Excursions in Brownian motion
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This article is published in Arkiv för Matematik.The article was published on 1976-12-01 and is currently open access. It has received 222 citations till now. The article focuses on the topics: Brownian motion.read more
Citations
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Journal ArticleDOI
Statistics of the first passage time of Brownian motion conditioned by maximum value or area
TL;DR: In this article, the moments of the first passage time for Brownian motion conditioned by either the maximum value or the area swept out by the motion are derived for completeness within the same mathematical framework.
Journal ArticleDOI
Interpolation for partly hidden diffusion processes
Changsun Choi,Dougu Nam +1 more
TL;DR: In this article, a generalized last exit decomposition for n-dimensional Brownian motion is proposed to evaluate the estimators for the functionals of X t on a time interval containing t 0 where the signal is hidden.
Book ChapterDOI
Shifting Processes with Cyclically Exchangeable Increments at Random
TL;DR: In this paper, a path transformation which applied to a cyclically exchangeable increment process conditions its minimum to belong to a given interval is proposed, where the minimum is defined by a path transform.
Book ChapterDOI
Diffusions, Markov Processes, and Martingales: BROWNIAN MOTION
L. C. G. Rogers,David Williams +1 more
Posted Content
The Shape of Random Pattern-Avoiding Permutations
Samuel Miner,Igor Pak +1 more
TL;DR: This work views the permutations as 0-1 matrices to describe the resulting asymptotics geometrically and applies these results to obtain a number of results on distributions of permutation statistics.
References
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Book
Diffusion Processes and their Sample Paths
Kiyosi Itô,Henry P. McKean +1 more
TL;DR: In this article, the authors consider the problem of approximating the Brownian motion by a random walk with respect to the de Moivre-laplace limit theorem and show that it is NP-hard.
Journal Article
Sur certains processus stochastiques homogènes
TL;DR: In this paper, the authors implique l'accord avec les conditions générales d'utilisation (http://www.compositio.org/legal.php).
BookDOI
Aufgaben und Lehrsätze aus der Analysis: Erster Band: Reihen · Integralrechnung Funktionentheorie
Book
Brownian motion and diffusion
TL;DR: The book as discussed by the authors is part of a trilogy covering the field of Markov processes and provides a readable and constructive treatment of Brownian motion and diffusion, which dispenses with most of the customary transform apparatus.
Journal ArticleDOI
Functional Central Limit Theorems for Random Walks Conditioned to Stay Positive
TL;DR: In this article, it was shown that the conditional and unconditional weak limit for a sequence of independent, identically distributed random variables is the same as that of the standard Brownian motion.