Zobrazeno 1 - 10
of 25
pro vyhledávání: '"frakcionální Brownův pohyb"'
Autor:
Kiška, Boris
In this thesis, we study various notions of variation of certain stochastic processes, namely $p$-variation, pathwise $p$-th variation along sequence of partitions and $p$-th variation along sequence of partitions. We study these concepts for fractio
Externí odkaz:
http://www.nusl.cz/ntk/nusl-455931
Autor:
Kiška, Boris
In this thesis, we study various notions of variation of certain stochastic processes, namely $p$-variation, pathwise $p$-th variation along sequence of partitions and $p$-th variation along sequence of partitions. We study these concepts for fractio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______2186::ab2a885af35726fc4c07a46ff501ffef
http://www.nusl.cz/ntk/nusl-455931
http://www.nusl.cz/ntk/nusl-455931
Autor:
Roubínová, Veronika
This work concerns the fractional Brownian motion, in particular, the properties of its trajectories. Firstly some basic notions are defined and then the definiton of the fractional Brownian motion itself is given. Subsequently, its basic properties
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______2186::8d60e43a3cf6437f9af24dbafec269be
http://www.nusl.cz/ntk/nusl-448161
http://www.nusl.cz/ntk/nusl-448161
Autor:
Camfrlová, Monika
In the thesis, multivariate fractional Brownian motions with possibly different Hurst indices in different coordinates are considered and a Girsanov-type theo- rem for these processes is shown. Two applications of this theorem to stochastic different
Externí odkaz:
http://www.nusl.cz/ntk/nusl-434536
Autor:
Týbl, Ondřej
In the Thesis we study the problem of linear filtration of Gaussian signals in finite-dimensional space. We use the Kalman-type equations for the filter to show that the filter depends continuously on the signal. Secondly, we show the same continuity
Externí odkaz:
http://www.nusl.cz/ntk/nusl-397771
Autor:
Týbl, Ondřej
In the Thesis we study the problem of linear filtration of Gaussian signals in finite-dimensional space. We use the Kalman-type equations for the filter to show that the filter depends continuously on the signal. Secondly, we show the same continuity
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::7bbefffc908087d6763b7d58647aa64f
http://www.nusl.cz/ntk/nusl-397771
http://www.nusl.cz/ntk/nusl-397771
Autor:
Sýkora, Adam
This thesis is focused on proving the Love-Young inequality and clarifying the manner in which it relates to a fractional Brownian motion. To begin with, several estimates alongside the concept of p-variation of a func- tion are presented. The connec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::37faeb1488aa60901bcf44045e3091a3
http://www.nusl.cz/ntk/nusl-493030
http://www.nusl.cz/ntk/nusl-493030
Autor:
Čoupek, Petr
Stochastic Evolution Equations Petr Čoupek Doctoral Thesis Abstract Linear stochastic evolution equations with additive regular Volterra noise are studied in the thesis. Regular Volterra processes need not be Gaussian, Markov or semimartingales, but
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::328bda9ef77f42548b868691d85b6952
http://www.nusl.cz/ntk/nusl-439899
http://www.nusl.cz/ntk/nusl-439899
Autor:
Čoupek, Petr
Stochastic Evolution Equations Petr Čoupek Doctoral Thesis Abstract Linear stochastic evolution equations with additive regular Volterra noise are studied in the thesis. Regular Volterra processes need not be Gaussian, Markov or semimartingales, but
Externí odkaz:
http://www.nusl.cz/ntk/nusl-368518
Autor:
Vostal, Ondřej
We partially solve the adaptive ergodic stochastic optimal control problem where the driving process is a fractional Brownian motion with Hurst parameter H > 1/2. A formula is provided for an optimal feedback control given a strongly consistent estim
Externí odkaz:
http://www.nusl.cz/ntk/nusl-367653