The distribution of a functional of the Wiener process and its application to the Brownian sheet
Анотація
Abstract We obtain the probability that the Wiener process does not exceed a barrier being a polygonal line. As a consequence, we find the distribution of the Brownian sheet restricted to a polygonal line. Keywords: Wiener processBrownian sheetdistribution of the supremum AMS 2010 Subject Classification : 60G1560G60 Acknowledgements The work was supported in part by a DFG project.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
An Asymptotic Method for Predicting Risks in Problems of Stochastic Monitoring and Control
Схоже за: Stochastic processes and financial applications · Ecosystem dynamics and resilience
Approximation of multifractional Brownian motion by absolutely continuous processes
Схоже за: Stochastic processes and financial applications
Wick calculus in Gaussian analysis
Схоже за: Stochastic processes and financial applications
Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process
Схоже за: Stochastic processes and financial applications
Asymptotic Growth of Sample Paths of Tempered Fractional Brownian Motions, with Statistical Applications to Vasicek-Type Models
Схоже за: Stochastic processes and financial applications
Large Deviations for the Method of Empirical Means in Stochastic Optimization Problems with Continuous Time Observations
Схоже за: Stochastic processes and financial applications