Related papers: Algorithmically random Fourier series and Brownian…
We implement Bayesian model selection and parameter estimation for the case of fractional Brownian motion with measurement noise and a constant drift. The approach is tested on artificial trajectories and shown to make estimates that match…
In this work we introduce correlated random walks on $\Z$. When picking suitably at random the coefficient of correlation, and taking the average over a large number of walks, we obtain a discrete Gaussian process, whose scaling limit is…
Motion polynomials are a specific type of polynomial over a Clifford algebra that can conveniently describe rational motions. There exists an algorithm for the factorization of motion polynomials that works in generic cases. It hinges on…
We study well-posedness of sweeping processes with stochastic perturbations generated by a fractional Brownian motion and convergence of associated numerical schemes. To this end, we first prove new existence, uniqueness and approximation…
A common approach to analyze count time series is to fit models based on random sum operators. As an alternative, this paper introduces time series models based on a random multiplication operator, which is simply the multiplication of a…
We consider fractional Brownian motion with the Hurst parameters from (1/2,1). We found that the increment of a fractional Brownian motion can be represented as the sum of a two independent Gaussian processes one of which is smooth in the…
We study integral representations of random variables with respect to general H\"older continuous processes and with respect to two particular cases; fractional Brownian motion and mixed fractional Brownian motion. We prove that arbitrary…
We describe a novel algorithm for rounding packing integer programs based on multidimensional Brownian motion in $\mathbb{R}^n$. Starting from an optimal fractional feasible solution $\bar{x}$, the procedure converges in polynomial time to…
We derive explicit formulas for probabilities of Brownian motion with jumps crossing linear or piecewise linear boundaries in any finite interval. We then use these formulas to approximate the boundary crossing probabilities for general…
We study Doob's martingale convergence theorem for computable continuous time martingales on Brownian motion, in the context of algorithmic randomness. A characterization of the class of sample points for which the theorem holds is given.…
Nonlinear systems are capable of displaying complex behavior even if this is the result of a small number of interacting time scales. A widely studied case is when complex dynamics emerges out of a nonlinear system being forced by a simple…
We address the problem of optimizing a Brownian motion. We consider a (random) realization $W$ of a Brownian motion with input space in $[0,1]$. Given $W$, our goal is to return an $\epsilon$-approximation of its maximum using the smallest…
Since human randomness production has been studied and widely used to assess executive functions (especially inhibition), many measures have been suggested to assess the degree to which a sequence is random-like. However, each of them…
Some probabilistic aspects of the number variance statistic are investigated. Infinite systems of independent Brownian motions and symmetric alpha-stable processes are used to construct new examples of processes which exhibit both divergent…
Under certain mild conditions, some limit theorems for functionals of two independent Gaussian processes are obtained. The results apply to general Gaussian processes including fractional Brownian motion, sub-fractional Brownian motion and…
We derive a family of series representations of the multiparameter fractional Brownian motion in the centred ball of radius $R$ in the $N$-dimensional space $\mathbb{R}^N$. Some known examples of series representations are shown to be the…
This work proposes a method for the two-dimensional simulation of Brownian particles in a fluid with restrictions. The method is based on simple numerical rules between two matrices. One of the matrix represent the identification of all…
Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process. This representation leads naturally to: - An efficient algorithm to…
Consider the first exit time of one-dimensional Brownian motion $\{B_s\}_{s\geq 0}$ from a random passageway. We discuss a Brownian motion with two time-dependent random boundaries in quenched sense. Let $\{W_s\}_{s\geq 0}$ be an other…
Brownian motion in one or more dimensions is extensively used as a stochastic process to model natural and engineering signals, as well as financial data. Most works dealing with multidimensional Brownian motion consider the different…