搜索结果: 1-15 共查到“理学 Diffusions”相关记录18条 . 查询时间(0.057 秒)
Probability on Groups: Random Walks and Invariant Diffusions
Invariant Diffusions Random Walks
<
2015/8/26
What do card shuffling, volume
growth, and Harnack inequalities
have to do with each other? They all
arise in the study of random walks
on groups. Probability on groups is
concerned with probabil...
EXIT TIMES OF DIFFUSIONS WITH INCOMPRESSIBLE DRIFTS
EXIT TIMES DIFFUSIONS INCOMPRESSIBLE DRIFTS
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2015/7/14
Let Ω ⊂ Rn be a bounded domain and for x ∈ Ω let τ(x) be the expected exit time from Ω of a diffusing particle starting at x and advected by an incompressible flow u. We are in...
Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
Minimum contrast estimators low frequency data high frequency data epidemic data
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2012/6/21
We consider a multidimensional diffusion X with drift coefficient b({\alpha},X(t)) and diffusion coefficient {\epsilon}{\sigma}({\beta},X(t)). The diffusion is discretely observed at times t_k=k{\Delt...
The Wronskian parameterizes the class of diffusions with a given distribution at a random time
class of diffusions distribution random time Probability
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2012/6/19
We provide a complete characterization of the class of one-dimensional time-homogeneous diffusions consistent with a given law at an exponentially distributed time using classical results in diffusion...
Importance Sampling for Multiscale Diffusions
importance sampling Monte Carlo homogenization multiscale rough energy landscape
<
2011/9/21
Abstract: We construct importance sampling schemes for stochastic differential equations with small noise and fast oscillating coefficients. Standard Monte Carlo methods perform poorly for these probl...
Branching diffusions in random environment
Branching process random environment diffusion approximation Laplace transform survival probability backbone construction
<
2011/9/6
Abstract: We consider the diffusion approximation of branching processes in random environment (BPREs). This diffusion approximation is similar to and mathematically more tractable than BPREs. We obta...
Small Noise Asymptotics for Invariant Densities for a Class of Diffusions: A Control Theoretic View (with Erratum)
diffusions invariant density small noise limit Hamilton-Jacobi equation viscosity solution
<
2011/9/2
Abstract: The uniqueness argument in the proof of Theorem 5, p. 483, of "Small noise asymptotics for invariant densities for a class of diffusions: a control theoretic view, J. Math. Anal. and Appl. (...
Trends to equilibrium for a class of relativistic diffusions
Relativisic diffusions Relativistic Ornstein-Uhlenbeck process Equilibrium measure
<
2011/7/28
Abstract: We address the question of the trends to equilibrium for a large class C of relativistic diffusions. We show the existence of a spectral gap using the Lyapounov method and deduce the exponen...
Ito diffusions, modified capacity and harmonic measure. Applications to Schrodinger operators
Absolutely continuous spectrum Schr¨odinger operator
<
2011/2/22
We observe that some special Itˆo diffusions are related to scattering properties of a Schr¨odinger operator on Rd, d 2. We introduce Feynman-Kac type formulae for these stochastic processes wh...
Large Deviations Principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflections
Large Deviations Principle diffusions with oblique reflections
<
2011/1/21
We establish a Large Deviations Principle for stochastic processes with Lipschitz continuous oblique reflections on regular domains. The rate functional is given as the value function of a control pro...
From Sturm-Liouville problems to fractional and anomalous diffusions
From Sturm-Liouville problems anomalous diffusions
<
2010/11/11
Some fractional and anomalous diffusions are driven by equations involving fractional derivatives in both time and space. Such diffusions are processes with randomly varying times. In representing th...
Transportation cost inequalities for diffusions under uniform distance
Entropy (multi-valued) stochastic differential equations dissipative functions
<
2010/12/13
We prove the transportation inequality with the uniform norm for the laws of diffusion pro-
cesses with Lipschitz and/or dissipative coefficients and apply them to some singular stochastic differenti...
Nonparametric Transition-Based Tests for Jump Diffusions
Generalized likelihood ratio test Jump diffusion Local linear fit Markovian process Null distribution Specification test Transition density
<
2014/3/13
We develop a specification test for the transition density of a discretely sampled continuous-time jump-diffusion process, based on a comparison of a nonparametric estimate of the transition density o...
Asymptotic Expansions of Transition Densities for Hybrid Jump-diffusions
Markov chain jump diffusion hybrid model Poisson process asymptotic expansion
<
2007/12/11
A class of hybrid jump diffusions modulated by a Markovchain is considered in this work. The motivation stems frominsurance risk models, and emerging applications in productionplanning and wireless co...
Talagrand's $T_2$-transportation Inequality w.r.t. a Uniform Metric for Diffusions
Transportation inequalities diffusions Girsanov transformation
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2007/12/11
Using the method of Girsanovtransformation, we establish the Talagrand's $T_2$-inequality fordiffusion on the path space $C([0,N], \rr^d)$ with respect to auniform metric, with the constant independen...