Related papers: Brownian Bridges on Random Intervals
For a fixed flow-based generative model under a small inference budget, sample quality can depend strongly on where the sampler spends its few function evaluations. Flow matching and Schr\"odinger bridges define probability paths, yet their…
This paper is concerned with the behaviour of a L\'{e}vy process when it crosses over a positive level, $u$, starting from 0, both as $u$ becomes large and as $u$ becomes small. Our main focus is on the time, $\tau_u$, it takes the process…
Measuring the corporate default risk is broadly important in economics and finance. Quantitative methods have been developed to predictively assess future corporate default probabilities. However, as a more difficult yet crucial problem,…
During the last few years an area of active research in the field of complex systems is that of their information storing and processing abilities. Common opinion has it that the most interesting beaviour of these systems is found ``at the…
We study the asymptotic tail probability of the first-passage time over a moving boundary for a random walk conditioned to return to zero, where the increments of the random walk have finite variance. Typically, the asymptotic tail behavior…
We consider a fractional Brownian motion with unknown linear drift such that the drift coefficient has a prior normal distribution and construct a sequential test for the hypothesis that the drift is positive versus the alternative that it…
In random access protocols, the service rate depends on the number of stations with a packet buffered for transmission. We demonstrate via numerical analysis that this state-dependent rate along with the consideration of Poisson traffic and…
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to…
We study optimal investment in an asset subject to risk of default for investors that rely on different levels of information. The price dynamics can include noises both from a Wiener process and a Poisson random measure with infinite…
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such…
Recently research on bubble and its burst attract much interest of researchers in various field such as economics and physics. Economists have been regarding bubble as a disorder in prices. However, this research strategy has overlooked an…
The problems of the construction of the asymptotically distribution free goodness-of-fit tests for three models of stochastic processes are considered. The null hypothesis for all models is composite parametric. All tests are based on the…
Spectral decomposition of the covariance operator is one of the main building blocks in the theory and applications of Gaussian processes. Unfortunately it is notoriously hard to derive in a closed form. In this paper we consider the…
For a continuous function $f \in \mathcal{C}([0,1])$, define the Vervaat transform $V(f)(t):=f(\tau(f)+t \mod1)+f(1)1_{\{t+\tau(f) \geq 1\}}-f(\tau(f))$, where $\tau(f)$ corresponds to the first time at which the minimum of $f$ is attained.…
We investigate a moving boundary problem for a Brownian particle on the semi-infinite line in which the boundary moves by a distance proportional to the time between successive collisions of the particle and the boundary. Phenomenologically…
A nucleation model for the breakdown phenomenon in freeway free traffic flow at an on-ramp bottleneck is presented. This model, which can explain empirical results on the breakdown phenomenon, is based on assumptions of three-phase traffic…
Consider ``stochastic differential equations" driven by fractional Brownian motion with Hurst parameter H (1/4 <H< 1). Their solutions are sometimes called fractional diffusion processes. The main purpose of this paper is conditioning these…
In this paper we study fluctuations of extreme particles of nonintersecting Brownian bridges starting from $a_1\leq a_2\leq \cdots \leq a_n$ at time $t=0$ and ending at $b_1\leq b_2\leq \cdots\leq b_n$ at time $t=1$, where…
In recent years, the counterparty credit risk measure, namely the default risk in \emph{Over The Counter} (OTC) derivatives contracts, has received great attention by banking regulators, specifically within the frameworks of \emph{Basel II}…
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…