Displaying similar documents to “Exact asymptotics for boundary crossing probabilities of Brownian motion with piecewise linear trend.”

Infinite system of Brownian balls with interaction: the non-reversible case

Myriam Fradon, Sylvie Rœlly (2007)

ESAIM: Probability and Statistics

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We consider an infinite system of hard balls in d undergoing Brownian motions and submitted to a smooth pair potential. It is modelized by an infinite-dimensional stochastic differential equation with an infinite-dimensional local time term. Existence and uniqueness of a strong solution is proven for such an equation with fixed deterministic initial condition. We also show that Gibbs measures are reversible measures.

The Henstock-Kurzweil approach to Young integrals with integrators in BV φ

Boonpogkrong Varayu, Tuan-Seng Chew (2006)

Mathematica Bohemica

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In 1938, L. C. Young proved that the Moore-Pollard-Stieltjes integral ∫ a b f d g exists if f ∈ B V φ [ a , b ] , g ∈ B V ψ [ a , b ] and ∑ n = 1 ∞ φ - 1 ( 1 / n ) ψ - 1 ( 1 / n ) < ∞ . In this note we use the Henstock-Kurzweil approach to handle the above integral defined by Young.

Interacting brownian particles and Gibbs fields on pathspaces

David Dereudre (2003)

ESAIM: Probability and Statistics

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In this paper, we prove that the laws of interacting brownian particles are characterized as Gibbs fields on pathspace associated to an explicit class of hamiltonian functionals. More generally, we show that a large class of Gibbs fields on pathspace corresponds to brownian diffusions. Some applications to time reversal in the stationary and non stationary case are presented.

Euler schemes and half-space approximation for the simulation of diffusion in a domain

Emmanuel Gobet (2001)

ESAIM: Probability and Statistics

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This paper is concerned with the problem of simulation of ( X t ) 0 ≤ t ≤ T , the solution of a stochastic differential equation constrained by some boundary conditions in a smooth domain D : namely, we consider the case where the boundary ∂ D is killing, or where it is instantaneously reflecting in an oblique direction. Given N discretization times equally spaced on the interval [ 0 , T ] , we propose new discretization schemes: they are fully implementable and provide a weak error of order N - 1 under some conditions....