Sample Path Variations of Homogeneous Processes
نویسندگان
چکیده
منابع مشابه
Sample Path Large Deviations for Squares of Stationary Gaussian Processes
In this paper, we show large deviations for random step functions of type
متن کاملSample Path and Fractal Properties of Lévy Processes
The sample paths of Lévy processes generate various random fractals and many of their properties have been studied since 1960’s [see the survey papers of Fristedt (1974), Taylor (1986) and Xiao (2004)]. The lectures will cover the following topics: Hausdorff dimension and exact Hausdorff measure functions for random fractals determined by Lévy processes; Hausdorff dimension computation using po...
متن کاملSample Path Regularity for One-Dimensional Diffusion Processes
1. Basic Assumptions. Assume that (i) {Tt} is a strongly-continuous semigroup of bounded linear operators on the Banach space B = C0(I) = { f continuous on I = [0, 1] : f(0) = f(1) = 0 } (ii) If f(x) ≥ 0 and f ∈ B, then Ttf(x) ≥ 0 and Ttf(x) ≤ maxy∈I f(y). In general, the infinitesimal generator of a strongly-continuuous semigroup of linear operators Tt on any Banach space B is defined by Af = ...
متن کاملSample Path Regularity for One-Dimensional for Diffusion Processes
1. Basic Assumptions. Assume that (i) {Tt} is a strongly-continuous semigroup of bounded linear operators on the Banach space B = C0(I) = { f continuous on I = [0, 1] : f(0) = f(1) = 0 } (ii) If f(x) ≥ 0 and f ∈ B, then Ttf(x) ≥ 0 and Ttf(x) ≤ maxy∈I f(y). In general, the infinitesimal generator of a strongly-continuuous semigroup of linear operators Tt on any Banach space B is defined by Af = ...
متن کاملGenerating Homogeneous Poisson Processes
We present an overview of existing methods to generate pseudorandom numbers from homogeneous Poisson processes. We provide three well-known definitions of the homogeneous Poisson process, present results that form the basis of various existing generation algorithms, and provide algorithm listings. With the intent of guiding users seeking an appropriate algorithm for a given setting, we note the...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Mathematical Statistics
سال: 1969
ISSN: 0003-4851
DOI: 10.1214/aoms/1177697704