搜索结果: 1-9 共查到“理论统计学 Levy processes”相关记录9条 . 查询时间(0.125 秒)
Distributions of suprema of Levy processes via the Heavy Traffic Invariance Principle
Livy process supremum heavy traflic queueing systems
2009/9/21
We study the relationship between the distribution of
the supremum functional M, = sup,,,,,(X(t)-fit) for a process
X with stationary, but not necessarily independent increments, and the
I limiting...
FRACTIONAL DERIVATIVES OF LOCAL TIMES OF STABLE LEVY PROCESSES AS THE LIMITS OF THE OCCUPATION TIME PROBLEM IN BESOV SPACE
Stable processes local time fractional derivative occupittion time problem Besov space
2009/9/21
In this paper, we firstly study the Besov regularity of
the local time of symmetric stable processes and of its fractional derivative.
Secondly, we establish Limit theorems for occupation times of
...
LEVY PROCESSES AND SELF-DECOMPOSABILITY IN FINANCE
Inlinite divisibility, self-decomposability,type G, elliptically contoured distributions
2009/9/18
The main theme of Urbanik's work was infinite divisibility
and its r d c a t i o n s . The aim of this memorial article is to trace
the application of this theme in mathematical fmanoe, one of the m...
LEVY PROCESSES AND STOCHASTIC INTEGRALS IN BANACH SPACES
Uvy process LBvy measure type cotype LBvy-It6 decomposition stochastic integral
2009/9/18
We review infinite divisibility and LBvy processes in
Banach spaces and discuss the relationship with notions of type and i cotype. The LBvy-It6 decomposition is described. Strong, weak and
Pettis-s...
Some properties of exponential integrals of Levy processes and examples
Generalized Ornstein-Uhlenbeck process L!aev process selfdecomposability
2009/4/23
The improper stochastic integral $Z=int_0^{infty-}exp(-X_{s-})dY_s$ is studied, where ${ (X_t ,Y_t) , t ges 0 }$ is a L'evy process on $R ^{1+d}$ with ${X_t }$ and ${Y_t }$ being $R$-valued and $R ^d$...
A short proof of the Hausdorff dimension formula for Levy processes
Levy processes Hausdor dimension range
2009/4/22
A different but very short proof of a recent result of Khoshnevisan.
Let X(t) t 0 ,X(0) = 0, be a L´evy process with spectral L´evy measure . Assuming that ((−1, 0)) < 1 and the right tail of is light, we show that in the presence of Brownian co...
The notion that natural disasters can be controlled is, of course, farcical; history is permeated with examples of countless failed attempts at this pointless task; it is synonymous with trying to bui...
The Explicit Chaotic Representation of the powers of increments of Levy Processes
Chaotic representation property Levy process Power jump process Poisson randommeasure Martingale representation
2010/4/29
An explicit formula for the chaotic representation of the powers of increments, (Xt+t0 − Xt0)n ,of a L´evy process is presented. There are two different chaos expansions of a square integr...