相关论文: Simulation of hitting times for Bessel processes w…
In this paper we establish relationships between four important concepts: (a) hitting time problems of Brownian motion, (b) 3-dimensional Bessel bridges, (c) Schr\"odinger's equation with linear potential, and (d) heat equation problems…
We study a correlated Brownian motion in two dimensions, which is reflected, stopped or killed in a wedge represented as the intersection of two half spaces. First, we provide explicit density formulas, hinted by the method of images. These…
We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process…
The one-dimensional Brownian motion starting from the origin at time $t=0$, conditioned to return to the origin at time $t=1$ and to stay positive during time interval $0 < t < 1$, is called the Bessel bridge with duration 1. We consider…
We develop an Euler-type particle method for the simulation of a McKean--Vlasov equation arising from a mean-field model with positive feedback from hitting a boundary. Under assumptions on the parameters which ensure differentiable…
Modelling the first-order intensity function is one of the main aims in point process theory, and it has been approached so far from different perspectives. One appealing model describes the intensity as a function of a spatial covariate.…
Hitting times provide a fundamental measure of distance in random processes, quantifying the expected number of steps for a random walk starting at node $u$ to reach node $v$. They have broad applications across domains such as network…
Bessel process is defined as the radial part of the Brownian motion (BM) in the $D$-dimensional space, and is considered as a one-parameter family of one-dimensional diffusion processes indexed by $D$, BES$^{(D)}$. It is well-known that…
Inverse initial and inverse source problems of a time-fractional differential equation with Bessel operator are considered. Results on existence and uniqueness of solutions to these problems are presented. The solution method is based on…
For some discrete parameters $k\ge0$, multivariate (Dunkl-)Bessel processes on Weyl chambers $C$ associated with root systems appear as projections of Brownian motions without drift on Euclidean spaces $V$, and the associated transition…
We present a method to compute the stochastic reachability safety probabilities for high-dimensional stochastic dynamical systems. Our approach takes advantage of a nonparametric learning technique known as conditional distribution…
Bidimensional spiking models currently gather a lot of attention for their simplicity and their ability to reproduce various spiking patterns of cortical neurons, and are particularly used for large network simulations. These models…
Beta regression has been extensively used by statisticians and practitioners to model bounded continuous data and there is no strong and similar competitor having its main features. A class of normalized inverse-Gaussian (N-IG) process was…
A Bessel excursion is a Bessel process that begins at the origin and first returns there at some given time $T$. We study the distribution of the area under such an excursion, which recently found application in the context of laser…
We investigate the effects of noise reinforcement on a Bessel process of dimension $d\in(0,2)$, and more specifically on the asymptotic behavior of its additive functionals. This leads us to introduce a local time process and its inverse.…
The Schwinger model, which describes lattice quantum electrodynamics in $1+1$ space-time dimensions, provides a valuable framework to investigate fundamental aspects of quantum field theory, and a stepping stone towards non-Abelian gauge…
Sampling in control applications is increasingly done non-equidistantly in time. This includes applications in motion control, networked control, resource-aware control, and event-based control. Some of these applications, like the ones…
Let $X=(X_t)_{t\geq 0}$ be a known process and $T$ an unknown random time independent of $X$. Our goal is to derive the distribution of $T$ based on an iid sample of $X_T$. Belomestny and Schoenmakers (2015) propose a solution based the…
The joint distribution of maximum increase and decrease for Brownian motion up to an independent exponential time is computed. This is achieved by decomposing the Brownian path at the hitting times of the infimum and the supremum before the…
This paper develops a novel analytically tractable Neumann series of Bessel functions representation for pricing (and hedging) European-style double barrier knock-out options, which can be applied to the whole class of one-dimensional…