A solution of an equation for indexed functions
Petr Lachout (2004)
Acta Universitatis Carolinae. Mathematica et Physica
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Petr Lachout (2004)
Acta Universitatis Carolinae. Mathematica et Physica
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Petr Volf (2000)
Kybernetika
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The notion of the counting process is recalled and the idea of the ‘cumulative’ process is presented. While the counting process describes the sequence of events, by the cumulative process we understand a stochastic process which cumulates random increments at random moments. It is described by an intensity of the random (counting) process of these moments and by a distribution of increments. We derive the martingale – compensator decomposition of the process and then we study the estimator...
Petr Lachout (2001)
Kybernetika
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The paper presents a discussion on linear transformations of a Wiener process. The considered processes are collections of stochastic integrals of non-random functions w.r.t. Wiener process. We are interested in conditions under which the transformed process is a Wiener process, a Brownian bridge or an Ornstein –Uhlenbeck process.
Michna, Zbigniew (1998)
Journal of Applied Mathematics and Stochastic Analysis
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Gu-Hong Lin (2009)
The Yugoslav Journal of Operations Research
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