نتایج جستجو برای: geometric brownian motion
تعداد نتایج: 301694 فیلتر نتایج به سال:
The assumption that observations are normally distributed is predominant in many areas of statistics. So is the situation with time series of financial data where from the very beginning of continuous-time modeling Brownian motion itself or geometric Brownian motion became the favorites. This is largely due to the fact that the normal distribution as well as the continuous-time process it gener...
The advent of autonomous self-propulsion has instigated research towards making colloidal machines that can deliver mechanical work in the form of transport, and other functions such as sensing and cleaning. While much progress has been made in the last 10 years on various mechanisms to generate self-propulsion, the ability to steer self-propelled colloidal devices has so far been much more lim...
We propose an approach to compute the boundary crossing probabilities for a class of diffusion processes which can be expressed as piecewise monotone (not necessarily one-to-one) functionals of a standard Brownian motion. This class includes many interesting processes in real applications, e.g., Ornstein-Uhlenbeck, growth processes and geometric Brownian motion with time dependent drift. This m...
An 'oscillating' version of Brownian motion is defined and studied. 'Ordinary' Brownian motion and 'reflecting' Brownian motion are shown to arise as special cases. Transition densities, first-passage time distributions, and occupation time distributions for the process are obtained explicitly. Convergence of a simple oscillating random walk to an oscillating Brownian motion process is establis...
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