相关论文: On the Semi-Classical Brownian Bridge Measure
We present a new semiclassical technique which relies on replacing complicated classical manifold structure with simpler manifolds, which are then evaluated by the usual semiclassical rules. Under circumstances where the original manifold…
We present a short, elementary proof not involving Fourier transforms of the theorem of Cram\'er and Wold that a Borel probability measure is determined by its values on half-spaces.
We show that simple explicit formulas can be obtained for several relevant quantities related to the laws of the uniformly sampled Brownian bridge, Brownian meander and three dimensional Bessel process. To prove such results, we use the…
We present a construction of a compact connected space which supports a normal probability measure.
Let mu be a probability measure on the unit circle and nu be the measure formed by adding a pure point to mu. We give a formula for the Verblunsky coefficients of the perturbed measure, based on a result of Simon.
In this article, we extend the integration by parts formulae (IbPF) for the laws of Bessel bridges obtained in a recent work by Elad Altman and Zambotti to linear functionals. Our proof relies on properties of hypergeometric functions, thus…
The aim of the present paper is to study the properties of Riemannian manifolds equipped with a projective semi-symmetric connection.
In this paper we prove an analogue of the Koml\'os-Major-Tusn\'ady (KMT) embedding theorem for random walk bridges. The random bridges we consider are constructed through random walks with i.i.d jumps that are conditioned on the locations…
We present schemes for simulating Brownian bridges on complete and connected Lie groups and homogeneous spaces. We use this to construct an estimation scheme for recovering an unknown left- or right-invariant Riemannian metric on the Lie…
We prove absolute continuity of Gaussian measures associated to complex Brownian bridges under certain gauge transformations. As an application we prove that the invariant measure for the periodic derivative nonlinear Schr\"odinger equation…
We introduce a simulation scheme for Brownian semistationary processes, which is based on discretizing the stochastic integral representation of the process in the time domain. We assume that the kernel function of the process is regularly…
Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions,…
The article shows a bridge representation for the joint density of a system of stochastic processes consisting of a Brownian motion with drift coupled with a correlated fractional Brownian motion with drift. As a result, a small time…
The approach to the theory of a relativistic random process is considered by the path integral method as Brownian motion taking into account the boundedness of speed. An attempt was made to build a relativistic analogue of the Wiener…
We prove an integration by parts formula on the law of the reflecting Brownian motion $X:=|B|$ in the positive half line, where $B$ is a standard Brownian motion. In other terms, we consider a perturbation of $X$ of the form $X^\epsilon =…
Moderate calibration, the expected event probability among observations with predicted probability z being equal to z, is a desired property of risk prediction models. Current graphical and numerical techniques for evaluating moderate…
A stochastic algorithm is proposed, finding the set of generalized means associated to a probability measure on a compact Riemannian manifold M and a continuous cost function on the product of M by itself. Generalized means include p-means…
A synthetic study of Pitman's and L\'evy's theorems for one-dimensional Brownian bridges with arbitrary endpoints is provided.
In this short note we outline a simple probabilistic proof of the Gauss-Bonnet formula for compact Riemannian manifolds with boundary, which adapts to this setting an argument due to Hsu \cite{Hs1,Hs2} in the closed case. The new technical…
We derive a semiclassical formula for the tunneling current of electrons trapped in a potential well which can tunnel into and across a wide quantum well. The calculations idealize an experimental situation where a strong magnetic field…