Zobrazeno 1 - 10
of 62
pro vyhledávání: '"Frank Aurzada"'
Autor:
Frank Aurzada, Martin Kilian
Publikováno v:
Teoriya Veroyatnostei i ee Primeneniya. 67:100-114
Рассматривается вероятность персистентности для интегрированного дробного броуновского движения и дробно интегрированного броуновс
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b5744ca7fc041f2c81434899b9dbe803
https://doi.org/10.4213/tvp5423
https://doi.org/10.4213/tvp5423
Publikováno v:
2022 IEEE 61st Conference on Decision and Control (CDC).
It is well known that the employed triggering scheme has great impact on the control performance when control loops operate under scarce communication resources. Various practical and simulative works have demonstrated the potential of event-triggere
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eedb92ed5598f178ceb96da8edc15db8
https://doi.org/10.1109/cdc51059.2022.9993301
https://doi.org/10.1109/cdc51059.2022.9993301
Publikováno v:
Oberwolfach Reports. 17:1601-1656
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2d9f4e65564dc70e5428405e633fe26a
https://doi.org/10.4171/owr/2020/32
https://doi.org/10.4171/owr/2020/32
Publikováno v:
Teoriya Veroyatnostei i ee Primeneniya. 66:231-260
В статье исследуется поведение конечной цепочки броуновских частиц, взаимодействующих в соответствии с попарным квадратическим потен
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::63b15922d2bbea3c4d9b9ea8d254fac5
https://doi.org/10.4213/tvp5467
https://doi.org/10.4213/tvp5467
Publikováno v:
Theory of Probability & Its Applications. 66:184-208
We investigate the behavior of a finite chain of Brownian particles interacting through a pairwise quadratic potential, with one end of the chain fixed and the other end pulled away at slow speed, ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e971fdc81837ab53e4b0cd94278e2db3
https://doi.org/10.1137/s0040585x97t990344
https://doi.org/10.1137/s0040585x97t990344
Publikováno v:
Stochastic Processes and their Applications. 130:6625-6637
We study a modification of the fractional analogue of the Brownian meander, which is Brownian motion conditioned to be positive on the time interval ${[0,1]}$. More precisely, we determine the weak limit of a fractional Brownian motion which is penal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::794083cf754c72e738abcdbaf3ab45bd
https://doi.org/10.1016/j.spa.2020.06.004
https://doi.org/10.1016/j.spa.2020.06.004
Autor:
Micha Buck, Frank Aurzada
Publikováno v:
European Actuarial Journal. 10:261-269
We study the asymptotics of the ruin probability in the Cramér–Lundberg model with a modified notion of ruin. The modification is as follows. If the portfolio becomes negative, the asset is not immediately declared ruined but may survive due to ce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7cc9c2a74bffa5f26a5d0cbc898a1653
https://doi.org/10.1007/s13385-020-00223-4
https://doi.org/10.1007/s13385-020-00223-4
We consider the sum of two self-similar centred Gaussian processes with different self-similarity indices. Under non-negativity assumptions of covariance functions and some further minor conditions, we show that the asymptotic behaviour of the persis
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6acb048cfc9bd052a81d30384f094c75
http://arxiv.org/abs/2201.08784
http://arxiv.org/abs/2201.08784
Publikováno v:
Teoriya Veroyatnostei i ee Primeneniya. 64:610-620
Изучается момент первого выхода многомерного дробного броуновского движения из неограниченных областей. В частности, исследуется верх
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d5f34e8d0cbc465a81aaf0105631f120
https://doi.org/10.4213/tvp5262
https://doi.org/10.4213/tvp5262
Autor:
Frank Aurzada, Dominic T. Schickentanz
We condition a Brownian motion with arbitrary starting point $y \in \mathbb{R}$ on spending at most $1$ time unit below $0$ and provide an explicit description of the resulting process. In particular, we provide explicit formulas for the distribution
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ade8075a5da932869b67f37b5276d86a
http://arxiv.org/abs/2104.06354
http://arxiv.org/abs/2104.06354