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3,241
Fractional Integrals And Brownian Processes
, 1996
"... this paper is to give a pure analytic viewpoint of the regularity of certain random processes. Instead of looking for regularity of a given type, as is usually done in probability, we consider a convenient Banach space of Holder continuous functions : the classical Liouville space J ff;p . This is t ..."
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Cited by 5 (0 self)
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this paper is to give a pure analytic viewpoint of the regularity of certain random processes. Instead of looking for regularity of a given type, as is usually done in probability, we consider a convenient Banach space of Holder continuous functions : the classical Liouville space J ff
Drift rate control of a Brownian processing system
 Annals of Applied Probability
, 2005
"... A system manager dynamically controls a diffusion process Z that lives in a finite interval [0,b]. Control takes the form of a negative drift rate θ that is chosen from a fixed set A of available values. The controlled process evolves according to the differential relationship dZ = dX − θ(Z)dt + dL ..."
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Cited by 12 (0 self)
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L − dU, where X is a (0,σ) Brownian motion, and L and U are increasing processes that enforce a lower reflecting barrier at Z = 0 and an upper reflecting barrier at Z = b, respectively. The cumulative cost process increases according to the differential relationship dξ = c(θ(Z))dt+pdU, where c(·) is a
THE EXISTENCE OF PRODUCT BROWNIAN PROCESSES JOONG SUNG KWON
"... F i L2.Si; i /, i D 1; 2. Clearly we can define Z1 Z2 on the field generated by F 1 F 2 in an obvious way. The main purpose of the paperis to study the problem of constructing a productfunction Z1 Z2 on as large a subfamily of L2.S1S2; 12 / as possible and to characterizethose index familiesF t ..."
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F i L2.Si; i /, i D 1; 2. Clearly we can define Z1 Z2 on the field generated by F 1 F 2 in an obvious way. The main purpose of the paperis to study the problem of constructing a productfunction Z1 Z2 on as large a subfamily of L2.S1S2; 12 / as possible and to characterizethose index familiesF thatcontainingF1F 2, for which a ‘regular’extension of Z1 Z2 exists. The regularity on thesample paths to be considered here is uniform continuity with respect to the L2metric. The method used to measure the size of indexfamilies is a metric entropy. 1.
BROWNIAN PROCESSES FOR MONTE CARLO INTEGRATION ON COMPACT LIE GROUPS
"... This paper proposes a Monte Carlo approach for the evaluation of integrals of smooth functions defined on compact Lie groups. The approach is based on the ergodic property of Brownian processes in compact Lie groups. The paper provides an elementary proof of this property and obtains the following r ..."
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This paper proposes a Monte Carlo approach for the evaluation of integrals of smooth functions defined on compact Lie groups. The approach is based on the ergodic property of Brownian processes in compact Lie groups. The paper provides an elementary proof of this property and obtains the following
NEW LARGE DEVIATION RESULTS FOR SOME SUPERBROWNIAN PROCESSES
"... Abstract. We give large deviation results for the superBrownian excursion conditioned to have unit mass or unit extinction time and for superBrownian motion with constant nonpositive drift. We use a representation of these processes by a pathvalued process, the socalled Brownian snake for whi ..."
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Abstract. We give large deviation results for the superBrownian excursion conditioned to have unit mass or unit extinction time and for superBrownian motion with constant nonpositive drift. We use a representation of these processes by a pathvalued process, the socalled Brownian snake
The Variance Gamma Process and Option Pricing.
 European Finance Review
, 1998
"... : A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. The process is obtained by evaluating Brownian motion with drift at a random time given by a gamma process. The two additional par ..."
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Cited by 365 (34 self)
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: A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. The process is obtained by evaluating Brownian motion with drift at a random time given by a gamma process. The two additional
The twoparameter PoissonDirichlet distribution derived from a stable subordinator.
, 1995
"... The twoparameter PoissonDirichlet distribution, denoted pd(ff; `), is a distribution on the set of decreasing positive sequences with sum 1. The usual PoissonDirichlet distribution with a single parameter `, introduced by Kingman, is pd(0; `). Known properties of pd(0; `), including the Markov ..."
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Cited by 356 (33 self)
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of Brownian motion and Bessel processes. For 0 ! ff ! 1, pd(ff; 0) is the asymptotic distribution of ranked lengths of excursions of a Markov chain away from a state whose recurrence time distribution is in the domain of attraction of a stable law of index ff. Formulae in this case trace back to work
Experimental Queueing Analysis with LongRange Dependent Packet Traffic
 IEEE/ACM Transactions on Networking
, 1996
"... Recent traffic measurement studies from a wide range of working packet networks have convincingly established the presence of significant statistical features that are characteristic of fractal traffic processes, in the sense that these features span many time scales. Of particular interest in packe ..."
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Cited by 346 (14 self)
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Recent traffic measurement studies from a wide range of working packet networks have convincingly established the presence of significant statistical features that are characteristic of fractal traffic processes, in the sense that these features span many time scales. Of particular interest
Valuation of Executive Stock Options when the stock price follows a Geometric Brownian Process By
"... It has been common practice to provide executives of firms with executive stock options as a part of the compensation package; such options are available both in US and Australia. These executive stock options are call options with additional restrictions. Until recently, the executive stock options ..."
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research on executive stock option valuation. This paper examines the analytical aspect of valuation of executive stock options including those with further performance based grants when the stock price follows a geometric brownian motion. It provides a formulae for valuation using Esscher transforms when
Results 1  10
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