Metabuscador

Aproximadamente 209 registro(s) hasta el momento: (journal)

Mostrar 10 | 50 | 100 resultados por página

Recurso libre

The Mean of a Maximum Likelihood Estimator Associated with the Brownian Bridge
Gao, Fuchang; University of Idaho

Formato:	Peer-reviewed Article,
Enlaces:	A closed formula for the mean of a maximum likelihood estimator associated with the Brownian bridge is obtained; the exact relation with that of the Brownian motion is established.
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

Random Walks that Avoid Their Past Convex Hull
Angel, Omer; Weizmann Institute of Science - Benjamini, Itai; Weizmann Institute of Science - Virág, Bálint; MIT

Formato:	Peer-reviewed Article,
Enlaces:	We explore planar random walk conditioned to avoid its past convex hull. We prove that it escapes at a positive lim sup speed. Experimental results show that fluctuations from a limiting direction are on the order of $n^{3/4}$. This behavior…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

SLE and Triangles
Dubédat, Julien; Université Paris-Sud

Formato:	Peer-reviewed Article,
Enlaces:	By analogy with Carleson's observation on Cardy's formula describing crossing probabilities for the scaling limit of critical percolation, we exhibit ``privileged geometries'' for Stochastic Loewner Evolutions with various parameters, for which certain hitting distributions are uniformly distributed. We then examine…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

Central Limit Theorems for the Products of Random Matrices Sampled by a Random Walk
Duheille-Bienvenue, Frédérique; Université Claude Bernard - Lyon 1 - Guillotin-Plantard, Nadine; Université Claude Bernard - Lyon 1

Formato:	Peer-reviewed Article,
Enlaces:	The purpose of the present paper is to study the asymptotic behaviour of the products of random matrices indexed by a random walk following the results obtained by Furstenberg and Kesten (MR53:14670) and by Ishitani (MR 53:14670).
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus
Gobet, Emmanuel; Centre de Mathématiques Appliquées - Kohatsu-Higa, Arturo; Universitat Pompeu Fabra

Formato:	Peer-reviewed Article,
Enlaces:	In this article, we consider the numerical computations associated to the Greeks of barrier and lookback options, using Malliavin calculus. For this, we derive some integration by parts formulae involving the maximum and minimum of a one dimensional diffusion. Numerical…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

Mixing Time of the Rudvalis Shuffle
Wilson, David Bruce; Microsoft Research

Formato:	Peer-reviewed Article,
Enlaces:	We extend a technique for lower-bounding the mixing time of card-shuffling Markov chains, and use it to bound the mixing time of the Rudvalis Markov chain, as well as two variants considered by Diaconis and Saloff-Coste. We show that in…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

Excited Random Walk
Benjamini, Itai; Weizmann Institute, Rehovot 76100, Israel - Wilson, David Bruce; Microsoft Research

Formato:	Peer-reviewed Article,
Enlaces:	A random walk on $\mathbb{Z}^d$ is excited if the first time it visits a vertex there is a bias in one direction, but on subsequent visits to that vertex the walker picks a neighbor uniformly at random. We show that…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

A System of Differential Equations for the Airy Process
Tracy, Craig A; University of California, Davis - Widom, Harold; University of California, Santa Cruz

Formato:	Peer-reviewed Article,
Enlaces:	The Airy process is characterized by its $m$-dimensional distribution functions. For $m=1$ it is known that this distribution function is expressible in terms of a solution to Painleve II. We show that each finite-dimensional distribution function is expressible in terms…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

Smoothness of the law of the supremum of the fractional Brownian motion
Zaïdi, Noureddine Lanjri; Université Ibn Tofaïl, Kénitra, Maroc - Nualart, David; Universitat de Barcelona

Formato:	Peer-reviewed Article,
Enlaces:	This note is devoted to prove that the supremum of a fractional Brownian motion with Hurst parameter $H\in \left( 0,1\right)$ has an infinitely differentiable density on $\left( 0,\infty \right)$. The proof of this result is based on the techniques of…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

10.

Microscopic structure of a decreasing shock for the asymmetric $k$-step exclusion process
Guiol, Herve; IMA-EPFL - Ravishankar, Krishnamurthi; SUNY, College at New Paltz - Saada, Ellen; CNRS Rouen

Formato:	Peer-reviewed Article,
Enlaces:	The asymmetric $k$-step exclusion processes are the simplest interacting particle systems whose hydrodynamic equation may exhibit both increasing and decreasing entropic shocks under Euler scaling. We prove that, under Riemann initial condition with right density zero and adequate left density,…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

11.

Strict Convexity of the Limit Shape in First-Passage Percolation
Lalley, Steven P.; Department of Statistics, University of Chicago

Formato:	Peer-reviewed Article,
Enlaces:	Sufficient conditions are given for the strict convexity of the limit shape in standard first-passage percolation. These conditions involve (1) asymptotic ``straightness'' of the geodesics, and (2) existence of mean-zero limit distributions for the first-passage times.
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

12.

Path transformations of first passage bridges
Bertoin, Jean; Universite Pierre et Marie Curie - Chaumont, Loic; Universite Pierre et Marie Curie - Pitman, Jim; University of California at Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	We define the first passage bridge from 0 to $\lambda$ as the Brownian motion on the time interval $[0,1]$ conditioned to first hit $\lambda$ at time 1. We show that this process may be related to the Brownian bridge, the…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

13.

Inequality of Two Critical Probabilities for Percolation
Kahn, Jeff; Rutgers University, USA

Formato:	Peer-reviewed Article,
Enlaces:	We disprove a conjecture of Russ Lyons---that for every locally finite, connected graph $G$, the critical probability for (Bernoulli bond) percolation on $G$ is equal to the "first moment method" lower bound on this probability---and propose a possible alternative.
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

14.

Trees and Matchings from Point Processes
Holroyd, Alexander E.; University of California, Berkeley - Peres, Yuval; University of California, Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	A factor graph of a point process is a graph whose vertices are the points of the process, and which is constructed from the process in a deterministic isometry-invariant way. We prove that the d-dimensional Poisson process has a one-ended…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

15.

A Law of the Iterated Logarithm for the Sample Covariance Matrix
Sepanski, Steven J.; Saginaw Valley State University

Formato:	Peer-reviewed Article,
Enlaces:	For a sequence of independent identically distributed Euclidean random vectors, we prove a law of the iterated logarithm for the sample covariance matrix when o(log log n) terms are omitted. The result is proved under the hypothesis that the random…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

16.

Noncolliding Brownian motions and Harish-Chandra formula
Katori, Makoto; Chuo university - Tanemura, Hideki; Chiba university

Formato:	Peer-reviewed Article,
Enlaces:	We consider a system of noncolliding Brownian motions introduced in our previous paper, in which the noncolliding condition is imposed in a finite time interval $(0,T]$. This is a temporally inhomogeneous diffusion process whose transition probability density depends on a…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

17.

Positive correlation for increasing events with disjoint dependencies does not imply positive correlation for all increasing events
Weininger, Nicholas; Rutgers University

Formato:	Peer-reviewed Article,
Enlaces:	A probability measure $\mu$ on the lattice $2^{[n]}$ is said to be positively associated if any two increasing functions on the lattice are positively correlated with respect to $\mu$. Pemantle asked whether, in order to establish positive association for a…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

18.

On a SDE driven by a fractional Brownian motion and with monotone drift
Boufoussi, Brahim; Department of Mathematics, Cadi Ayyad University FSSM - Ouknine, Youssef; Universite Cadi Ayyad

Formato:	Peer-reviewed Article,
Enlaces:	Let ${B_{t}^{H},t\in \lbrack 0,T]}$ be a fractional Brownian motion with Hurst parameter $H > \frac{1}{2}$. We prove the existence of a weak solution for a stochastic differential equation of the form $X_{t}=x+B_{t}^{H}+ \int_{0}^{t}\left( b_{1}(s,X_{s})+b_{2}(s,X_{s})\right) ds$, where $ b_{1}(s,x)$ is a…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

19.

Heat Kernel Asymptotics on the Lamplighter Group
Revelle, David; UC Berkeley

Formato:	Peer-reviewed Article,
Enlaces:	We show that, for one generating set, the on-diagonal decay of the heat kernel on the lamplighter group is asymptotic to $c_1 n^{1/6}\exp[-c_2 n^{1/3}]$. We also make off-diagonal estimates which show that there is a sharp threshold for which elements…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

20.

A note on the richness of convex hulls of VC classes
Lugosi, Gábor; Pompeu Fabra University, Spain - Mendelson, Shahar; The Australian National University, Australia - Koltchinskii, Vladimir; The University of New Mexico, USA

Formato:	Peer-reviewed Article,
Enlaces:	We prove the existence of a class $A$ of subsets of $\mathbb{R}^d$ of VC dimension 1 such that the symmetric convex hull $F$ of the class of characteristic functions of sets in $A$ is rich in the following sense. For…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

21.

Linear Speed Large Deviations for Percolation Clusters
Kovchegov, Yevgeniy; UCLA Mathematics Department, USA - Sheffield, Scott Roger; Microsoft Research

Formato:	Peer-reviewed Article,
Enlaces:	Let $C_n$ be the origin-containing cluster in subcritical percolation on the lattice $\frac{1}{n} \mathbb Z^d$, viewed as a random variable in the space $\Omega$ of compact, connected, origin-containing subsets of $\mathbb R^d$, endowed with the Hausdorff metric $\delta$. When $d…
Fecha:	2003-01-01
Recurso:	Electronic communications in probability

Recurso libre

22.

A stochastic scheme of approximation for ordinary differential equations
Fierro, Raul; Universidad Catolica de Valparaiso - Torres, Soledad; Universidad de Valparaiso

Formato:	Peer-reviewed Article,
Enlaces:	In this note we provide a stochastic method for approximating solutions of ordinary differential equations. To this end, a stochastic variant of the Euler scheme is given by means of Markov chains. For an ordinary differential equation, these approximations are…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

23.

Large deviation principles for Markov processes via Phi-Sobolev inequalities
Wu, Liming; Wuhan University and Université Blaise Pascal - Yao, Nian; Wuhan University

Formato:	Peer-reviewed Article,
Enlaces:	Via Phi-Sobolev inequalities, we give some sharp integrability conditions on $F$ for the large deviation principle of the empirical mean $\frac{1}{T}{\int_{0}^{T}{F(X_{s})}ds}$ for large time $T$, where $F$ is unbounded with values in some separable Banach space. Several examples are provided.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

24.

Threshold phenomena on product spaces: BKKKL revisited (once more)
Rossignol, Raphaël; Université Paris 11, France

Formato:	Peer-reviewed Article,
Enlaces:	We revisit the work of Bourgain et al. (1992) - referred to as "BKKKL" in the title - about influences on Boolean functions in order to give a precise statement of threshold phenomenon on the product space $\{1,...,r\}^N$, generalizing one…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

25.

A non-commutative sewing lemma
Feyel, Denis; Université Evry - de La Pradelle, Arnaud; Universite Paris VI - Mokobodzki, Gabriel; Universite Paris VI

Formato:	Peer-reviewed Article,
Enlaces:	A non-commutative version of the sewing lemma is proved, with some applications
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

26.

A remark on the equivalence of Gaussian processes
van Zanten, Harry; Vrije Universiteit Amsterdam

Formato:	Peer-reviewed Article,
Enlaces:	In this note we extend a classical equivalence result for Gaussian stationary processes to the more general setting of Gaussian processes with stationary increments. This will allow us to apply it in the setting of aggregated independent fractional Brownian motions.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

27.

A relation between dimension of the harmonic measure, entropy and drift for a random walk on a hyperbolic space
Le Prince, Vincent; IRMAR, Rennes

Formato:	Peer-reviewed Article,
Enlaces:	We establish in this paper an exact formula which links the dimension of the harmonic measure, the asymptotic entropy and the rate of escape for a random walk on a discrete subgroup of the isometry group of a Gromov hyperbolic…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

28.

Corners and Records of the Poisson Process in Quadrant
Gnedin, Alexander; Utrecht University

Formato:	Peer-reviewed Article,
Enlaces:	The scale-invariant spacings lemma due to Arratia, Barbour and Tavaré establishes the distributional identity of a self-similar Poisson process and the set of spacings between the points of this process. In this note we connect this result with properties of…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

29.

Optimising prediction error among completely monotone covariance sequences
McVinish, Ross S; Queensland University of Technology

Formato:	Peer-reviewed Article,
Enlaces:	We provide a characterisation of Gaussian time series which optimise the one-step prediction error subject to the covariance sequence being completely monotone with the first m covariances specified.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

30.

Entropy Estimate for $k$-Monotone Functions via Small Ball Probability of Integrated Brownian Motions
Gao, Fuchang; University of Idaho

Formato:	Peer-reviewed Article,
Enlaces:	Metric entropy of the class of probability distribution functions on $[0,1]$ with a $k$-monotone density is studied through its connection with the small ball probability of $k$-times integrated Brownian motions.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

31.

On the boundedness of Bernoulli processes over thin sets
Latala, Rafal; University of Warsaw

Formato:	Peer-reviewed Article,
Enlaces:	We show that the Bernoulli conjecture holds for sets with small one-dimensional projections, i.e. any bounded Bernoulli process indexed by such set may be represented as a sum of a uniformly bounded process and a process dominated by a bounded…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

32.

Filtering and parameter estimation for a jump stochastic process with discrete observations
Makhnin, Oleg V; New Mexico Tech

Formato:	Peer-reviewed Article,
Enlaces:	A compound Poisson process is considered. We estimate the current position of the stochastic process based on past discrete-time observations (non-linear discrete filtering problem) in Bayesian setting. We obtain bounds for the asymptotic rate of the expected square error of…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

33.

Symmetrization of Bernoulli
Pal, Soumik; Cornell University

Formato:	Peer-reviewed Article,
Enlaces:	We show that an asymmetric Bernoulli random variable is symmetry resistant in the sense that any independent random variable, which when added to it produces a symmetric sum, must have a variance at least as much as itself. The main…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

34.

On differentiability of the Parisi formula
Panchenko, Dmitry; Texas A&M University

Formato:	Peer-reviewed Article,
Enlaces:	It was proved by Michel Talagrand in [10] that the Parisi formula for the free energy in the Sherrington-Kirkpatrick model is differentiable with respect to inverse temperature parameter. We present a simpler proof of this result by using approximate solutions…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

35.

On the sphericity of scaling limits of random planar quadrangulations
Miermont, Grégory; Fondation des Sciences Mathématiques de Paris

Formato:	Peer-reviewed Article,
Enlaces:	We give a new proof of a theorem by Le Gall and Paulin, showing that scaling limits of random planar quadrangulations are homeomorphic to the 2-sphere. The main geometric tool is a reinforcement of the notion of Gromov-Hausdorff convergence, called…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

36.

Internal Diffusion-Limited Aggregation on non-amenable graphs
Huss, Wilfried; Graz University of Technology

Formato:	Peer-reviewed Article,
Enlaces:	The stochastic growth model Internal Diffusion Limited Aggregation was defined in 1991 by Diaconis and Fulton. Several shape results are known when the underlying state space is the d-dimensional lattice, or a discrete group with exponential growth. We prove an…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

37.

A note on the distributions of the maximum of linear Bernoulli processes
Bobkov, Sergey G; University of Minnesota

Formato:	Peer-reviewed Article,
Enlaces:	We give a characterization of the family of all probability measures on the extended line $(-\infty,+\infty]$, which may be obtained as the distribution of the maximum of some linear Bernoulli process.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

38.

Exact Convergence Rate for the Maximum of Standardized Gaussian Increments
Kabluchko, Zakhar; Goettingen University - Munk, Axel; Goettingen University

Formato:	Peer-reviewed Article,
Enlaces:	We prove an almost sure limit theorem on the exact convergence rate of the maximum of standardized gaussian random walk increments. This gives a more precise version of Shao's theorem ( Shao, Q.-M., 1995. On a conjecture of R&eacutev&eacutesz. Proc.…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

39.

Continuous-time trading and the emergence of volatility
Vovk, Vladimir; Royal Holloway, University of London

Formato:	Peer-reviewed Article,
Enlaces:	This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of non-constant price processes has to be 2, as in the…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

40.

A functional limit theorem for a 2d-random walk with dependent marginals
Guillotin-Plantard, Nadine; Université Lyon 1 - Le Ny, Arnaud; Université Paris Sud

Formato:	Peer-reviewed Article,
Enlaces:	We prove a non-standard functional limit theorem for a two dimensional simple random walk on some randomly oriented lattices. This random walk, already known to be transient, has different horizontal and vertical fluctuations leading to different normalizations in the functional…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

41.

On the relationship between subordinate killed and killed subordinate processes
Song, Renming; University of Illinois at Urbana-Champaign - Vondracek, Zoran; University of Zagreb

Formato:	Peer-reviewed Article,
Enlaces:	We study the precise relationship between the subordinate killed and killed subordinate processes in the case of an underlying Hunt process, and show that, under minimal conditions, the former is a subprocess of the latter obtained by killing at a…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

42.

Infinite Divisibility of Gaussian Squares with Non-zero Means
Marcus, Michael B.; The City College of CUNY - Rosen, Jay; The College of Staten Island of CUNY

Formato:	Peer-reviewed Article,
Enlaces:	We give necessary and sufficient conditions for a Gaussian vector with non-zero mean, to have infinitely divisible squares for all scalar multiples of the mean, and show how the this vector is related to the local times of a Markov…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

43.

Sharp estimates for the convergence of the density of the Euler scheme in small time
Gobet, Emmanuel; Laboratoire Jean Kuntzmann Université de Grenoble - Labart, Céline; INRIA Paris Rocquencourt

Formato:	Peer-reviewed Article,
Enlaces:	In this work, we approximate a diffusion process by its Euler scheme and we study the convergence of the density of the marginal laws. We improve previous estimates especially for small time.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

44.

On Asymptotic Growth of the Support of Free Multiplicative Convolutions
Kargin, Vladislav; Courant Institute of Mathematical Sciences

Formato:	Peer-reviewed Article,
Enlaces:	Let $\mu$ be a compactly supported probability measure on $\mathbb{R}^{+}$ with expectation $1$ and variance $V.$ Let $\mu _{n}$ denote the $n$-time free multiplicative convolution of measure $\mu $ with itself. Then, for large $n$ the length of the support…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

45.

Perfect sampling from the limit of deterministic products of stochastic matrices
Stenflo, Örjan; Uppsala University

Formato:	Peer-reviewed Article,
Enlaces:	We illustrate how a technique from the theory of random iterations of functions can be used within the theory of products of matrices. Using this technique we give a simple proof of a basic theorem about the asymptotic behavior of…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

46.

Distribution of a random functional of a Ferguson-Dirichlet process over the unit sphere
Jiang, Thomas Jyh-Ming; National Chengchi University - Kuo, Kun-Lin; Academia Sinica

Formato:	Peer-reviewed Article,
Enlaces:	Jiang, Dickey, and Kuo [12] gave the multivariate c-characteristic function and showed that it has properties similar to those of the multivariate Fourier transformation. We first give the multivariate c-characteristic function of a random functional of a Ferguson-Dirichlet process over…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

47.

A martingale on the zero-set of a holomorphic function
Kink, Peter; Faculty for Computer and Information Sciences, University of Ljubljana

Formato:	Peer-reviewed Article,
Enlaces:	We give a simple probabilistic proof of the classical fact from complex analysis that the zeros of a holomorphic function of several variables are never isolated and that they are not contained in any compact set. No facts from complex…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

48.

Distribution of the Brownian motion on its way to hitting zero
Chigansky, Pavel; The Hebrew University - Klebaner, Fima C.; Monash University

Formato:	Peer-reviewed Article,
Enlaces:	For the one-dimensional Brownian motion $B=(B_t)_{t\geq 0}$, started at $x>0$, and the first hitting time $\tau=\inf\{t\geq 0:B_t=0\}$, we find the probability density of $B_{u\tau}$ for a $u\in(0,1)$, i.e. of the Brownian motion on its way to hitting zero.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

49.

Sharp inequality for bounded submartingales and their differential subordinates
Osekowski, Adam; University of Warsaw

Formato:	Peer-reviewed Article,
Enlaces:	Let $\alpha$ be a fixed number from the interval $[0,1]$. We obtain the sharp probability bounds for the maximal function of the process which is $\alpha$-differentially subordinate to a bounded submartingale. This generalizes the previous results of Burkholder and Hammack.
Fecha:	2008-01-01
Recurso:	Electronic communications in probability

Recurso libre

50.

Renewal series and square-root boundaries for Bessel processes
Enriquez, Nathanael; Universite Paris 10 - Sabot, Christophe; Université de Lyon 1 - Yor, Marc; Universite Paris 6

Formato:	Peer-reviewed Article,
Enlaces:	We show how a description of Brownian exponential functionals as a renewal series gives access to the law of the hitting time of a square-root boundary by a Bessel process. This extends classical results by Breiman and Shepp, concerning Brownian…
Fecha:	2008-01-01
Recurso:	Electronic communications in probability