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2,106
Natural Metrics and LeastCommitted Priors for Articulated Tracking
"... In articulated tracking, one is concerned with estimating the pose of a person in every frame of a film. This pose is most often represented as a kinematic skeleton where the joint angles are the degrees of freedom. Leastcommitted predictive models are then phrased as a Brownian motion in joint ang ..."
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In articulated tracking, one is concerned with estimating the pose of a person in every frame of a film. This pose is most often represented as a kinematic skeleton where the joint angles are the degrees of freedom. Leastcommitted predictive models are then phrased as a Brownian motion in joint
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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impact on queueing performance, and is a dominant characteristic for a number of packet traffic engineering problems. In addition, we give conditions under which the use of compact and simple traffic models that incorporate longrange dependence in a parsimonious manner (e.g., fractional Brownian motion
Arbitrage with fractional Brownian motion
 Math. Finance
, 1997
"... Fractional Brownian motion has been suggested as a model for the movement of log share prices which would allow longrange dependence between returns on different days. While this is true, it also allows arbitrage opportunities, which we demonstrate both indirectly and by constructing such an arbitr ..."
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Cited by 122 (0 self)
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Fractional Brownian motion has been suggested as a model for the movement of log share prices which would allow longrange dependence between returns on different days. While this is true, it also allows arbitrage opportunities, which we demonstrate both indirectly and by constructing
Exponential functionals of Brownian motion. II. Some related diffusion processes,
 Probab. Surv.
, 2005
"... Abstract: In this paper, distributional questions which arise in certain Mathematical Finance models are studied: the distribution of the integral over a fixed time interval {0, T} of the exponential of Brownian motion with drift is computed explicitly, with the help of former computations made by ..."
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Cited by 199 (16 self)
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Abstract: In this paper, distributional questions which arise in certain Mathematical Finance models are studied: the distribution of the integral over a fixed time interval {0, T} of the exponential of Brownian motion with drift is computed explicitly, with the help of former computations made
• Brownian motion
"... • Fluctuationdissipation theoremBrownian particles small particles (10nm5µm) dispersed in a solvent (diluted milk) The erratic motion of pollen suspended in water was observed and described by Robert Brown in 1827Coarsegrained picture The fluid described as a continuum medium obeying hydrodynamic ..."
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• Fluctuationdissipation theoremBrownian particles small particles (10nm5µm) dispersed in a solvent (diluted milk) The erratic motion of pollen suspended in water was observed and described by Robert Brown in 1827Coarsegrained picture The fluid described as a continuum medium obeying
A JumpDiffusion Model for Option Pricing
 Management Science
, 2002
"... Brownian motion and normal distribution have been widely used in the Black–Scholes optionpricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and two (as ..."
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Cited by 237 (9 self)
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Brownian motion and normal distribution have been widely used in the Black–Scholes optionpricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and two
Multifractional Brownian motion: definition and preliminary results

, 1995
"... We generalize the definition of the fractional Brownian motion of exponent H to the case where H is no longer a constant, but a function of the time index of the process. This allows us to model non stationary continuous processes, and we show that H(t) and 2 \Gamma H(t) are indeed respectively t ..."
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Cited by 102 (4 self)
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We generalize the definition of the fractional Brownian motion of exponent H to the case where H is no longer a constant, but a function of the time index of the process. This allows us to model non stationary continuous processes, and we show that H(t) and 2 \Gamma H(t) are indeed respectively
Is Network Traffic Approximated By Stable Lévy Motion Or Fractional Brownian Motion?
, 1999
"... Cumulative broadband network traffic is often thought to be well modelled by fractional Brownian motion. However, some traffic measurements do not show an agreement with the Gaussian marginal distribution assumption. We show that if connection rates are modest relative to heavy tailed connection le ..."
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Cited by 110 (12 self)
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Cumulative broadband network traffic is often thought to be well modelled by fractional Brownian motion. However, some traffic measurements do not show an agreement with the Gaussian marginal distribution assumption. We show that if connection rates are modest relative to heavy tailed connection
Results 1  10
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