracy and surface finish of the built part. Defects occurring during laser cladding degrade the part quality such as dimensional accuracy and surface finish. In this paper, in-time motion adjustment strategy was presented to remedy and eliminate defects occurring during laser cladding to improve the dimensional accuracy and surface finish. Based on the relationship between the motion of laser head relative to the growing part and other parameters in effects on clad profile, the laser traverse speed, stand-off distance and laser approach orientation to the existing clad layer were adjusted by instructions from a close-loop control system in real time to remedy and eliminate defects. The results of the experiments verified the effects of in-time motion adjustment on dimensional accuracy and surface finish. 相似文献
40.
Yan Zhibin 《东北数学》1998,(2)
SomeNotesaboutTanaka'sEquationYanZhibin(严质彬)(DepartmentofMathematics,HarbinInstituteofTechnology,Harbin,150001)AbstractLet{Wt... 相似文献