On sampling of stationary increment processes
نویسندگان
چکیده
منابع مشابه
On Sampling of Stationary Increment Processes
Under a complex technical condition, similar to such used in extreme value theory, we find the rate q(ε) at which a stochastic process with stationary increments ξ should be sampled, for the sampled process ξ(⌊·/q(ε)⌋q(ε)) to deviate from ξ by at most ε, with a given probability, asymptotically as ε ↓ 0. The canonical application is to discretization errors in computer simulation of stochastic ...
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It is well known that any process with right continuous paths has at most a finite number of jumps greater than ε (> 0). Based on this fact, it is proved that any non negative independent increment processes without gaussian component (Lévy Process) can be almost everywhere approximated by a sequence of compound Poisson process, aside from fixed points of discontinuity. An algorithm to generate...
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Uncertain process is initialized for modelling the evolution of uncertain phenomena. An uncertain process is said to have independent increments if its increments are independent uncertain variables whenever the time intervals do not overlap, and have stationary increments if its increments are identically distributed uncertain variables whenever the time intervals have the same length. Then st...
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Article history: Received 15 June 2011 Accepted 3 May 2012 Available online xxxx
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2004
ISSN: 1050-5164
DOI: 10.1214/105051604000000468