相关论文: On the eigenproblem for Gaussian bridges

Given a Markovian Brownian martingale $Z$, we build a process $X$ which is a martingale in its own filtration and satisfies $X_1 = Z_1$. We call $X$ a dynamic bridge, because its terminal value $Z_1$ is not known in advance. We compute…

We consider the symmetric tridiagonal matrix-valued process associated with Gaussian beta ensemble (G$\beta$E) by putting independent Brownian motions and Bessel processes on the diagonal entries and upper (lower)-diagonal ones,…

We present a simulation scheme for simulating Brownian bridges on complete and connected Lie groups. We show how this simulation scheme leads to absolute continuity of the Brownian bridge measure with respect to the guided process measure.…

We derive fractional Brownian motion and stochastic processes with multifractal properties using a framework of network of Gaussian conditional probabilities. This leads to the derivation of new representations of fractional Brownian…

We determine the set of all genus g bridge numbers of many iterated torus knots, listing these numbers in a sequence called the bridge spectrum. In addition, we prove a structural lemma about the decomposition of a strongly irreducible…

In Gaussian graphical models, conditional independence and partial correlations are natural inferential targets for understanding direct relationships in multivariate data. No comparable framework exists for spatial processes, where…

The Dirac equation is an important model in relativistic quantum mechanics. In the semi-classical regime $\epsilon\ll1$, even a spatially spectrally accurate time splitting method \cite{HuJi:05} requires the mesh size to be $O(\epsilon)$,…

In this paper, we analyze Gaussian processes using statistical mechanics. Although the input is originally multidimensional, we simplify our model by considering the input as one-dimensional for statistical mechanical analysis. Furthermore,…

Two primary challenges stand in the way of practical large-scale quantum computation, namely achieving sufficiently low error rate quantum gates and implementing interesting quantum algorithms with a physically reasonable number of qubits.…

This paper first strictly proved that the growth of the second moment of a large class of Gaussian processes is not greater than power function and the covariance matrix is strictly positive definite. Under these two conditions, the maximum…

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…

We discuss the distributions of three functionals of the free Brownian bridge: its $\L^2$-norm, the second component of its signature and its L\'evy area. All of these are freely infinitely divisible. We introduce two representations of the…

In this paper, we introduce and study McKean-Vlasov processes of bridge type. Specifically, we examine a stochastic differential equation (SDE) of the form: $$\mathrm{d} \xi_t=-\mu(t,\mathbb{E}[\varphi_1(\xi_t)]) \frac{\xi_t}{T-t}…

We are interested in the law of the first passage time of an Ornstein-Uhlenbeck process to time-varying thresholds. We show that this problem is connected to the laws of the first passage time of the process to members of a two-parameter…

Fractional Wiener--Weierstrass bridges are a class of Gaussian processes that arise from replacing the trigonometric function in the construction of classical Weierstrass functions by a fractional Brownian bridge. We investigate the sample…

We consider the Dyson hierarchical graph $\mathcal{G}$, that is a weighted fully-connected graph, where the pattern of weights is ruled by the parameter $\sigma \in (1/2, 1]$. Exploiting the deterministic recursivity through which…

We derive an analytical expression for the propagator and the transition path time distribution of a two-dimensional active Brownian particle crossing a parabolic barrier with absorbing boundary conditions at both sides. By taking those of…

For a given normalized Gaussian symmetric matrix-valued process $Y^{(n)}$, we consider the process of its eigenvalues $\{(\lambda_{1}^{(n)}(t),\dots, \lambda_{n}^{(n)}(t)); t\ge 0\}$ as well as its corresponding process of empirical…

Brownian and fractional processes are useful computational tools for the modelling of physical phenomena. Here, modelling linear homopolymers in solution as Brownian or fractional processes, we develop a formalism to take into account both…

We propose a quasi-Grassmannian gradient flow model for eigenvalue problems of linear operators, aiming to efficiently address many eigenpairs. Our model inherently ensures asymptotic orthogonality: without the need for initial…