Relevant bibliographies by topics / Brownian motions processes

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Brownian motions processes'

Author: Grafiati
Published: 4 June 2021
Last updated: 17 February 2022

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Journal articles on the topic "Brownian motions processes"

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SOTTINEN, TOMMI, and LAURI VIITASAARI. "CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS." International Journal of Theoretical and Applied Finance 21, no. 02 (2018): 1850015. http://dx.doi.org/10.1142/s0219024918500152.

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We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian motions. As an application, we consider conditional-mean hedging under transaction costs in Black–Scholes type pricing models where the Brownian motion is replaced with a more general regular invertible Gaussian Volterra process.
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Takenaka, Shigeo. "Integral-geometric construction of self-similar stable processes." Nagoya Mathematical Journal 123 (September 1991): 1–12. http://dx.doi.org/10.1017/s0027763000003627.

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Recently, fractional Brownian motions are widely used to describe complex phenomena in several fields of natural science. In the terminology of probability theory the fractional Brownian motion is a Gaussian process {X(t) : t є R} with stationary increments which has a self-similar property, that is, there exists a constant H (for the Brownian motion H = 1/2, in general 0 < H < 1 for Gaussian processes) called the exponent of self-similarity of the process, such that, for any c > 0, two processes are subject to the same law (see [10]).
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Yang, W. S., and D. Klein. "Self-repelling processes associated with Brownian motions." Journal of Functional Analysis 84, no. 2 (1989): 322–42. http://dx.doi.org/10.1016/0022-1236(89)90101-8.

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Hamdi, Tarek. "Monotone and boolean unitary Brownian motions." Infinite Dimensional Analysis, Quantum Probability and Related Topics 18, no. 02 (2015): 1550012. http://dx.doi.org/10.1142/s0219025715500125.

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The additive monotone (respectively boolean) unitary Brownian motion is a non-commutative stochastic process with monotone (respectively boolean) independent and stationary increments which are distributed according to the arcsine law (respectively Bernoulli law). We introduce the monotone and boolean unitary Brownian motions and derive a closed formula for their associated moments. This provides a description of their spectral measures. We prove that, in the monotone case, the multiplicative analog of the arcsine distribution is absolutely continuous with respect to the Haar measure on the un
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Li, Shoumei, and Li Guan. "Fuzzy set-valued Gaussian processes and Brownian motions." Information Sciences 177, no. 16 (2007): 3251–59. http://dx.doi.org/10.1016/j.ins.2006.11.008.

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Caramellino, Lucia, and Barbara Pacchiarotti. "Large deviation estimates of the crossing probability for pinned Gaussian processes." Advances in Applied Probability 40, no. 02 (2008): 424–53. http://dx.doi.org/10.1017/s0001867800002597.

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The paper deals with the asymptotic behavior of the bridge of a Gaussian process conditioned to stay in n fixed points at n fixed past instants. In particular, functional large deviation results are stated for small time. Several examples are considered: integrated or not fractional Brownian motions and m-fold integrated Brownian motion. As an application, the asymptotic behavior of the exit probability is studied and used for the practical purpose of the numerical computation, via Monte Carlo methods, of the hitting probability up to a given time of the unpinned process.
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Caramellino, Lucia, and Barbara Pacchiarotti. "Large deviation estimates of the crossing probability for pinned Gaussian processes." Advances in Applied Probability 40, no. 2 (2008): 424–53. http://dx.doi.org/10.1239/aap/1214950211.

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The paper deals with the asymptotic behavior of the bridge of a Gaussian process conditioned to stay in n fixed points at n fixed past instants. In particular, functional large deviation results are stated for small time. Several examples are considered: integrated or not fractional Brownian motions and m-fold integrated Brownian motion. As an application, the asymptotic behavior of the exit probability is studied and used for the practical purpose of the numerical computation, via Monte Carlo methods, of the hitting probability up to a given time of the unpinned process.
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Rácz, Miklós Z., and Mykhaylo Shkolnikov. "Multidimensional sticky Brownian motions as limits of exclusion processes." Annals of Applied Probability 25, no. 3 (2015): 1155–88. http://dx.doi.org/10.1214/14-aap1019.

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Orsingher, E., and A. De Gregorio. "Random motions at finite velocity in a non-Euclidean space." Advances in Applied Probability 39, no. 02 (2007): 588–611. http://dx.doi.org/10.1017/s0001867800001907.

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In this paper telegraph processes on geodesic lines of the Poincaré half-space and Poincaré disk are introduced and the behavior of their hyperbolic distances examined. Explicit distributions of the processes are obtained and the related governing equations derived. By means of the processes on geodesic lines, planar random motions (with independent components) in the Poincaré half-space and disk are defined and their hyperbolic random distances studied. The limiting case of one-dimensional and planar motions together with their hyperbolic distances is discussed with the aim of establishing co
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Orsingher, E., and A. De Gregorio. "Random motions at finite velocity in a non-Euclidean space." Advances in Applied Probability 39, no. 2 (2007): 588–611. http://dx.doi.org/10.1239/aap/1183667625.

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In this paper telegraph processes on geodesic lines of the Poincaré half-space and Poincaré disk are introduced and the behavior of their hyperbolic distances examined. Explicit distributions of the processes are obtained and the related governing equations derived. By means of the processes on geodesic lines, planar random motions (with independent components) in the Poincaré half-space and disk are defined and their hyperbolic random distances studied. The limiting case of one-dimensional and planar motions together with their hyperbolic distances is discussed with the aim of establishing co
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Dissertations / Theses on the topic "Brownian motions processes"

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Simon, Matthieu. "Markov-modulated processes: Brownian motions, option pricing and epidemics." Doctoral thesis, Universite Libre de Bruxelles, 2017. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/250010.

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This thesis is devoted to the study of different stochastic processes which have a common feature: they are Markov-modulated, which means that their evolution rules depend on the state occupied by an underlying Markov process. In the first part of this thesis, we analyse the stationary distribution and various first passage problems for Markov-modulated Brownian motions (MMBMs) as well as for two extensions: MMBMs with jumps and MMBMs modified by a temporary change of regime upon visits to level zero. The second part of this thesis is devoted to the use of Markov-modulated processes in mathema
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Didier, Gustavo de Vasconcellos Pipiras Vladas. "Studies in stochastic processes adaptive wavelet decompositions and operator fractional Brownian motions /." Chapel Hill, N.C. : University of North Carolina at Chapel Hill, 2007. http://dc.lib.unc.edu/u?/etd,1186.

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Thesis (Ph. D.)--University of North Carolina at Chapel Hill, 2007.<br>Title from electronic title page (viewed Mar. 27, 2008). "... in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the Department of Statistics and Operations Research Statistics." Discipline: Statistics and Operations Research; Department/School: Statistics and Operations Research.
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ALMEIDA, GONSALGE SUREKA. "FINANCIAL MODELING WITH LE ́VY PROCESSES AND APPLYING LE ́VYSUBORDINATOR TO CURRENT STOCK DATA." Case Western Reserve University School of Graduate Studies / OhioLINK, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=case1568306440126471.

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Schmid, Patrick. "Random processes in truncated and ordinary Weyl chambers." Doctoral thesis, Universitätsbibliothek Leipzig, 2011. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-66394.

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The work consists of two parts. In the first part which is concerned with random walks, we construct the conditional versions of a multidimensional random walk given that it does not leave the Weyl chambers of type C and of type D, respectively, in terms of a Doob h-transform. Furthermore, we prove functional limit theorems for the rescaled random walks. This is an extension of recent work by Eichelsbacher and Koenig who studied the analogous conditioning for the Weyl chamber of type A. Our proof follows recent work by Denisov and Wachtel who used martingale properties and a strong approximat
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Bessada, Dennis Fernandes Alves. "Generalizações do movimento browniano e suas aplicações à física e a finanças /." São Paulo : [s.n.], 2005. http://hdl.handle.net/11449/91854.

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Orientador: Gerson Francisco<br>Banca: Victo dos Santos Filho<br>Banca: Fernando Manoel Ramos<br>Resumo: Realizamos neste trabalho uma exposição geral da Teoria do Movimento Browniano, desde suas primeiras observações, feitas no âmbito da Biologia, até sua completa descrição seundo as leis da Mecânica estatística, formulação esta efetuada por Einstein em 1905. Com base nestes princípios físicos analisamos a Teoria do Movimento Browniano de Einstein como sendo um processo estocástico, o que permite sua generalização para um processo de Lévy. Fazemos uma exposição da Teoria de Lévy, e aplicamo-l
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Bessada, Dennis Fernandes Alves [UNESP]. "Generalizações do movimento browniano e suas aplicações à física e a finanças." Universidade Estadual Paulista (UNESP), 2005. http://hdl.handle.net/11449/91854.

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Made available in DSpace on 2014-06-11T19:25:30Z (GMT). No. of bitstreams: 0 Previous issue date: 2005-04Bitstream added on 2014-06-13T20:48:05Z : No. of bitstreams: 1 bessada_dfa_me_ift.pdf: 3052096 bytes, checksum: bfe2b25d2283cf5ec06ca7dc7407c70c (MD5)<br>Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)<br>Realizamos neste trabalho uma exposição geral da Teoria do Movimento Browniano, desde suas primeiras observações, feitas no âmbito da Biologia, até sua completa descrição seundo as leis da Mecânica estatística, formulação esta efetuada por Einstein em 1905. Com base nestes
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Dunkel, Jörn. "Relativistic Brownian motion and diffusion processes." kostenfrei, 2008. http://d-nb.info/991318757/34.

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Trefán, György. "Deterministic Brownian Motion." Thesis, University of North Texas, 1993. https://digital.library.unt.edu/ark:/67531/metadc279262/.

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The goal of this thesis is to contribute to the ambitious program of the foundation of developing statistical physics using chaos. We build a deterministic model of Brownian motion and provide a microscpoic derivation of the Fokker-Planck equation. Since the Brownian motion of a particle is the result of the competing processes of diffusion and dissipation, we create a model where both diffusion and dissipation originate from the same deterministic mechanism - the deterministic interaction of that particle with its environment. We show that standard diffusion which is the basis of the Fokker-P
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Touibi, Rim. "Sur le comportement qualitatif des solutions de certaines équations aux dérivées partielles stochastiques de type parabolique." Thesis, Université de Lorraine, 2018. http://www.theses.fr/2018LORR0263/document.

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Cette thèse est consacrée à l’étude des équations aux dérivées partielles stochastiques de type parabolique. Dans la première partie nous démontrons de nouveaux résultats concernant l’existence et l’unicité de solutions variationnelles globales et locales à des problèmes avec des conditions aux bords de type Neumann pour une classe d’équations aux dérivées partielles stochastiques non-autonomes. Les équations que nous considérons sont définies sur des domaines non bornés de l’espace euclidien qui satisfont à certaines conditions géométriques, et sont dirigées par un bruit multiplicatif dérivé
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Cai, Chunhao. "Analyse statistique de quelques modèles de processus de type fractionnaire." Thesis, Le Mans, 2014. http://www.theses.fr/2014LEMA1030/document.

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Cette thèse porte sur l’analyse statistique de quelques modèles de processus stochastiques gouvernés par des bruits de type fractionnaire, en temps discret ou continu.Dans le Chapitre 1, nous étudions le problème d’estimation par maximum de vraisemblance (EMV) des paramètres d’un processus autorégressif d’ordre p (AR(p)) dirigé par un bruit gaussien stationnaire, qui peut être à longue mémoire commele bruit gaussien fractionnaire. Nous donnons une formule explicite pour l’EMV et nous analysons ses propriétés asymptotiques. En fait, dans notre modèle la fonction de covariance du bruit est suppo
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Books on the topic "Brownian motions processes"

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(Yuval), Peres Y., Schramm Oded, and Werner Wendelin 1968-, eds. Brownian motion. Cambridge University Press, 2010.

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1972-, Dolgopyat Dmitry, ed. Brownian Brownian motion-I. American Mathematical Society, 2009.

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Stochastic calculus for fractional Brownian motion and related processes. Springer-Verlag, 2008.

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Wiersema, Ubbo F. Brownian Motion Calculus. John Wiley & Sons, Ltd., 2008.

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Wiersema, Ubbo F. Brownian motion calculus. John Wiley & Sons, 2008.

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Earnshaw, Robert C., and Elizabeth M. Riley. Brownian motion: Theory, modelling and applications. Nova Science Publishers, 2011.

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E, Shreve Steven, ed. Brownian motion and stochastic calculus. 2nd ed. Springer-Verlag, 1991.

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E, Shreve Steven, ed. Brownian motion and stochastic calculus. Springer-Verlag, 1988.

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Karatzas, Ioannis. Brownian motion and stochastic calculus. 2nd ed. Springer, 1996.

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Some aspects of Brownian motion. Birkhäuser, 1992.

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Book chapters on the topic "Brownian motions processes"

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Weiss, Thomas, Patrik Ferrari, and Herbert Spohn. "Airy Processes." In Reflected Brownian Motions in the KPZ Universality Class. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-49499-9_4.

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Williams, R. J. "On Time-Reversal of Reflected Brownian Motions." In Seminar on Stochastic Processes, 1987. Birkhäuser Boston, 1988. http://dx.doi.org/10.1007/978-1-4684-0550-7_13.

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Kesten, Harry. "An Absorption Problem for Several Brownian motions." In Seminar on Stochastic Processes, 1991. Birkhäuser Boston, 1992. http://dx.doi.org/10.1007/978-1-4612-0381-0_6.

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Weiss, Thomas, Patrik Ferrari, and Herbert Spohn. "Determinantal Point Processes." In Reflected Brownian Motions in the KPZ Universality Class. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-49499-9_3.

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Itô, Kiyosi. "Distribution-Valued Processes Arising from Independent Brownian Motions." In Selected Papers. Springer New York, 1987. http://dx.doi.org/10.1007/978-1-4612-5370-9_38.

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Ferreyra, G., and P. Sundar. "Pathwise Comparison of Arithmetric Brownian Motions and Log-normal Processes." In Stochastic Analysis, Control, Optimization and Applications. Birkhäuser Boston, 1999. http://dx.doi.org/10.1007/978-1-4612-1784-8_32.

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Liao, Ming. "The Existence of Isometric Stochastic Flows for Riemannian Brownian Motions." In Diffusion Processes and Related Problems in Analysis, Volume II. Birkhäuser Boston, 1992. http://dx.doi.org/10.1007/978-1-4612-0389-6_4.

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Hughes, Harry Randolph, and Ming Liao. "The Independence of Hitting Times and Hitting Positions to Spheres for Drifted Brownian Motions." In Seminar on Stochastic Processes, 1988. Birkhäuser Boston, 1989. http://dx.doi.org/10.1007/978-1-4612-3698-6_10.

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Mishura, Yuliya, Kostiantyn Ralchenko, and Sergiy Shklyar. "Parameter Estimation for Gaussian Processes with Application to the Model with Two Independent Fractional Brownian Motions." In Stochastic Processes and Applications. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-02825-1_6.

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Ikeda, Nobuyuki, and Yukio Ogura. "A Degenerating Sequence of Riémannian Metrics on a Manifold and their Brownian Motions." In Diffusion Processes and Related Problems in Analysis, Volume I. Birkhäuser Boston, 1990. http://dx.doi.org/10.1007/978-1-4684-0564-4_18.

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Conference papers on the topic "Brownian motions processes"

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Tian, L., G. Ahmadi, and J. Y. Tu. "Multi-Scale Transport Modeling: Asbestos and Nano Fibers in Inhalation Risk Assessments." In ASME 2017 Fluids Engineering Division Summer Meeting. American Society of Mechanical Engineers, 2017. http://dx.doi.org/10.1115/fedsm2017-69083.

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Recent rapid development of the carbon nanotubes (CNTs) industry has raised health concerns as these engineered particles have the appearance of asbestos, which is a well-known inhalation hazard. Compared to asbestos, CNTs have similar elongated rod shaped structure, while they are in nano-scale where the particle motion is markedly affected by Brownian diffusion. However, limited studies on Brownian dynamics of CNTs are available in the literature and the details of motions of these elongate ultrafine particles, and in particular, their transport and deposition processes are largely unknown.
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Zare, Azam, Omid Abouali, and Goodarz Ahmadi. "A Numerical Model for Brownian Motions of Nano-Particles in Supersonic and Hypersonic Impactors." In ASME 2006 2nd Joint U.S.-European Fluids Engineering Summer Meeting Collocated With the 14th International Conference on Nuclear Engineering. ASMEDC, 2006. http://dx.doi.org/10.1115/fedsm2006-98308.

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In this paper, transport and deposition processes of nano-particles in supersonic and hypersonic impactors were investigated using a computational modeling approach. Axisymmetric forms of the compressible Navier-Stokes and energy equations were solved and the airflow and thermal condition in the impactor including the upstream nozzle were evaluated. A computer simulation model for solving the Lagrangian particle equation of motion including all the relevant forces was developed. The importance of the accurate modeling of the Brownian motion of nano-particles was further emphasized. The motion
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Tian, L., G. Ahmadi, and J. Y. Tu. "Brownian Diffusion of Nano-Fibers: Application to Mobility Characterizations." In ASME-JSME-KSME 2019 8th Joint Fluids Engineering Conference. American Society of Mechanical Engineers, 2019. http://dx.doi.org/10.1115/ajkfluids2019-4652.

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Abstract In this study, the Brownian diffusion of elongated nano-fibers was investigated numerically. Motions of nano-fibers of different sizes and aspect ratios were resolved by solving the corresponding system of equations governing their coupled translational and rotational motions. The study allowed a close examination of the Brownian diffusion of nano-fibers with respect to the coupling of their translational and rotational motions and how the rotation affects the fibrous particle macroscopic diffusion properties. Particular attention was given to the rotational relaxation time in determi
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Tian, L., and G. Ahmadi. "On Non-Spherical Nanoparticle Dynamics in Turbulent Flows." In ASME 2018 5th Joint US-European Fluids Engineering Division Summer Meeting. American Society of Mechanical Engineers, 2018. http://dx.doi.org/10.1115/fedsm2018-83356.

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Dispersion and deposition of non-spherical nano- and micro-particles suspended in turbulent flows was studied. Due to the non-spherical morphology, the coupled equations of translational and rotational motions of particles were solved and the corresponding particle trajectories were evaluated. For nano-particles with the scale comparable to the gas mean free path, the Brownian diffusion effects that becomes important was included in both translational and rotational motions. Particular attention was given to the interactions of nano-ellipsoidal particles and fluid motions at different scales.
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Li, Lee Siaw, and Maman A. Djauhari. "Monitoring autocorrelated process: A geometric Brownian motion process approach." In INTERNATIONAL CONFERENCE ON MATHEMATICAL SCIENCES AND STATISTICS 2013 (ICMSS2013): Proceedings of the International Conference on Mathematical Sciences and Statistics 2013. AIP, 2013. http://dx.doi.org/10.1063/1.4823976.

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Zhang, Dongdong, and Douglas E. Smith. "Finite Element-Based Brownian Dynamics Simulation of Nano-Fiber Suspensions in Nano-Composites Processing Using Monte-Carlo Method." In ASME 2012 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/imece2012-88491.

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This paper presents a computational approach for simulating the motion of nano-fibers during polymer nano-composites processing. A finite element-based Brownian dynamics simulation is proposed to solve the motion of nano-fibers suspended within a viscous fluid. In this paper, a Langevin approach is used to account for both hydrodynamic and Brownian effects. We develop a stand-alone Finite Element Method (FEM) for modeling the hydrodynamic effect exerted from the surrounding fluid. The Brownian effects are regarded as the random thermal disturbing forces/torques, which are modeled as a Gaussian
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Sagadavan, Revathi, and Maman A. Djauhari. "Autocorrelated multivariate process control: A geometric Brownian motion approach." In INTERNATIONAL CONFERENCE ON MATHEMATICAL SCIENCES AND STATISTICS 2013 (ICMSS2013): Proceedings of the International Conference on Mathematical Sciences and Statistics 2013. AIP, 2013. http://dx.doi.org/10.1063/1.4823979.

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Tian, Lin, and Goodarz Ahmadi. "Effect of Brownian Dynamics on Ellipsoidal Fibers in Human Tracheobronchial Airways." In ASME/JSME/KSME 2015 Joint Fluids Engineering Conference. American Society of Mechanical Engineers, 2015. http://dx.doi.org/10.1115/ajkfluids2015-32335.

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In vitro and vivo studies and observation of patients’ tissues have linked the occurrence of respiratory cancer to human exposure to asbestos fibers. While substantial evidences identified the ultra-fine fibers with diameter &lt; 0.25 μm posing the highest carcinogenicity, the details of such correlation is still not fully understood. Particles in the submicron range are known to exhibit random Brownian motion and the intensity are well correlated to inversely to the particle dimension. The process of fiber Brownian motion and the extent that it affects the fiber transport and deposition in hu
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Qi, Dawei, and Li Li. "Nondestructive Testing Wood Internal Defects by Fractional Brownian Motion Processor." In 2007 International Conference on Mechatronics and Automation. IEEE, 2007. http://dx.doi.org/10.1109/icma.2007.4303725.

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Nikbakht, Abbas, Omid Abouali, and Goodarz Ahmadi. "3-D Modelling of Brownian Motion of Nano-Particles in Aerodynamic Lenses." In ASME 2006 2nd Joint U.S.-European Fluids Engineering Summer Meeting Collocated With the 14th International Conference on Nuclear Engineering. ASMEDC, 2006. http://dx.doi.org/10.1115/fedsm2006-98488.

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A computer code for analyzing nano-particle motions in an aerodynamic particle beam focusing system was developed. The effectiveness of the focusing system consisting of several lenses, nozzle and downstream tube of the nozzle was analyzed. The code included an accurate 3-dimensional model for the Brownian diffusion of nano-particles in sharply varying pressure field in the aerodynamic lens system. Lagrangian particle Trajectory analysis was performed assuming a one-way coupling model. The particle equation of motion used included drag and Brownian forces. Trajectories of different size nano-p
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Reports on the topic "Brownian motions processes"

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Adler, Robert J., and Gennady Samorodnitsky. Super Fractional Brownian Motion, Fractional Super Brownian Motion and Related Self-Similar (Super) Processes. Defense Technical Information Center, 1991. http://dx.doi.org/10.21236/ada274696.

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Adler, Robert J., and Gennady Samorodnitsky. Super Fractional Brownian Motion, Fractional Super Brownian Motion and Related Self-Similar (Super) Processes. Defense Technical Information Center, 1994. http://dx.doi.org/10.21236/ada275124.

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