Hilbert-valued anticipating stochastic differential equations
Axel Grorud, David Nualart, Marta Sanz-Solé (1994)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
Axel Grorud, David Nualart, Marta Sanz-Solé (1994)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
Ramón Gutiérrez Jáimez, Mariano J. Valderrama Bonnet (1987)
Trabajos de Estadística
Similarity:
We discuss the influence of the transformation {X(t)} → {f(t) X(τ(t))} on the Karhunen-Loève expansion of {X(t)}. Our main result is that, in general, the Karhunen-Loève expansion of {X(t)} with respect to Lebesgue's measure is transformed in the Karhunen-Loève expansion of {f(t) X(τ(t))} with respect to the measure f(t)dτ(t). Applications of this result are given in the case of Wiener process, Brownian bridge, and Ornstein-Uhlenbeck process.
D. A. Dawson, J. Vaillancourt, H. Wang (2000)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
David Nualart, Josep Vives (1992)
Publicacions Matemàtiques
Similarity:
In this note we prove that the Local Time at zero for a multiparametric Wiener process belongs to the Sobolev space D for any ε > 0. We do this computing its Wiener chaos expansion. We see also that this expansion converges almost surely. Finally, using the same technique we prove similar results for a renormalized Local Time for the autointersections of a planar Brownian motion.
Pierre-Luc Morien (1999)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
Sanjar Aspandiiarov, Roudolf Iasnogorodski (1999)
Annales de l'I.H.P. Probabilités et statistiques
Similarity: