共查询到20条相似文献,搜索用时 46 毫秒
1.
Summary LetT()=+F() be a transformation from the Wiener space to itself with the range ofF() assumed to be in the Cameron-Martin space. The absolute continuity and the density function associated withT is considered;T is assumed to be embedded in or defined through a parameterizationT
t
=+F
t
() andF
t
is assumed to be differentiable int. The paper deals first with the case where the range of thet-derivative ofF
t
() is also in the Cameron-Martin space and new representations for the Radon-Nikodym derivative and the Carleman-Fredholm determinant are derived. The case where thet-derivative ofF
t
is not in the Cameron-Martin space is considered next and results on the absolute continuity and the density function, under conditions which are considerably weaker than previously known conditions, are presented.The work of the second author was supported by the fund for promotion of research at the Technion 相似文献
2.
Frédéric Bernardin 《Set-Valued Analysis》2003,11(4):393-415
In this paper we show the strong mean square convergence of a numerical scheme for a R
d
-multivalued stochastic differential equation: dX
t
+A(X
t
)dtb(t,X
t
)dt+(t,X
t
)dW
t
and obtain the rate of convergence O(( log(1/)1/2) when the diffusion coefficient is bounded. By introducing a discrete Skorokhod problem, we establish L
p
-estimates (p2) for the solutions and prove the convergence by using a deterministic result. Numerical experiments for the rate of convergence are presented. 相似文献
3.
M. T. Barlow 《Probability Theory and Related Fields》1978,44(4):307-323
Summary Let (,, P) be a measurable space, and {
t} be a filtration on (,). Then, given a fixed honest timeL a new filtrationG
t} is defined, the smallest containing {
t} and for whichL is a stopping time, and the martingales, semimartingales and stopping times of this new filtration are characterised. 相似文献
4.
This paper investigates the properties of (0) optimal policies in the model of [2]. It is shown that, if * = (
0
*
,
1
*
,...,
n
*
,
n
+1/*
, ...) is a-discounted optimal policy, then (
0
*
,
1
*
, ...,
n
*
) for alln0 is also a-discounted optimal policy. Under some condition we prove that stochastic stationary policy
n
*
corresponding to the decision rule
n
*
is also optimal for the same discounting factor. We have also shown that for each-optimal stochastic stationary policy
0
*
,
0
*
can be decomposed into several decision rules to which the corresponding stationary policies are also-optimal separately; and conversely, a proper convex combination of these decision rules is identified with the former
0
*
. We have further proved that for any (,)-optimal policy, say *=(
0
*
,
1
*
, ...,
n
*
,
n
+1/*
, ...),
n–1
*
) is ((1–
n
)–1
e, ) optimal forn>0. At the end of this paper we mention that the results about convex combinations and decompositions of optimal policies of § 4 in [1] can be extended to our case.Project supported by the Science Fund of the Chinese Academy of Sciences. 相似文献
5.
F. Schipp 《Analysis Mathematica》1990,16(2):135-141
H={h
1,I } — , . : , I ¦(I)¦=¦I¦, ¦I¦ — I. H H
={h
(I),I} . , , . L
p
.
Dedicated to Professor B. Szökefalvi-Nagy on his 75th birthday
This research was supported in part by MTA-NSF Grants INT-8400708 and 8620153. 相似文献
Dedicated to Professor B. Szökefalvi-Nagy on his 75th birthday
This research was supported in part by MTA-NSF Grants INT-8400708 and 8620153. 相似文献
6.
A. M. Samoilenko D. I. Martynyuk N. A. Perestyuk 《Ukrainian Mathematical Journal》1994,46(9):1336-1344
We establish sufficient conditions for the reducibility of a nonlinear system of difference equationsx(t+1)=x(t)++P(x(t),t+ to a system y(t+1)= y(t)+, wherex, , m and the infinite-dimensional vector function P(x(t),t) is 2p-periodic inx
i i=1,2,...) and almost periodic int with a frequency basis.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 46, No. 9, pp. 1216–1223, September, 1994. 相似文献
7.
Jacques Simon 《Annali di Matematica Pura ed Applicata》1986,146(1):65-96
Summary A characterization of compact sets in Lp (0, T; B) is given, where 1P and B is a Banach space. For the existence of solutions in nonlinear boundary value problems by the compactness method, the point is to obtain compactness in a space Lp (0,T; B) from estimates with values in some spaces X, Y or B where XBY with compact imbedding XB. Using the present characterization for this kind of situations, sufficient conditions for compactness are given with optimal parameters. As an example, it is proved that if {fn} is bounded in Lq(0,T; B) and in L
loc
1
(0, T; X) and if {fn/t} is bounded in L
loc
1
(0, T; Y) then {fn} is relatively compact in Lp(0,T; B), p相似文献
8.
P. A. Jacobs 《Probability Theory and Related Fields》1978,44(4):325-336
Summary Let
be a continuous additive functional with supportC of a Hunt processX={X
t;t0}. LetS={S
t;t0} be the inverse of
and put
. For each time of discontinuityu ofS, letZ
u be the corresponding excursion ofX outside ofC. The conditional structure of the excursion process {Z
u;u0} given the paths ofY={Y
t;t0} is studied. It is shown that conditionally, givenY, the excursion process is a Poisson random measure.Support from the Office of Naval Research (Contract Number N-00014-67-A-0112-0011) and the National Science Foundation (Grant Number ENG 75-02026) is gratefully acknowledged 相似文献
9.
Onésimo Hernández-Lerma Rolando Cavazos-Cadena 《Applied Mathematics and Optimization》1988,17(1):79-89
Given a discrete-time stochastic control systemx
t+1
=F(x
t
,a
t
,
t
),t=0, 1,.., N (N), where the noise process {
t
} is a sequence of i.i.d. random elements with distribution, let
N
(x) be the optimal reward function when the initial state isx and the planning horizon isN. We give conditions under whichv
N
is a continuous function in for several reward criteria. The applicability of these results to nonparametric adaptive control of stochastic systems is briefly discussed.This research was supported in part by the Consejo Nacional de Ciencia y Tecnologia (CONACYT) under Grants PCCBBNA-020630 and PCEXCNA-040640. 相似文献
10.
11.
Michel Weber 《Journal of Theoretical Probability》1996,9(1):105-112
Let (Y,,,T) be an ergodic dynamical system. LetA be an nonempty subset ofL
2() such that
, whereA=sup{||sȒt||2
,s, tA} andN(A, u) is the smallest number ofL
2()-open balls of radiusu, centered inA, enough to coverA. Let
. We prove as a consequence of a more general result, thatC(A) is aGB subset ofL
2(). 相似文献
12.
In this paper we study initial value problems likeu
t–R¦u¦m+uq=0 in n× +, u(·,0+)=uo(·) in N, whereR > 0, 0 <q < 1,m 1, andu
o is a positive uniformly continuous function verifying –R¦u
o¦m+u
0
q
0 in
N
. We show the existence of the minimum nonnegative continuous viscosity solutionu, as well as the existence of the function t(·) defined byu(x, t) > 0 if 0<t<t
(x) andu(x, t)=0 ift t
(x). Regularity, extinction rate, and asymptotic behavior of t(x) are also studied. Moreover, form=1 we obtain the representation formulau(x, t)=max{([(u
o(x – t))1–q
–(1–q)t]+)1/(1–q): ¦¦R}, (x, t)
+
N+1
.Partially supported by the DGICYT No. 86/0405 project. 相似文献
13.
René L. Schilling 《Journal of Theoretical Probability》1998,11(2):303-330
Let {X
t}
t0 be a Feller process generated by a pseudo-differential operator whose symbol satisfiesÇn|q(Ç,)|c(1=)()) for some fixed continuous negative definite function (). The Hausdorff dimension of the set {X
t:tE}, E [0, 1] is any analytic set, is a.s. bounded above by dim E. is the Blumenthal–Getoor upper index of the Levy Process associated with (). 相似文献
14.
Let (t)t>0 be a convolution semigroup of probability measures on a measurable group (G, ). In this paper, we provide precise information about the asymptotic behavior of t{q>s, whereq is a measurable seminorm and (t)t>0 isq-continuous. 相似文献
15.
M. Sh. Shabozov 《Ukrainian Mathematical Journal》1995,47(11):1769-1778
For the classB
p
, 0 < 1, 1p , of 2-periodic functions of the form f(t)=u(,t), whereu (,t) is a biharmonic function in the unit disk, we obtain the exact values of the best approximation and best unilateral approximation of the kernel K(t) of the convolution f= K *g, gl, with respect to the metric of L1. We also consider the problem of renewal of the values of the convolution operator by using the information about the values of the boundary functions.Translated from Ukrainskii Matematicheskii Zhurnal, Vol.47, No. 11, pp. 1549–1557, November, 1995. 相似文献
16.
Ioannis Karatzas 《Applied Mathematics and Optimization》1981,7(1):175-189
We consider the problem of optimally tracking the random demandx+w
t, w. Brownian motion, by a nondecreasing process. adapted to the Brownian past, so as to minimize the expected lossE
0
T
(x+wt–t)dt. The decision problem is reduced to a free boundary one, and the latter is studied and solved for a large class of cost functions().This research was supported in part by the Air Force Office of Scientific Research, under AF-AFOSR 77-3063. 相似文献
17.
D. J. Needham 《Zeitschrift für Angewandte Mathematik und Physik (ZAMP)》1991,42(3):455-459
In this note we consider a reaction-diffusion problem which describes a simple model chemical reaction scheme for quadratic autocatalysis with linear decay. We show that withk>1 (wherek is a parameter measuring the relative strength of the decay step to the autocatalytic step) the dimensionless unreacting state 1, 0 is globally asymptotically stable, with 1+0(t
–1/2) and 0(t
–1/2
e
–(k–1)t) ast-. Here and are the concentrations of the reactant and the autocatalyst respectively, andt is time. The casek<1 has been considered in detail by Merkin et al. [1]. 相似文献
18.
Robert Blackburn 《Journal of Theoretical Probability》2000,13(3):825-842
For X(t) a real-valued symmetric Lévy process, its characteristic function is E(e
iX(t))=exp(–t()). Assume that is regularly varying at infinity with index 1<2. Let L
x
t
denote the local time of X(t) and L*
t
=sup
xR
L
x
t
. Estimates are obtained for P(L
0
t
y) and P(L*
t
y) as y and t fixed. 相似文献
19.
A spatially nonhomogeneous random walk t on the grid =m X n is considered. Let t
0 be a random walk homogeneous in time and space, and let t be obtained from it by changing transition probabilities on the set A= X n, || < , so that the walk remains homogeneous only with respect to the subgroup n of the group . It is shown that if >m 2 or the drift is distinct from zero, then the central limit theorem holds for t. 相似文献
20.
Timothy S. Norfolk 《Numerical Algorithms》2000,25(1-4):279-291
In this paper, we explore the asymptotic distribution of the zeros of the partial sums of the family of entire functions of order 1 and type 1, defined by G(,,z)=0
1(t)t
–1×(1–t)–1e
zt
dt, where Re,Re>0, is Riemann-integrable on [0,1], continuous at t=0, 1 and satisfies (0)(1)0. 相似文献