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Showing 1 to 20 of 245 for “"Brownian motion"”.
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Brownian motion and multidimensional decision making
… the transition density of absorbed or reflected Brownian motion in a d-dimensional domain as a Feynman-Kac functional involving the Laplacian of the indicator, thereby relating the hitherto unrelated fields of classical potential theory and path integrals. Part II, "The problem of alternatives", …
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Brownian Motion on Spaces with Varying Dimension
In this thesis we introduce and study Brownian motion with or without drift on state spaces with varying dimension. Starting with a concrete such state space that is the plane with an infinite pole on it, we construct a Brownian motion on it and derive sharp two-sided global estimates on its …
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Stochastic Theory of Desorption Reactions (Brownian Motion)
A Brownian motion model is used to study the escape of a molecule from a physisorbed state into a dense fluid.
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Brownian motion in a non-equilibrium bath
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Chemistry, 1997.
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Fractional Brownian motion and dynamic approach to complexity.
The dynamic approach to fractional Brownian motion (FBM) establishes a link between non-Poisson renewal process with abrupt jumps resetting to zero the system's memory and correlated dynamic processes, whose individual trajectories keep a non-vanishing memory of their past time evolution. It is …
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Inequalities for Random Walk and Partially Observed Brownian Motion
… control of the maximal function of N-dimensional Brownian motion, B(,t), by the maximal function of partially observed Brownian motion. Let R denote a fixed open subset of (//R)('N), G an arbitrary open subset, and T the first exit time of the Brownian motion from G. Define the maximal function, …
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Gaussian-like von Neumann algebras and noncommutative brownian motion
… and Speicher in connection with noncommutative brownian motion. The main results of the present work is to establish that the $q$-Gaussian von Neumann algebras have the weak* completely contractive approximation property for all $-1 < q < 1$ and any number of generators, and they are strongly …
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Potential Theory for Subordinate Brownian Motion by Tempered Stable Subordinator
… subordinators is defined. By subordinating Brownian motion {Bt : t ≥ 0} with independent tempered stable subordinators {Zt : t ≥ 0}, we can get a class of Levy processes Xt := BZtw (o) in Rd (d ≥ 2). Some well known processes such as symmetric alpha-stable process and relativistic …
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Asymptotic Comparisons of Functionals of Brownian Motion and Random Walk
Made available in DSpace on 2014-12-14T13:09:40Z (GMT). No. of bitstreams: 1 7913512.pdf: 998360 bytes, checksum: 4c89febd8640e2d1c634278e886724d9 (MD5) Previous issue date: 1978
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Brownian motion and weak coupling in classical and quantum systems
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Physics, 1988.
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Potential Theory for Subordinate Killed Brownian Motion in Some Unbounded Domains
… of the densityfunction of the subordinate killed Brownian motion in each domain, we are able to identify the Martin boundary and the minimal Martin boundary, and then obtain the canonical representation of the positive harmonic functions in terms of the Martin boundary and the Martin kernel. …
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Maximum likelihood estimation of fractional Brownian motion and Markov noise parameters
Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Aeronautics and Astronautics, 1992.
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STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION AND THEIR GENERALIZATIONS
… with infinite memory driven by a fractional Brownian motion with Hurst parameter $H>1/2$. We prove an existence and uniqueness result of the solution to the stochastic differential equation. We investigate the dependence of the solution on the initial condition and the existence of finite …
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Diffusion, sub-diffusion, and escape: A study of over-damped Brownian motion
We study over-damped Brownian motion in various potential energy landscapes. Starting with one-dimensional systems, we derive the diffusion coefficient for motion in a piecewise-defined potential where the barrier height of each section is taken from a probability distribution. When the …
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Analysis of Exponential Filter Time Series Operators of Geometric Brownian Motion in Trading Strategies
Trading strategies based on moving average indicators have been analyzed in the academic literature numerous times using historical data to make statistical inferences about various properties such as expected returns. In this work, a deductive model is assumed where asset price dynamics are driven …
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Inferring influence in dynamic networks and multiple sampling for estimation of fractional Brownian motion
Submission published under a 24 month embargo labeled 'Closed Access', the embargo will last until 2024-05-01
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Brownian motion of macromolecules inside single intact biological cells : microscope laser light scattering spectroscopy
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Physics, 1986.
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Monte Carlo Methods for Derivative Pricing of Stochastic Volatility Models Driven by Fractional Brownian Motion
… stochastic volatilities driven by fractional Brownian motion. Price paths and their endpoints are used to obtain a Monte Carlo value estimate of vanilla european options, lookback options as well as variance swaps. Underlying models for price movements are driven by stochastic volatility …
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Asymptotic Expansion for the Time Evolution of the Probability Distribution Given by the Brownian Motion on Semialgebraic Sets
… the probability distribution given by the Brownian Motion on a semialgebraic set is definable in an o-minimal structure and we establish asymptotic expansions for the time evolution. We study the probability distribution as an example for the occurrence of special parameterized integrals of …
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