Hausdorff dimension of cut points for Brownian motion.
Hausdorff dimension of invariant measures related to Poisson driven stochastic differential equations
It is shown that the Hausdorff dimension of an invariant measure generated by a Poisson driven stochastic differential equation is greater than or equal to 1.
Hausdorff dimension of the graph of the fractional Brownian sheet.
Hausdorff dimension of the SLE curve intersected with the real line.
Hausdorff–Besicovitch measure of fractal functional limit laws induced by Wiener process in Hölder norms
Hazard rate model and statistical analysis of a compound point process
A stochastic process cumulating random increments at random moments is studied. We model it as a two-dimensional random point process and study advantages of such an approach. First, a rather general model allowing for the dependence of both components mutually as well as on covariates is formulated, then the case where the increments depend on time is analyzed with the aid of the multiplicative hazard regression model. Special attention is devoted to the problem of prediction of process behaviour....
Hazard Rates and Subexponential Distributions
Heat diffusion on homogeneous trees (Note on a paper by G. Medolla and A. G. Setti)
Medolla e Setti [6] studiano l'andamento della diffusione del calore generata dal Laplaciano discreto su un albero omogeneo e dimostrano che il calore è asintoticamente concentrato in «anelli» che viaggiano verso l'infinito a velocità lineare e la cui larghezza divisa per tende all'infinito, dove è il tempo. Qui si spiega come un risultato più preciso si ottiene come corollario della legge dei grandi numeri e del teorema del limite centrale per la passeggiata aleatoria sull'albero. Inoltre,...
Heat flow, brownian motion and newtonian capacity
Heat kernel asymptotics on the lamplighter group.
Heat kernel estimates and Harnack inequalities for some Dirichlet forms with non-local part.
Heat kernel estimates for critical fractional diffusion operators
We construct the heat kernel of the 1/2-order Laplacian perturbed by a first-order gradient term in Hölder spaces and a zero-order potential term in a generalized Kato class, and obtain sharp two-sided estimates as well as a gradient estimate of the heat kernel, where the proof of the lower bound is based on a probabilistic approach.
Heat kernel estimates for the Dirichlet fractional Laplacian
We consider the fractional Laplacian on an open subset in with zero exterior condition. We establish sharp two-sided estimates for the heat kernel of such a Dirichlet fractional Laplacian in open sets. This heat kernel is also the transition density of a rotationally symmetric -stable process killed upon leaving a open set. Our results are the first sharp twosided estimates for the Dirichlet heat kernel of a non-local operator on open sets.
Heat kernel measure on central extension of current groups in any dimension.
Heat kernel of fractional Laplacian in cones
We give sharp estimates for the transition density of the isotropic stable Lévy process killed when leaving a right circular cone.
Heat kernel on manifolds with ends
We prove two-sided estimates of heat kernels on non-parabolic Riemannian manifolds with ends, assuming that the heat kernel on each end separately satisfies the Li-Yau estimate.
Hedging entry and exit decisions: Activating and deactivating barrier options.
Hedging in complete markets driven by normal martingales
This paper aims at a unified treatment of hedging in market models driven by martingales with deterministic bracket , including Brownian motion and the Poisson process as particular cases. Replicating hedging strategies for European, Asian and Lookback options are explicitly computed using either the Clark-Ocone formula or an extension of the delta hedging method, depending on which is most appropriate.
Heisenberg's picture and non commutative geometry of the semi classical limit in quantum mechanics
Hellinger integrals, contiguity and entire separation