相关论文: The Expectation of a Multiplicative Functional und…
This paper develops the first class of algorithms that enable unbiased estimation of steady-state expectations for multidimensional reflected Brownian motion. In order to explain our ideas, we first consider the case of compound Poisson…
The multiplicative anomaly related to the functional regularized determinants involving products of elliptic operators is introduced and some of its properties discussed. Its relevance concerning the mathematical consistency is stressed.…
The signature of a sample path is a formal series of iterated integrals along the path. The expected signature of a stochastic process gives a summary of the process that is especially useful for studying stochastic differential equations…
It is derived the explicit asymptotic expression in $n$ for the coefficient $c_n$ of the generating function for multiplicative structures with sub exponential rate of growth of $c_n,$ as $n\to\infty$.
Sup-normalized spectral functions form building blocks of max-stable and Pareto processes and therefore play an important role in modeling spatial extremes. For one of the most popular examples, the Brown-Resnick process, simulation is not…
Several estimates for singular integrals, maximal functions and the spherical summation operator are given in the spaces $L^p_{\text{rad}}L^2_{\text{ang}}(\mathbb{R}^n)$, $n\geq 2$.
We describe a simple method that produces automatically closed forms for the coefficients of continued fractions expansions of a large number of special functions. The function is specified by a non-linear differential equation and initial…
We give exact formulae for a wide family of complexity measures that capture the organization of hidden nonlinear processes. The spectral decomposition of operator-valued functions leads to closed-form expressions involving the full…
The generating function and an explicit expression is derived for the (colored) Motzkin numbers of higher rank introduced recently. Considering the special case of rank one yields the corresponding results for the conventional colored…
One-parameter generalizations of the logarithmic and exponential functions have been obtained as well as algebraic operators to retrieve extensivity. Analytical expressions for the successive applications of the sum or product operators on…
The article is devoted to the estimation of the rate of convergence of integral functionals of a Markov process. Under the assumption that the given Markov process admits a transition probability density which is differentiable in $t$ and…
We present and prove a version of the elliptic regularity theorem for partial differential equations involving fractional Riemann-Liouville derivatives. In this case, regularity is defined in terms of Sobolev spaces $H^s(X)$: if the forcing…
The sub-linear expectation or called G-expectation is a nonlinear expectation having advantage of modeling non-additive probability problems and the volatility uncertainty in finance. Let $\{X_n;n\ge 1\}$ be a sequence of independent random…
In this paper, we obtain uniform bounds for a number of expressions that involve derivatives and integrals of modified Bessel functions. These uniform bounds are motivated by the need to bound such expressions in the study of variance-gamma…
The product of any finite number of factorial Schur functions can be expanded as a $Z[y]$-linear combination of Schur functions. We give a rule for computing the coefficients in such an expansion which generalizes a specialization of the…
Consider a stochastic process $\{X(t)\}$ on a finite state space $ {\sf X}=\{1,\dots, d\}$. It is conditionally Markov, given a real-valued `input process' $\{\zeta(t)\}$. This is assumed to be small, which is modeled through the scaling,…
We prove a functional law of iterated logarithm for the following kind of anticipating stochastic differential equations $$\xi^u_t=X_0^u+\frac{1}{\sqrt{\log\log u}}\sum_{j=1}^k \int_0^{t} A_j^u(\xi^u_s)\circ dW_{s}^j+ \int_0^{t}…
Computations in high-dimensional spaces can often be realized only approximately, using a certain number of projections onto lower dimensional subspaces or sampling from distributions. In this paper, we are interested in pairs of…
An efficient discrete time and space Markov chain approximation employing a Brownian bridge correction for computing curvilinear boundary crossing probabilities for general diffusion processes was recently proposed in Liang and Borovkov…
By introducing a kind of special functions namely exponent-like function, cosine-like function and sine-like function, we obtain explicitly the basic structures of solutions of initial value problem at the original point for this kind of…