共查询到20条相似文献,搜索用时 15 毫秒
1.
迭代Brown运动的一个Chung型重对数律 总被引:1,自引:0,他引:1
X及Y分别为Rd1及Rd2中的相互独立的标准Brown运动,满足X(0)=Y(0)=0.定义,称为一个迭代Brown运动.本文给出了关于Zd1,d2的一个Chung型重对数律. 相似文献
2.
Two domain functionals describing the averaged expectation of exit times and averaged variance of exit times of Brownian motion from a domain, respectively, are studied. We establish the variational formulas for maximizing the functionals over domains with a volume constraint, and characterize the stationary points and maximizers.
3.
Yueyun Hu 《Journal of Theoretical Probability》1999,12(2):313-346
Burdzy and Khoshnevisan(9) have shown that the Hausdorff dimension of the level sets of an iterated Brownian motion (IBM) is equal to 3/4. In this paper, the exact Hausdorff measure function and the packing measure of the levels set of IBM are given. Our approach relies on some accurate analysis on the local asymptotic of local times. 相似文献
4.
H. R. Hughes 《Proceedings of the American Mathematical Society》1998,126(11):3417-3425
The time and place Brownian motion on the product of constant curvature spaces first exits a normal ball of radius centered at the starting point of the Brownian motion are considered. The asymptotic expansions, as decreases to zero, for joint moments of the first exit time and place random variables are computed with error . It is shown that the first exit time and place are independent random variables only if each factor space is locally flat or of dimension three.
5.
本文利用Brown运动在H?lder范数下的大偏差和小偏差,得到了Brown运动增量在H?lder范数下的局部泛函Chung重对数律. 相似文献
6.
利用Ito公式及Ito积分的性质求出了布朗运动和几何布朗运动的矩的一般形式,同时指出可以利用这种方法求其他扩散过程的矩. 相似文献
7.
Anatoliy Malyarenko 《Journal of Theoretical Probability》2006,19(2):263-288
We prove a general functional limit theorem for multiparameter fractional Brownian motion. The functional law of the iterated
logarithm, functional Lévy’s modulus of continuity and many other results are its particular cases. Applications to approximation
theory are discussed.
相似文献
8.
Yimin Xiao 《Journal of Theoretical Probability》1998,11(2):383-408
Let {W(t), tR} and {B(t), t0} be two independent Brownian motions in R with W(0) = B(0) = 0 and let
be the iterated Brownian motion. Define d-dimensional iterated Brownian motion by
where X
1, X
d are independent copies of Y. In this paper, we investigate the existence, joint continuity and Hölder conditions in the set variable of the local time
of X(t), where
is the Borel -algebra of R
+. These results are applied to study the irregularities of the sample paths and the uniform Hausdorff dimension of the image and inverse images of X(t). 相似文献
9.
Abstract We prove an existence and uniqueness theorem for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter H > 1/2 and a multidimensional standard Brownian motion. The proof relies on some a priori estimates, which are obtained using the methods of fractional integration and the classical Itô stochastic calculus. The existence result is based on the Yamada–Watanabe theorem. 相似文献
10.
设X^H={X^H(t),t∈R+}是一个取值于R^d参数为H的次分数布朗运动.本文给出了X^H在单参数情况下局部时的Holder条件和尾概率估计.同时,还给出了X^H在多参数情况下局部时的存在性及L^2表示. 相似文献
11.
L Yu-hua~ 《数学季刊》2007,22(1):57-62
In this paper,we discuss the problem of extreme value for Brownian motion with positive drift.We obtain the joint distribution of the maximum excursion and the minimum excursion. 相似文献
12.
In this paper, we
discuss the problem of extreme value for Brownian motion with positive drift. We obtain
the joint distribution of the maximum excursion and the minimum excursion. 相似文献
13.
Kimberly K. J. Kinateder Patrick McDonald 《Proceedings of the American Mathematical Society》1997,125(6):1815-1822
Using the first exit time for Brownian motion from a smoothly bounded domain in Euclidean space, we define two natural functionals on the space of embedded, compact, oriented, unparametrized hypersurfaces in Euclidean space. We develop explicit formulas for the first variation of each of the functionals and characterize the critical points.
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17.
Let{W1(t), t∈R+} and {W2(t), t∈R+} be two independent Brownian motions with W1(0) = W2(0) = 0. {H (t) = W1(|W2(t)|), t ∈R+} is called a generalized iterated Brownian motion. In this paper, the Hausdorff dimension and packing dimension of the level sets {t ∈[0, T ], H(t) = x} are established for any 0 < T ≤ 1. 相似文献
18.
Asymptotic behavior of the local time at the origin of q-dimensional fractional Brownian motion is considered when the index approaches the critical value 1/q. It is proved that, under a suitable (temporally inhomogeneous) normalization, it converges in law to the inverse of an extremal process which appears in the extreme value theory. 相似文献
19.
布朗运动是一种重要的随机过程,它的首出时的分布在很多方面有着重要的应用.该文讨论了布朗运动关于任意曲线边界的首出时的问题,求出了布朗运动停在双侧(单侧)曲线边界内的概率的分析表达式. 相似文献