Scaled Penalization Of Brownian Motion With Drift And The Brownian Ascent
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Author | : Hugo Panzo |
Publisher | : |
Total Pages | : 66 |
Release | : 2018 |
Genre | : Brownian motion processes |
ISBN | : |
Download Scaled Penalization of Brownian Motion with Drift and the Brownian Ascent Book in PDF, Epub and Kindle
We study a scaled version of a two-parameter Brownian penalization model introduced by Roynette-Vallois-Yor. The original model penalizes Brownian motion with drift h by a weight process involving the running maximum of the Brownian motion and a parameter volume It was shown there that the resulting penalized process exhibits three distinct phases corresponding to different regions of the (v,h)-plane. In this paper, we investigate the effect of penalizing the Brownian motion concurrently with scaling and identify the limit process. This extends a result of Roynette-Yor to the whole parameter plane and reveals two additional critical phases occurring at the boundaries between the parameter regions. One of these novel phases is Brownian motion conditioned to end at its maximum, a process we call the Brownian ascent. We then relate the Brownian ascent to some well-known Brownian path fragments and to a random scaling transformation of Brownian motion recently studied by Rosenbaum-Yor.
Author | : Catherine Donati-Martin |
Publisher | : Springer Nature |
Total Pages | : 562 |
Release | : 2019-11-19 |
Genre | : Mathematics |
ISBN | : 3030285359 |
Download Séminaire de Probabilités L Book in PDF, Epub and Kindle
This milestone 50th volume of the "Séminaire de Probabilités" pays tribute with a series of memorial texts to one of its former editors, Jacques Azéma, who passed away in January. The founders of the "Séminaire de Strasbourg", which included Jacques Azéma, probably had no idea of the possible longevity and success of the process they initiated in 1967. Continuing in this long tradition, this volume contains contributions on state-of-art research on Brownian filtrations, stochastic differential equations and their applications, regularity structures, quantum diffusion, interlacing diffusions, mod-Ø convergence, Markov soup, stochastic billiards and other current streams of research.
Author | : Matthew Stephan Yancheff |
Publisher | : |
Total Pages | : 34 |
Release | : 2020 |
Genre | : |
ISBN | : |
Download Statistical Inference on Brownian Motion with Drift Book in PDF, Epub and Kindle
Author | : |
Publisher | : |
Total Pages | : |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Research Reports Book in PDF, Epub and Kindle
Author | : Bernard Roynette |
Publisher | : Springer |
Total Pages | : 291 |
Release | : 2009-07-31 |
Genre | : Mathematics |
ISBN | : 3540896996 |
Download Penalising Brownian Paths Book in PDF, Epub and Kindle
Penalising a process is to modify its distribution with a limiting procedure, thus defining a new process whose properties differ somewhat from those of the original one. We are presenting a number of examples of such penalisations in the Brownian and Bessel processes framework. The Martingale theory plays a crucial role. A general principle for penalisation emerges from these examples. In particular, it is shown in the Brownian framework that a positive sigma-finite measure takes a large class of penalisations into account.
Author | : Marjorie Ellen Foddy |
Publisher | : |
Total Pages | : 266 |
Release | : 1983 |
Genre | : Brownian motion processes |
ISBN | : |
Download Analysis of Brownian Motion with Drift, Confined to a Quadrant by Oblique Reflection Book in PDF, Epub and Kindle
Author | : Andrei N. Borodin |
Publisher | : Springer Science & Business Media |
Total Pages | : 710 |
Release | : 2015-07-14 |
Genre | : Mathematics |
ISBN | : 9783764367053 |
Download Handbook of Brownian Motion - Facts and Formulae Book in PDF, Epub and Kindle
Here is easy reference to a wealth of facts and formulae associated with Brownian motion, collecting in one volume more than 2500 numbered formulae. The book serves as a basic reference for researchers, graduate students, and people doing applied work with Brownian motion and diffusions, and can be used as a source of explicit examples when teaching stochastic processes.
Author | : Goran Peškir |
Publisher | : |
Total Pages | : 8 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Maximal Inequalities for Reflected Brownian Motion with Drift Book in PDF, Epub and Kindle
Author | : |
Publisher | : |
Total Pages | : 71 |
Release | : 2012 |
Genre | : |
ISBN | : |
Download Properties of Linear Brownian Motion with Variable Drift Book in PDF, Epub and Kindle
Author | : Alain-Sol Sznitman |
Publisher | : |
Total Pages | : 376 |
Release | : 2014-01-15 |
Genre | : |
ISBN | : 9783662112823 |
Download Brownian Motion, Obstacles and Random Media Book in PDF, Epub and Kindle