Skorohod embedding in Brownian motion in $R^n$

Falkner, Neil

Displaying similar documents to “Skorohod embedding in Brownian motion in $R^{n}$ ”

On Skorohod embedding in $n$ -dimensional brownian motion by means of natural stopping times

Neil Falkner (1980)

Séminaire de probabilités de Strasbourg

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Hausdorff measures in Minkowskian geometry

Feiste, U.

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Weak solutions to stochastic differential equations driven by fractional Brownian motion

J. Šnupárková (2009)

Czechoslovak Mathematical Journal

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Existence of a weak solution to the $n$ -dimensional system of stochastic differential equations driven by a fractional Brownian motion with the Hurst parameter $H \in (0, 1) ∖ {\frac{1}{2}}$ is shown for a time-dependent but state-independent diffusion and a drift that may by split into a regular part and a singular one which, however, satisfies the hypotheses of the Girsanov Theorem. In particular, a stochastic nonlinear oscillator driven by a fractional noise is considered.

Large favourite sites of simple random walk and the Wiener process.

Csáki, Endre, Shi, Zhan (1998)

Electronic Journal of Probability [electronic only]

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Displaying similar documents to “Skorohod embedding in Brownian motion in R n ”

On Skorohod embedding in n -dimensional brownian motion by means of natural stopping times

Hausdorff measures in Minkowskian geometry

Weak solutions to stochastic differential equations driven by fractional Brownian motion

Large favourite sites of simple random walk and the Wiener process.

Displaying similar documents to “Skorohod embedding in Brownian motion in $R^{n}$ ”

On Skorohod embedding in $n$ -dimensional brownian motion by means of natural stopping times