«diffusion process»
۵۰٬۳۷۲ نتیجهConvergence of a Discretization Scheme for Jump-Diffusion Processes with State-Dependent Intensities
This paper proves a convergence result for a discretization scheme for simulating jumpdiffusion processes with state-dependent jump intensities. With a bound on the intensity, the point process of jump times can be constructed by thinning a Poisson random measure using state-depe
Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes
The first passage time problem has attracted considerable research interest in the field of stochastic processes. It concerns the estimation of the probability density of the time for a random process to cross a specified boundary level. Even though there are many theoretical adv
On the Minimum Exit Rate for a Diffusion Process Pertaining to a Chain of Distributed Control Systems with Random Perturbations
In this paper, we consider the problem of minimizing the exit rate with which a diffusion process pertaining to a chain of distributed control systems, with random perturbations, exits from a given bounded open domain. In particular, we consider a chain of distributed control sys
Reactive boundary conditions for stochastic simulations of reaction-diffusion processes.
Many cellular and subcellular biological processes can be described in terms of diffusing and chemically reacting species (e.g. enzymes). Such reaction-diffusion processes can be mathematically modelled using either deterministic partial-differential equations or stochastic simul
The Coloured Noise Expansion and Parameter Estimation of Diffusion Processes
Stochastic differential equations (SDE) are a natural tool for modelling systems that are inherently noisy or contain uncertainties that can be modelled as stochastic processes. Crucial to the process of using SDE to build mathematical models is the ability to estimate parameters
A Class of Infinite Dimensional Diffusion Processes with Connection to Population Genetics
Starting from a sequence of independent Wright-Fisher diffusion processes on [0, 1], we construct a class of reversible infinite dimensional diffusion processes on ∆∞ := {x ∈ [0, 1] N : ∑ i≥1 xi = 1} with GEM distribution as the reversible measure. Log-Sobolev inequalities are es
Realistic boundary conditions for stochastic simulations of reaction-diffusion processes
Many cellular and subcellular biological processes can be described in terms of diffusing and chemically reacting species (e.g. enzymes). Such reactiondiffusion processes can be mathematically modelled using either deterministic partialdifferential equations or stochastic simulat
On Boundary Crossing Probabilities for Diffusion Processes
In this paper we establish a relationship between the asymptotic form of conditional boundary crossing probabilities and first passage time densities for diffusion processes. We show that, under the assumption that the conditional probability that our diffusion (Xs, s ≥ 0) doesn’
A Non-Parametric Test for Continuous-Time Homogeneous Markov Process: Is It a Diffusion Process?
This paper proposes a nonparametric method to test whether an underlying continuoustime homogeneous Markov process is a diffusion process. The test statistic is based on the infinitesimal generator. Under the null hypothesis, we show that the limit distribution of the test statis
Preconditions for the Management of Invention- Innovation Diffusion Process
This paper contributes to improvement of innovation management. An idea to be developed into an innovation needs a successfully managed whole invention-innovation-diffusion process. Innovation management remains a complex process. Managers with their specialist ́s narrow viewpoin